Citazione:
Originalmente inviato da i98mark
Provo a riguardare... eppure mi dava solo questo, il cui titolo coincide esattamento con quello che mi avevi dato... però non è lui: la data non è quella...  |
Svelato l'arcano: quelli ai quali si riferisce il dispaccio di agenzia sono bond emessi recentemente ma nell'ambito del programma di emissione a commento del quale Fitch ha pubblicato quel report il 18/11/2008.
Il 24 marzo infatti Fitch ha assegnato un rating ai nuovi bond emessi sotto quel programma e pubblicato un commento alla rating action, che ti allego sotto...
PS: ma questa roba mica è negoziabile al retail...
Fitch Rates Bank of Ireland's UK Covered Bonds 'AAA'
24 Mar 2009 1:27 PM (EDT)
Fitch Ratings-London-24 March 2009: Fitch Ratings has today assigned Bank of Ireland's (BOI, rated 'A'/'F1+'/Stable Outlook) 2009-1 series of covered bonds - issued under a EUR15bn UK mortgage covered bonds programme - a 'AAA' rating.
The eight outstanding issues under the bank's mortgage covered bonds programme have simultaneously been affirmed at 'AAA'. In contrast to the previous issuances which benefited from an extendable maturity date of one year after their expected due dates, the current issuance has a hard bullet maturity date of September 2010 for the notional amount of EUR535m.
The covered bonds have been issued by BOI through its UK branch and are guaranteed by BOI Covered Bonds LLP, a UK-based special purpose company holding the mortgage cover pool.
Fitch has assigned BOI's mortgage covered bonds a Discontinuity Factor (D-Factor) of 13.6%, as a measure of the likelihood of interruption of payments on the covered bonds upon a default of BOI.
The D-Factor has been increased from the former 11.4%, in order to reflect that the new series does not benefit from an extendable maturity date but is instead protected by a pre-maturity test.
Unlike its predecessors where the original maturity date can be extended by up to 12 months to compensate for maturity mismatches between the amortising loans in the cover pool and the bullet redemptions of the covered bonds, the latest bond has a pre-maturity test, which requires cash to be set aside six months ahead of maturity if the issuer loses its 'F1+' rating.
This is extended to 12 months if the rating is downgraded below 'F1'. A non-Fitch rating trigger has been breached, so the issuer is required to post the cash six months prior to redemption.
The D-Factor is measured on a scale between 0% and 100%, with 0% reflecting perfect continuity and 100% equivalent to an interruption of payments due on covered bonds upon an issuer default.
The D-Factor assigned to the bank's mortgage covered bonds, combined with BOI's Long-term Issuer Default Rating (IDR) of 'A', limits the rating on the covered bonds on a probability of default basis to a maximum of 'AA+'.
Under the agency's cash flow analysis, existing over-collateralisation (OC) allows the cover pool to withstand 'AA+' stress levels and still repay the covered bonds on a timely basis. However, should the covered bonds default, projected recoveries above 91% at 'AAA' stress levels support an uplift of up to two notches. This implies a maximum rating of 'AAA' for the bank's covered bonds.
BOI's cover pool is made up solely of English, Welsh and Northern Irish mortgage loans. As at 11 March 2009 it consisted of 54,345 loans, secured on residential properties, with a total outstanding balance of GBP5.5bn.
The portfolio has a weighted average (WA) original loan-to-value ratio (LTV) of 68.2%. The WA current indexed LTV of 70.1% is based on Fitch's methodology, giving credit to 50% of any appreciation in the house price index and full consideration to any depreciation in the index.
The WA seasoning is 2.85 years. In a 'AAA' scenario, Fitch has calculated the pool's cumulative weighted average frequency of foreclosure at 18.1%, with a weighted average recovery rate of 67.2%. Fitch formed assumptions on the credit behaviour of the cover pool under a 'AAA' stress scenario, and tested mismatches between the cover pool and the mortgage covered bonds in a wind-down scenario.
In particular, it was assumed that portions of the portfolio could be sold, if needed, to meet the payments under the mortgage covered bonds. Different assumptions are taken into account by the agency when estimating the sale price under a 'AAA' stress scenario within a relatively tight timeframe.
An asset coverage test is designed to ensure that a minimum level of OC on the covered bonds is available at any time to protect the bondholders against credit and market risks. The contractual maximum asset percentage is 93.5%. However, outstanding covered bonds currently cannot exceed 87.6% of the total cover pool, providing at least 14.2% OC. Available nominal OC currently stands at approximately 22.8%.
Due to the dynamic nature of the cover pool and covered bonds, Fitch will monitor the key characteristics of the cover assets on a quarterly basis and periodically check whether available OC provides protection that is commensurate with the rating.
A report on BOI's covered bond programme, entitled "Bank of Ireland - Mortgage Covered Bonds", is available on the agency's public website, www.fitchratings.com.
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molto peggio dell'Islanda...
