National Australia Bank Limited:Mortgage Covered Bonds

惠誉国际信用评级有限公司 David Carroll，James Leung，Claire Heaton


　　Rating Rationale: The ‘AAA’ rating on the mortgage covered bonds to be issued by National Australia Bank Limited (NAB; ‘AA’/Stable/‘F1+’) is based on the issuer’s Long-Term Issuer Default Rating (IDR) and a Discontinuity Factor (D-Factor) of 24.9%. This combination enables the rating on the covered bonds to reach ‘AAA’ on a probability-of-default (PD) basis, because the overcollateralisation (OC) is sufficient to sustain this level of stress.