Fitch Ratings has assigned
The Outlook is Stable.
This issuance brings NAB's total outstanding covered bonds to AUD24.5 billion equivalent. The bond is due in
KEY RATING DRIVERS
The '
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 of six notches and a recovery uplift of one notch. Fitch's analysis relies on the programme's committed AP used in the asset coverage test, which is equal to the '
The Stable Outlook reflects a three-notch buffer against an IDR downgrade.
Fitch's revised '
The change in '
Fitch has also modelled a higher weighted-average (WA) floating-rate margin, reflecting a smaller increase in the bank bill swap rate since the last analysis, when compared with the increase in the WA variable mortgage loans' interest rates, improving overall modelled excess spread. This partly offsets the deterioration caused by the maturity concentration.
The credit loss component, which is now the driver of the breakeven AP, reflects the credit quality of the underlying cover pool. This component is maintained from the previous analysis, at 3.1%.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to positive rating action/upgrade:
The rating on the covered bond is '
Factors that could, individually or collectively, lead to negative rating action/downgrade:
The rating on NAB's covered bonds would be vulnerable to a downgrade if the bank's IDR were to be downgraded by four or more notches to 'BBB' or below; or if the relied-upon AP were to provide less protection than Fitch's '
Fitch's '
Best/Worst Case Rating Scenario
International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from '
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 the Long-Term IDR.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This 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. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
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