Fitch Affirms UBS AG’s Mortgage Covered Bonds at ‘AAA’

(The following statement was released by the rating agency) FRANKFURT/LONDON, April 19 (Fitch) Fitch Ratings has affirmed UBS AG’s (UBS, ‘A’/Stable/’F1’) outstanding mortgage covered bonds at ‘AAA’ with a Stable Outlook. The affirmation follows the conclusion of Fitch’s periodic review of the credit risk of the canada goose outlet uk cover pool and the cash flow mismatches between the programme’s assets and liabilities. KEY RATING DRIVERS The rating is based on UBS’s Long term Issuer Default Rating (IDR) of ‘A’, the Discontinuity Cap (D Cap) of 3 (moderate high risk) and the asset percentage (AP) that Fitch takes into account in canada goose outlet canada its analysis, which is currently 86.0%. This is below the lowered break even AP of 87.0% supporting a ‘AA’ rating on the covered bonds on a probability of default (PD) basis. In addition it is sufficient to achieve outstanding recoveries from the cover pool canada goose outlet official should the covered bonds default, supporting a two notch uplift to ‘AAA’. The main driver of the AP are the need to sell assets from the cover pool, potentially in a stressed market environment and canada goose outlet phone number for a depressed price driven by the maturity mismatches between canada goose outlet belgium the programme’s assets and liabilities. Compared with last year’s analysis, these mismatches further increased. canada goose outlet online store review The covered bond’s maturities are heavily concentrated within the next years with about 77% of the current outstanding volume maturing until 2017. RATING SENSITVITIES In terms of sensitivity of the covered bonds’ rating, the ‘AAA’ rating would be vulnerable to downgrade if any of the following occurred: (i) UBS’s IDR was canada goose outlet store calgary downgraded by one or more notches to ‘A ‘ or below; or (ii) the D Cap fell by one or more categories to 2 (high risk) canada goose outlet toronto location or lower; or (iii) the AP canada goose jacket outlet uk that Fitch considers in its analysis increased above Fitch’s ‘AAA’ breakeven level of 87.0%. The canada goose outlet hong kong D Cap of 3 is driven by the moderate high risk assessment of the liquidity gap and systemic risk and the systemic alternative management components. The assessment for liquidity gaps and systemic risk is canada goose outlet houston driven by the nine month pre maturity test while the assessment for systemic alternative management reflects the absence of a canada goose outlet store near me third party loan servicing market and the assumed ability of the canada goose outlet sale guarantor to take over the cover pool and repay canada goose outlet uk sale the covered bonds in time. The cover pool specific alternative management and privileged derivative components of the D Cap have been assigned an assessment of moderate risk, while asset segregation is of low risk. As of 31 March 2013, the cover pool consisted of 81,338 CHF denominated residential mortgage loan contracts secured on Swiss properties, with an aggregate outstanding balance of CHF20.4bn and a weighted average (WA) current loan to value of 55%. The cover pool’s WA asset maturity is approximately 3.5 years. The delivered canada goose outlet parka cash flows do not adequately address the risk canada goose outlet trillium parka black of extension of the relatively short term bullet loans beyond the legal maturity in a stressed economic environment. Fitch has therefore formed assumptions about the maturity profile of the cover pool’s assets under a ‘AAA’ stress scenario to better reflect potential mismatches between the cover canada goose outlet niagara falls pool and the covered bond issuances in a wind down scenario arising from possible extensions of the loans. For the canada goose outlet store new york extended asset cash flow profile, Fitch has calculated a WA remaining life of approximately 11 years. In a ‘AAA’ scenario, Fitch has calculated a WA frequency of foreclosure for the cover assets of 25.0% and a WA recovery rate of 86.2% resulting in a WA credit loss of 3.5%. The canada goose outlet miami cover pool is geographically distributed across Switzerland, with the largest concentrations in Lake Geneva (31%) and Zurich (15%). Compared with the last analysis, the pool composition has only slightly changed with respect to borrower canada goose kensington parka uk region, property type, property use and type of interest. The covered canada goose outlet website legit bonds are denominated in foreign currencies canada goose outlet vip (70% in EUR, 29% in USD and 1% in NOK) having fixed and floating rates with the latest USD denominated issues as of 26 March canada goose outlet nyc canada goose outlet and 8 April having soft canada goose outlet buffalo bullet maturities with an extension period of 12 months. The guarantor hedges interest rate and canada goose outlet eu foreign exchange risks between the cover assets and the covered bonds by entering into a series of swaps. UBS acts as swap canada goose outlet woodbury provider, subject to collateralisation and best effort replacement triggers. 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. Applicable Criteria and Related Research Covered Bonds Rating Criteria Amended here Covered Bonds Counterparty Criteria here Covered Bonds Rating Criteria Mortgage Liquidity Refinance Stress Addendum here EMEA RMBS Master canada goose outlet jackets Rating Criteria here Additional Disclosure Solicitation Status canada goose outlet vancouver here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE canada goose outlet location 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 https://www.pick-canadagoose.com MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS canada goose outlet in uk 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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