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Fitch Affirms UBS AG's Mortgage Covered Bonds at 'AAA'; Outlook Stable
2015年1月30日 / 下午1点53分 / 3 年前

Fitch Affirms UBS AG's Mortgage Covered Bonds at 'AAA'; Outlook Stable

(The following statement was released by the rating agency) FRANKFURT/LONDON, January 30 (Fitch) Fitch Ratings has affirmed UBS AG's (UBS, A/Stable/F1) CHF13.4bn equivalent outstanding mortgage covered bonds at 'AAA' with Stable Outlook. KEY RATING DRIVERS The rating is based on UBS's Long-term Issuer Default Rating (IDR) of 'A', an unchanged IDR uplift of 2, an unchanged Discontinuity Cap (D-Cap) of 3 (moderate high risk) and the maximum 86% asset percentage (AP) that Fitch takes into account in its analysis, which provides more protection than the 'AAA' breakeven AP of 87.0%. The Stable Outlook on the covered bonds rating reflects that on UBS. The 'AAA' breakeven AP of 87% corresponds to a breakeven over-collateralisation (OC) of 14.9%. The breakeven OC reflects the reduced but still significant maturity mismatches between the modelled weighted average life (WAL) of the assets, which is 10.4 years under the 'AA' scenario testing for timely payment of the covered bonds, and the covered bonds (3.6 years). The main breakeven OC component is the asset disposal loss of 12.5%, driven by maturity mismatches and underlining the need for forced asset liquidation potentially in a stressed market environment and for a depressed price. Secondly, the 'AAA' credit loss of 4.2% reflects a weighted average (WA) default rate of 21.2% and an 81.1% WA recovery rate. The third most important driver of the breakeven OC is the cash flow valuation component (1%), primarily due to the differences between the stressed present values of the programme's assets and liabilities, which is also a result of the difference between the modelled WA life of the cover assets and the covered bonds. As of 31 December 2014, the outstanding mortgage covered bonds of CHF13.4bn were backed by a cover pool of CHF17.0bn of residential mortgages secured on 38,446 Swiss properties. All of the issued covered bonds are fixed rate and denominated in foreign currencies (73% in euros, 26% in US dollar and 1% in Norwegian krone). The guarantor hedges interest rate and foreign exchange risks between the cover assets and the covered bonds. UBS acts as swap provider, subject to collateralisation and best-effort replacement triggers. RATING SENSITVITIES The 'AAA' rating would be vulnerable to downgrade if any of the following occurs: (i) UBS's IDR is downgraded by three or more notches to 'BBB' or below; or (ii) the sum of notches represented by the IDR uplift and the Discontinuity Cap (D-Cap) is reduced by three or more notches; or (iii) the AP that Fitch considers in its analysis increases above the 'AAA' breakeven level of 87.0%. The Fitch breakeven AP for the covered bond rating will be affected, amongst others, by the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuance. Therefore the breakeven AP to maintain the covered bond rating cannot be assumed to remain stable over time. More details on the portfolio and Fitch's analysis will be available in a credit update report, which will shortly be available at www.fitchratings.com. Contact: Primary Analyst Kai-Uwe Richter, CFA, FRM Associate Director +49 69 768076 131 Fitch Deutschland GmbH Taunusanlage 17 D-60325 Frankfurt am Main Secondary Analyst Mathias Pleissner Director +49 69 768076 133 Committee Chairperson Rebecca Holter Senior Director +49 69 768076 261 Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: christian.giesen@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria: 'Covered Bonds Rating Criteria', dated 8 August 2014, 'Counterparty Criteria for Structured Finance and Covered Bonds' dated 14 May 2014, 'Criteria Addendum: Switzerland', dated 3 June 2014 and 'Covered Bonds Rating Criteria - Mortgage Liquidity and Refinancing Stress Addendum', dated 04 February 2014 are available at www.fitchratings.com. Applicable Criteria and Related Research: Covered Bonds Rating Criteria – Mortgage Liquidity and Refinancing Stress Addendum here Covered Bonds Rating Criteria here Counterparty Criteria for Structured Finance and Covered Bonds here Criteria Addendum: Switzerland - Residential Mortgage Loss and Cash Flow Assumptions here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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