(The following statement was released by the rating agency) Fitch Ratings-Sydney-January 24: Fitch Ratings has assigned ratings to Australia and New Zealand Banking Group Limited's (ANZ, AA-/Stable/F1+) Series 2019-1 GBP750 million mortgage covered bonds.The floating-rate bonddue January 2022 is the first pound sterling covered bond issued out of Australia that references the Sterling Overnight Index Average (SONIA)rate and benefits from a 12-month extendable maturity. This brings the bank's total outstanding issuance of mortgage covered bondsto AUD15.7 billion. KEY RATING DRIVERS The rating is based on ANZ's Long-Term Issuer Default Rating (IDR) of 'AA-', an IDR uplift of zero notches, a payment continuity uplift of three notches, a recovery uplift (RU) of one notch and the asset percentage (AP) of 90.5% used in the programme's asset coverage test, which Fitch relies upon in its analysis. This AP provides more protection than Fitch's 'AAA' breakeven AP of 91.0%. Fitch's breakeven AP supports a 'AA+' tested rating on a probability-of-default basis and a one-notch RU to 'AAA'. The Outlook on the covered bonds reflects the one-notch buffer against a downgrade of the bank's IDR. The 'AAA' breakeven AP of 91.0% corresponds to a 'AAA' breakeven overcollateralisation (OC) of 9.9%. The 'AAA' breakeven OC is driven by an ALM loss component of 6.3%, which represents the non-credit loss components of the breakeven OC for the rating and reflects the modelled asset and liability mismatches, inclusive of the effect of the pro rata sales clause documented in the programme. The weighted-average (WA) residual life of the cover assets is 15.4 years and that of the liabilities including the new issuance is 4.1 years. The credit-loss component contributes 3.5% to the breakeven OC for the rating and reflects the credit quality of the underlying cover pool. RATING SENSITIVITIES Australia and New Zealand Banking Group Limited's covered bonds would be vulnerable to downgrade if the relied-upon asset percentage (AP) rises above the 'AAA' breakeven AP of 91.0%, if ANZ's Long-Term Issuer Default Rating (IDR) falls below 'A+' or if the total number of notches represented by the IDR uplift, the payment continuity uplift and the recovery uplift is reduced to two or less. If the AP in the programme rises to the maximum 95% contractual AP stipulated in the programme documents, the rating on the covered bonds would fall to 'AA', one notch above the IDR. Fitch's 'AAA' breakeven AP for the covered bond rating will be affected, among other factors, by the profile of the cover assets relative to the outstanding covered bonds, which can change over time, even in the absence of new issuance. Therefore, it cannot be assumed that the 'AAA' breakeven AP, which maintains the covered bond rating, will remain stable over time. The source of information used to assess these ratings was ANZ. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated bonds is public. Australia and New Zealand Banking Group Limited ----senior secured, Mortgage Covered Bonds, Mortgage Covered Bonds; Long Term Rating; New Rating; AAA; RO:Sta Contacts: Primary Rating Analyst Sambit Agasti, Associate Director +61 2 8256 0337 Fitch Australia Pty Ltd Level 15 77 King Street Sydney NSW 2000 Secondary Rating Analyst Jimmy Tanzil, Analyst +61 2 8256 0305 Committee Chairperson Claire Heaton, Senior Director +61 2 8256 0361
Media Relations: Leslie Tan, Singapore, Tel: +65 6796 7234, Email: leslie.tan@thefitchgroup.com. Additional information is available on www.fitchratings.com Applicable Criteria APAC Residential Mortgage Rating Criteria (pub. 11 Jan 2019) https://www.fitchratings.com/site/re/10057538 Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 01 Aug 2018) https://www.fitchratings.com/site/re/10039504 Bank Rating Criteria (pub. 12 Oct 2018) https://www.fitchratings.com/site/re/10044408 Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 01 Aug 2018) https://www.fitchratings.com/site/re/10039505 Covered Bonds Rating Criteria (pub. 11 Jan 2019) https://www.fitchratings.com/site/re/10059083 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/site/dodd-frank-disclosure/10060293 Solicitation Status https://www.fitchratings.com/site/pr/10060293#solicitation Endorsement Policy https://www.fitchratings.com/regulatory ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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