(The following statement was released by the rating agency)SYDNEY, November 24 (Fitch) Fitch Ratings has affirmed 20 ratings from four Crusade Transactions. The transactions are securitisations of Australian conforming residential mortgages originated by St.George Bank Ltd, now part of Westpac Banking Corporation (Westpac, 'AA-'/Stable/F1+). A full list of rating actions follows at the end of this commentary.KEY RATING DRIVERSThe affirmations reflect Fitch's view that the available credit enhancement and excess spread are able to support the current ratings, the stable credit quality and performance of the pools, and Fitch's expectations of Australia's economic conditions. The underlying pools are fully covered by lenders' mortgage insurance (LMI) provided by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating: AA-/Stable), Genworth Financial (N:GNW) Mortgage Insurance Pty Ltd (Insurer Financial Strength Rating: A+/Stable), and Westpac Lenders Mortgage Insurance Limited (WMLI, formerly St.George Insurance Australia Pty Limited, Insurer Financial Strength Rating: 'AA-'/Stable).Loans insured by WLMI with an original loan/ value ratio (LVR) over 80% have an aggregate cap on claims of 5% of the original loan balances. This cap is calculated on all loans originated by St.George Bank Ltd per financial year. At 30 September 2015, the cap had not been breached for any year of origination. Fitch considers that excess spread for all Crusade transactions will be sufficient to cover future losses.At 30 September 2015, all Crusade transactions had arrears above Fitch's 2Q15 30+ day Dinkum Index of 1.12%, ranging from 2.2% (Crusade No1.E of 2006) to 3.5% (Crusade No.1 of 2007). The transactions are well seasoned, and Fitch's calculated WA indexed LVR ranged between 37.6% (Crusade Euro Trust No.1E of 2006) and 40.2% (Crusade Euro Trust No. 1E of 2007). The ratings of the currency swap obligations are based on Fitch's assessment that the currency swap payment obligations rank pro rata and equally with the referenced notes. Consequently, the credit profile of the currency swap payment obligations is consistent with the Long-Term ratings of the referenced notes. The rating affirmations of the currency swap obligations are consistent with the underlying notes trust's ability to meet its scheduled payments, where due, under the currency swap agreement.RATING SENSITIVITIESFor Crusade No.2 of 2006, Fitch's 'AAAsf' breakeven stressed default rate is 7.5%. The Class A notes can withstand an additional 21.96% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 6.94%. The Class B notes can withstand an additional 4.99% in defaults at Fitch's 'AA+sf' loss severity.For Crusade No.1E of 2006, Fitch's 'AAAsf' breakeven stressed default rate is 7.32%. The Class A notes can withstand an additional 23.65% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 6.8%. The Class B notes can withstand an additional 5.49% in defaults at Fitch's 'AA+sf' loss severity.For Crusade No.1E of 2007, Fitch's 'AAAsf' breakeven stressed default rate is 8.19%. The Class A notes can withstand an additional 19.66% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 7.64%. The Class B notes can withstand an additional 3.55% in defaults at Fitch's 'AA+sf' loss severity.For Crusade No.1 of 2007, Fitch's 'AAAsf' breakeven stressed default rate is 8.47%. The Class A notes can withstand an additional 21.47% in defaults at Fitch's 'AAAsf' loss severity. Fitch's 'AA+sf' breakeven stressed default rate is 7.91%. The Class B notes can withstand an additional 3.67% in defaults at Fitch's 'AA+sf' loss severity.The Class C notes' ratings are unlikely to be changed unless levels of excess spread are no longer adequate.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 St.George Bank 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.The full list of rating actions is shown below.The ratings are as follows (note balances are as of 30 September 2015):Crusade Euro Trust No. 1E of 2006:EUR51.9m Class A-1 (ISIN XS0258982148) affirmed at 'AAAsf'; Outlook Stable;AUD119.5m Class A-2 (ISIN AU0000CTKHB9) affirmed at 'AAAsf'; Outlook Stable;AUD8.2m Class B (ISIN AU300CRE4020) affirmed at 'AA+sf'; Outlook Stable; andAUD3.6m Class C (ISIN AU300CRE4038) affirmed at 'BBBsf'; Outlook Stable.Crusade Global Trust No. 2 of 2006:USD144.8m Class A-1 (ISIN US22882WAA45) affirmed at 'AAAsf'; Outlook Stable;EUR54.3m Class A-2 (ISIN XS0268688669) affirmed at 'AAAsf'; Outlook Stable;AUD70.2m Class A-3 (ISIN AU0000CTUHB8) affirmed at 'AAAsf'; Outlook Stable;AUD13.7m Class B (ISIN AU3FN0000261) affirmed at 'AA+sf'; Outlook Stable; andAUD6m Class C (ISIN AU3FN0000279) affirmed at 'BBBsf'; Outlook Stable.Crusade Global Trust No. 1 of 2007:USD188.9m Class A-1 (ISIN US228819AA63) affirmed at 'AAAsf'; Outlook Stable;Class A-1 Currency Swap Obligation (ISIN US228819AA63) affirmed at 'AAAsf'; Outlook Stable; EUR78.2m Class A-2 (ISIN XS0291457504) affirmed at 'AAAsf'; Outlook Stable;Class A-2 Currency Swap Obligation (ISIN XS0291457504), affirmed at 'AAAsf'; Outlook Stable;AUD91.2m Class A-3 (ISIN AU0000CTHHB5) affirmed at 'AAAsf'; Outlook Stable;AUD18m Class B (ISIN AU3FN0002028) affirmed at 'AA+sf'; Outlook Stable; andAUD7.9m Class C (ISIN AU3FN0002036) affirmed at 'BBBsf'; Outlook Stable.Crusade Euro Trust No. 1E of 2007:EUR70.0m Class A-1 (ISIN XS0305933839) affirmed at 'AAAsf'; Outlook Stable;AUD191.9m Class A-2 (ISIN AU0000CSNHB5) affirmed at 'AAAsf'; Outlook Stable; AUD11m Class B (ISIN AU3FN0003141) affirmed at 'AA+sf'; Outlook Stable; andAUD5.2m Class C (ISIN AU3FN0003158) affirmed at 'BBBsf'; Outlook Stable.Contacts: Surveillance Analyst Katie BrookesAnalystPhone +61 2 8256 0364Fitch Australia Pty Ltd., Level 15, 77 King St, Sydney, NSW 2000Committee Chairperson
Natasha VojvodicSenior DirectorPhone +61 2 8256 0350Media Relations: Leni Vu, Sydney, Tel: +61 2 8256 0304, Email: leni.vu@fitchratings.com.Additional information is available at www.fitchratings.com.Sources of Information:The source of information used to assess this rating was Westpac Banking Corporation. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.Applicable Criteria APAC Residential Mortgage Criteria (pub. 23 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867437Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175Criteria for Rating Currency Swap Obligations of an SPV in Structured Finance Transactions and Covered Bonds (pub. 22 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868763Global Criteria for Lendersâ Mortgage Insurance in RMBS (pub. 23 Jun 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865195Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr _id=995323Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=995323Endorsement Policy https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&det ail=31ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S FREE 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. 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. Fitch Australia Pty Ltd holds an Australian financial services licence (AFS licence no. 337123) which authorises 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.