OREANDA-NEWS. Fitch Ratings has affirmed the ratings of eight tranches from three WB Trust RMBS transactions. The transactions are securitisations of first-ranking prime Australian residential mortgages originated by Auswide Bank Ltd. A full list of rating actions follows at the end of this commentary.

KEY RATING DRIVERS
The affirmations reflect Fitch's view that available credit enhancement supports the notes' current ratings, the agency's expectations of Australia's economic conditions and that the credit quality and performance of the loans in the collateral pools have remained within the agency's expectations.

As per the APAC Residential Mortgage criteria, the default model was not run for WB Trust 2009-1 and WB Trust 2010-1, as a review of pre-determined performance triggers indicates that the transactions display stable asset performance. The default model was run for WB Trust 2014-1.

At 31 January 2016, 30+ days arrears levels for all the three transactions were below Fitch's 3Q15 Dinkum Index of 0.91%. WB Trust 2010-1 had the highest level of arrears at 0.85%, while WB Trust 2009-1 had the lowest level at 0.40%. The 30+ days arrears for WB Trust 2014-1 were 0.49%.

Loans in all three transactions are 100% covered by lenders' mortgage insurance (LMI). As of 31 January 2016, WB Trust 2009-1 had experienced 15 defaults since closing, resulting in AUD1.72m of losses. WB Trust 2010-1 had experienced five defaults since closing, resulting in AUD116,421 of losses. WB Trust 2014-1 had experienced one default since closing, resulting in AUD 156,699 of losses. All losses were covered by LMI, the issuer or excess income.

RATING SENSITIVITIES
The initial sequential pay-down has resulted in an increase in credit enhancement levels for the senior notes of all three transactions, with the 'AAAsf' rated notes able to withstand multiples of the latest reported arrears. The ratings are not expected to be affected by modest changes in performance.

Most rated notes are independent of the LMI providers' ratings. The exceptions are Class AB, Class B and Class C notes from WB Trust 2014-1 which are LMI dependent.

For WB Trust 2014-1, Fitch's 'AAAsf' breakeven stressed default rate is 13.57%. The Class A notes can withstand an additional 49.59% in defaults at Fitch's 'AAAsf' loss severity. The Class AB, B and C notes can withstand an additional 8.42%, 5.09% and 1.66% in defaults at Fitch's respective loss severities.

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 Auswide Bank Ltd 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.

A comparison of the transaction's representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links under Related Research below.

The rating actions are as follows (note balances as of 31 January 2016):

WB Trust 2009-1
AUD 82.0m Class A-2 notes affirmed at 'AAAsf'; Outlook Stable; and
AUD 0.5m Class AB notes affirmed at 'AAAsf'; Outlook Stable.

WB Trust 2010-1
AUD 57.6m Class A-2 notes affirmed at 'AAAsf'; Outlook Stable; and
AUD 14.1m Class AB notes affirmed at 'AAAsf'; Outlook Stable.

WB Trust 2014-1
AUD 193.9m Class A notes affirmed at 'AAAsf'; Outlook Stable;
AUD 19.5m Class AB notes affirmed at 'AAAsf'; Outlook Stable; and
AUD 8.1m Class B notes affirmed at 'A+sf'; Outlook Stable.
AUD 1.2m Class C notes affirmed at 'BBBsf'; Outlook Stable.