Moody's Publishes Australian Covered Bonds Performance Overviews: Q1 2016
Moody's Investors Service has published performance overviews for Q1 2016 for six Australian covered bond programs.
The Covered Bond Anchor Points--representing counterparty risk assessments--for all Australian covered bond issuers range between A1 (cr) and Aa1(cr) with a stable outlook.
In Q1 2016, Macquarie Bank Limited (Macquarie, A1(cr)/P-1(cr)) issued its inaugural covered bonds.
The collateral scores of the covered bond programs for the four major issues in the Australian covered bond market ranged from 4.0% to 4.9%. The collateral scores for Suncorp-Metway Limited (Suncorp, Aa3(cr)/P-1 (cr)) and Macquarie were at 6.6% and 10.6% respectively.
For Q1 2016, the weighted average current loan-to-value of the residential mortgage loans in the cover pools ranged between 57.5% and 70.2%.
The programs' minimum over-collateralization (OC) commensurate with a rating was at 0% for the four major issues in the Australian covered bond market, namely, the Australia and New Zealand Banking Group Limited (ANZ, Aa1(cr)/P-1(cr)), Commonwealth Bank of Australia (CBA, Aa1 (cr)/P-1(cr)), National Australia Bank Limited (NAB, Aa1(cr)/P-1(cr)) and Westpac Banking Corporation (Westpac, Aa1(cr)/P-1(cr)). The minimum over-collateralization (OC) commensurate with a Aaa rating for Suncorp and Macquarie were at 4.6% and 12.9% respectively.
Moody's lowered the refinancing margin for all Australian covered bond programs on 26 April 2016, thereby aligning them with those of the covered bonds in other highly rated countries. For more information, refer to https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1024075
In Q1 2016, a total of AUD8.0 billion in Australian covered bonds was issued.
The outstanding total for Australian covered bonds as at the end of Q1 2016 was AUD89.6 billion.