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Fitch Affirms Crusade Trust No. 2P of 2008; Outlook Stable
November 6, 2017 / 6:12 AM / a month ago

Fitch Affirms Crusade Trust No. 2P of 2008; Outlook Stable

(The following statement was released by the rating agency) SYDNEY, November 06 (Fitch) Fitch Ratings has affirmed Crusade Trust No. 2P of 2008's AUD32.1 billion class A (AU3FN0019931) notes at 'AAAsf' with a Stable Outlook. The transaction is a securitisation backed by a pool of Australian residential mortgages originated by Westpac Banking Corporation (AA-/Stable/F1+), which became successor-in-law to St.George Bank Limited in March 2010. KEY RATING DRIVERS The affirmation reflects Fitch's view that available credit enhancement is sufficient to support the notes' current rating and the agency's expectations of Australia's economic conditions. Credit quality and performance of the underlying loans have remained within the agency's expectations. At end-September 2017, the transaction's performance remains strong, with minimal losses. The transaction benefits from enhancement through lenders' mortgage insurance (LMI), however, the notes are structured to be LMI independent and this has been factored into Fitch's analysis, with no credit given to LMI. The transaction has a revolving period ending in January 2019. RATING SENSITIVITIES The class A notes are LMI independent. At Fitch's 'AAAsf' breakeven default rate of 11.38%, the notes can withstand an additional 1.10% defaults at Fitch's 'AAAsf' loss severity. Fitch conducted sensitivity analysis by stressing the transaction's base-case assumptions. The results of rating sensitivity testing, excluding credit to excess spread, are shown below: Rating sensitivity to increase in default rates: Rating AAAsf Increase foreclosure stress by 15%: AA+sf Increase foreclosure stress by 30%: AA+sf Rating sensitivity to decreased recovery rates: Rating AAAsf Reduce recoveries by 15%: AA+sf Reduce recoveries by 30%: AAsf Rating sensitivity to increased foreclosure and decreased recovery rates: Rating AAAsf Increase foreclosure stress by 15% and reduce recoveries by 15%: AAsf Increase foreclosure stress by 30% and reduce recoveries by 30%: A+sf Fitch also undertakes defined sensitivity testing to show the model-implied sensitivities the transaction faces when recovery rate assumption stresses are increased to a level that is required to reduce the note rating (i) by one full category, (ii) to non-investment grade and (iii) to 'CCCsf'. Rating AAAsf Decrease in recovery rate required to: Reduce the rating by one full category: 26% Reduce the rating to non-investment grade: Not possible, even if recovery rate is reduced to 0% Reduce the rating to 'CCCsf': Not possible, even if recovery rate is reduced to 0% USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring. As part of its ongoing monitoring, Fitch reviewed a small targeted sample of origination files from Westpac and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis: Loan-by-loan data provided by Westpac as at 30 September 2017 Transaction reporting data provided by Westpac as at 30 September 2017 The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. Contacts: Lead Surveillance Analyst Hai Duong Le Associate Director +612 8256 0358 Fitch Australia Pty Ltd Level 15, 77 King St, Sydney NSW 2000 Committee Chairperson Natasha Vojvodic Senior Director +612 8256 0350 Media Relations: Leslie Tan, Singapore, Tel: +65 67 96 7234, Email: leslie.tan@fitchratings.com. Additional information is available on www.fitchratings.com Applicable Criteria APAC Residential Mortgage Rating Criteria (pub. 14 Jul 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 23 May 2017) here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here#solicitation Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE here. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. 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Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. 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Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001

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