(The following statement was released by the rating agency)
SYDNEY, June 07 (Fitch) Fitch Ratings has assigned National
(NAB, AA-/Stable/F1+) Series 13-1 issue of EUR750m mortgage
covered bonds a
'AAA' rating with a Stable Outlook. The fixed-rate bond is due
in June 2025 and
benefits from a 12-month extendable maturity.
KEY RATING DRIVERS
The rating is based on NAB's Long-Term Issuer Default Rating
(IDR) of 'AA-', a
Discontinuity Cap (D-Cap) of 3 (moderate high) and an asset
percentage (AP) of
87%, which is equivalent to Fitch's breakeven AP for a 'AAA'
a 'AA' rating on a probability of default (PD) basis and a 'AAA'
giving credit for recoveries. The Outlook on the covered bonds
Stable Outlook on NAB's IDR.
The driver of the D-Cap is the high risk assessment for
liquidity gap and
systemic risk. This reflects the agency's view of the liquidity
gap mitigants in
the form of a three-month interest reserve fund, the 12-month
on the hard bullet covered bonds and the 12-month extendable
maturity on the
soft bullet covered bonds. The D-Cap of 3, when combined with
IDR and recovery uplift, continues to support a 'AAA' rating on
As of end-April 2013, the cover pool consisted of 45,506 loans
first-ranking mortgages of Australian residential properties
with a total
outstanding balance of AUD12.3bn and AUD1.3bn of cash. The
portfolio is wholly
made up of full documentation loans which have a weighted
loan-to-value ratio of 58.9%, and a weighted average seasoning
of 34.1 months.
Floating rate loans comprise 91.9% and fixed rate loans 8.1% of
the cover pool
by balance. The mortgage portfolio is geographically distributed
Australia's states, with the largest concentrations being in New
(35.2%) and Victoria (30.6%).
In a 'AAA' scenario, Fitch has calculated a weighted average
foreclosure for the cover assets of 8.4%, and a weighted average
of 58.2%. The agency's mortgage default analysis is based on its
residential mortgage criteria.
Maturity mismatches are significant, with the weighted-average
residual life of
the assets at 16.8 years and of the liabilities at 6.7 years.
The 'AAA' rating would be vulnerable to a downgrade if the
IDR is downgraded by three or more notches; if the D-Cap falls
by more than two
categories; or if the programme's AP rises above the breakeven
AP of 87.0%.
+61 2 8256 0322
Fitch Australia Pty Ltd.
Level 15, 77 King Street, Sydney NSW 2000
+61 2 8256 0388
Media Relations: Iselle Gonzalez, Sydney, Tel: +61 2 8256 0326,
The source of information used to assess these ratings was
Corporation. The issuer has informed Fitch that not all relevant
information used in the analysis of the rated bonds is public.
Additional information is available at www.fitchratings.com.
Applicable criteria, 'Covered Bonds Rating Criteria', dated 10
'Counterparty Criteria for Structured Finance and Covered
Bonds', dated 13 May
2013; 'Counterparty Criteria for Structured Finance and Covered
Derivative Addendum', dated 13 May 2013 ; 'APAC Residential
dated 3 August 2012; 'APAC Residential Mortgage Criteria
Addendum - Australia',
dated 3 August 2012; 'Covered Bonds Rating Criteria - Mortgage
Refinance Stress Addendum' dated 13 June 2013; 'Global Criteria
Mortgage Insurance in RMBS', dated 7 September 2012, are
Applicable Criteria and Related Research:
Covered Bonds Rating Criteria - Amended
Counterparty Criteria for Structured Finance and Covered Bonds
Counterparty Criteria for Structured Finance and Covered Bonds:
APAC Residential Mortgage Criteria
APAC Residential Mortgage Criteria Addendum â€” Australia
Covered Bonds Rating Criteria - Mortgage Liquidity & Refinance
Stress Addendum â€“
Effective 14 November 2012 to 3 June 2013
Global Criteria for Lendersâ€™ Mortgage Insurance in RMBS
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here. IN ADDITION,
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