Fitch Ratings has affirmed
The Outlook is Stable.
The covered bonds were issued through
This rating action follows a periodic review of the covered bond programme.
KEY RATING DRIVERS
The rating on the mortgage covered bonds is based on ANZ NZ's Long-Term Issuer Default Rating (IDR) of 'A+', the various uplifts above the IDR granted to the programme, and the overcollateralisation (OC) protection provided through the programme's asset percentage (AP).
The covered bonds are rated four notches above the bank's IDR. This is out of a maximum achievable uplift of seven notches, consisting of a resolution uplift of zero notches, a payment continuity uplift (PCU) of six notches and a recovery uplift of one notch. Fitch's analysis relies on the highest nominal AP in the last 12 months of 43.9%. This provides more protection than Fitch's unchanged '
The Stable Outlook reflects a three-notch buffer against an IDR downgrade.
Uplifts
The resolution uplift remains unchanged at zero notches.
The PCU remains unchanged at six notches and reflects the strength of liquidity protection in the form of a 12-month extension period on the soft-bullet bonds. It also reflects three-month interest protection, covering one-quarter of annual interest and senior fees, in the form of a reserve that was funded when ANZ NZ's Short-Term IDR was downgraded below 'F1+'.
The recovery uplift on the rating is capped at one notch as the programme is significantly exposed to foreign-exchange risk that could affect recoveries in a default of the covered bonds. There are swaps in place on the liabilities, but we expect the swaps to terminate upon a covered bond default. This would mean the longer-dated
'
Fitch's unchanged '
Cover Pool Summary
The cover pool consisted of 51,793 loans as of
The key rating drivers listed in the applicable sector criteria, but not mentioned above, are not material to this rating action.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to positive rating action/upgrade:
The rating on the covered bonds is at the highest level on Fitch's rating scale and cannot be upgraded.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
The covered bond rating would be vulnerable to a downgrade if the bank's IDR were downgraded by four or more notches to 'BBB' or below, or if the relied-upon AP provided less protection than Fitch's '
There is no rating impact on the bonds from the relied-upon AP in the programme equalling the maximum 90.0% contractual AP stipulated in the programme documents, as it supports a greater level of OC than Fitch's '
Fitch's '
SOURCES OF INFORMATION
The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated bonds is public.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The covered bond rating is driven by the credit risk of the issuing financial institution, as measured by its Long-Term IDR.
ESG Considerations
The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on Fitch's ESG Relevance Scores, visit https://www.fitchratings.com/topics/esg/products#esg-relevance-scores.
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