OREANDA-NEWS. Fitch Ratings has affirmed the ratings for Westpac NZ Securitisation Limited's Class A1 and B notes. The transaction is a securitisation of New Zealand conforming residential mortgages originated by Westpac New Zealand Limited (Westpac NZ, AA-/Stable/F1+). The rating action is as follows:

NZD4750.0m Class A1 notes affirmed at 'AAAsf'; Outlook Stable; and
NZD125.0m Class B notes affirmed at 'AAsf'; Outlook Stable

KEY RATING DRIVERS
The affirmation reflects Fitch's view that the available credit enhancement is sufficient to support the notes' current ratings, and the agency's expectations of New Zealand's economic conditions. The credit quality and performance of the loans in the collateral pool have also remained in line with expectations.

As of February 2016, 30+ days arrears were at 1.12% of the underlying mortgage balance, and the transaction had total losses of NZD7.2m since closing. All losses to date have been covered by excess spread.

The transaction remains within its revolving period, which ends in February 2019, and no amortisation of the notes has occurred to date. Fitch is comfortable with the long revolving period as the portfolio stratifications have not changed significantly since initial issue, Westpac NZ's product mix has not materially changed over this time, and the portfolio is performing as expected.

RATING SENSITIVITIES
At Fitch's 'AAAsf' breakeven default rate of 7.7%, the Class A1 notes can withstand an additional 3.6% defaults at 'AAAsf' loss severity. At the 'AAsf' breakeven default rate of 6.5%, the Class B notes can withstand an additional 0.3% defaults at 'AAsf' loss severity.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch conducted a file review of 10 sample loan files focusing on the underwriting procedures conducted by Westpac NZ compared to its credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.