Aaa rating reflects CBA’s credit strength: Moody’s

The credit ratings agency said the rating reflects the credit quality of the residential mortgages backing CBA’s Series 44 covered bonds, giving a score of 5.93 per cent for the cover pool.

“As at 31 March 2015, the total value of the assets included in the cover pool is $31.0 billion, comprising $30.5 billion in residential mortgage loans $0.5 billion in substitute assets,” Moody’s said.

“The residential mortgage loans have a weighted-average (WA) seasoning of 50 months and a WA current unindexed loan-to-value ratio of 57.2 per cent.”

Moody’s said the cover pool’s exposure to market risk (16.24 per cent) and over-collaterisation (33.4 per cent), as well as the legal framework of the program, were also factors in assigning the rating.

“The definitive rating that Moody’s has assigned addresses the expected loss posed to investors,” it said.

“Moody’s ratings address only the credit risks associated with the transaction. Moody’s did not address other non-credit risks, but these may have a significant effect on yields to investors.”

Moody’s also recently assigned a Aaa long-term rating for a series of Westpac’s mortgage-covered bonds.