Rezensionen zu: Rohsteine Set

Datum: Dienstag, 20. September 2016
Autor: Gast
Rezensionen zu: Rohsteine Set

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Fitch's 'AAA' breakeven AP level of 81% supports a 'AA' rating on a PD basis and allows for a two-notch recovery uplift for the covered bonds in a 'AAA' scenario. The breakeven AP has decreased from 83.9% due to updated NZ stress assumptions, which has a negative impact on the stressed asset price in Fitch's cash-flows model. The Fitch 'AAA' breakeven AP for the covered bonds will be affected, among others, by the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuances. Therefore it cannot be assumed to remain stable over time.As of August 2013, the cover pool consisted of 39,344 loans secured by first-ranking mortgages of New Zealand residential properties with a total outstanding balance of NZD5.8bn. The portfolio is wholly made up of full documentation loans which have a weighted average (WA) current loan-to-value ratio of 56.1%, a WA indexed LVR of 53.8%, and a weighted average seasoning of 28 months. Fitch has separately calculated the WA current LVR as 63.1% and the indexed LVR as 60.9%, based on consolidated borrower exposure, both of which are used in its analysis. The cover pool is comprised of: floating-rate loans 37.3%; fixed-rate loans 62.7%; and interest only loans 9.4%. The cover pool is geographically distributed around New Zealand's population centres, with the largest concentrations being in Auckland (43%), Canterbury (centred on Christchurch, 10.5%), and Wellington (14.5%).
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