(Repeat for additional subscribers)
Feb 4 (The following statement was released by the rating agency)
Fitch Ratings has published the Mortgage
Liquidity and Refinancing Stress addendum for its covered bonds criteria. The
addendum details Fitch's assumptions on liquidity gap risks in mortgage covered
bond programmes. It also details the agency's rating spread levels and price
caps used to calculate expected sale proceeds on mortgage cover assets. The new
addendum replaces the version published on 3 June 2013.
Fitch's rating spread levels have been updated for countries that have had a
sovereign downgrade, such as France, or where Fitch observed significant
movements of secondary market spreads. The revised rating spread levels are not
expected to impact any covered bonds' existing ratings, although
over-collateralisation for a given rating may increase or decrease, depending on
the relevant pool composition and the extent of maturity mismatches.
The refinancing costs of peripheral European countries have decreased, although
they still remain at elevated levels. Elsewhere, the agency has observed an
overall stabilisation of secondary market spreads over the past nine months,
reflecting the easing of the eurozone crisis.
A full list of the agency's rating spread levels has been published in a
separate spreadsheet entitled "Fitch's Mortgage Covered Bonds Rating Spread
Levels", dated 4 February 2014.
These levels reflect the agency's view of the stressed cost of refinancing
mortgage assets, following an issuer default. There have been no changes made to
the agency's price cap assumptions.
The updated report and accompanying spreadsheet are published as an addendum to
the Covered Bonds Rating Criteria and should be read in conjunction with said
Fitch publicly rates 106 mortgage covered bond programmes, issued out of 21
The report is available on www.fitchratings.com or by clicking on the link
Link to Fitch Ratings' Report: Covered Bonds Rating Criteria Mortgage
Liquidity and Refinancing Stress Addendum