My only information is what you read in the press release. I am presently digging into the Trust Deed:

http://www.nzf.co.nz/Shareholders/Do...st_Details.pdf

It seems that they are baskets of mortgages - on loans from NZF to the mortgagee, rated by an NZF grading and this grading is verified by S&P. You are purchasing a form of collateralised loan obligation - which is secured by a basket of mortgages - with insurance on the mortgages. I assume the insurance is provided by Westpac.

S&P AAA is investment grade.