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TEXT-Fitch :Covered bond public sector liquidity & spread assumption addendum
November 27, 2012 / 11:21 AM / 5 years ago

TEXT-Fitch :Covered bond public sector liquidity & spread assumption addendum

(The following statement was released by the rating agency)

Nov 27 - Fitch Ratings has updated the Public Sector Liquidity & Spread Assumption Addendum for its covered bonds criteria. The addendum details Fitch’s assumptions on liquidity gap risks in public sector covered bond programmes and the agency’s revised stressed spread assumptions for European Sovereign debt. The new addendum replaces the report “Covered Bonds Rating Criteria - Public Sector Spread Assumption Addendum” dated 28 November 2011.

Fitch will apply the updated stresses in its analysis of European public sector covered bonds programmes over the next six months. Stressed spreads are factored into the modelling of maturity mismatches between cover pools and outstanding covered bonds.

The agency has proposed changes to its analysis of public sector covered bonds (see ‘Exposure Draft: Asset Analysis Criteria for Covered Bonds of European Public Entities’). The potential rating impact of these proposed changes, outlined in ‘Fitch Publishes Exposure Draft for the Asset Analysis of European Public Entities’ Covered Bonds’ dated 10 October 2012 is unlikely to be affected by this addendum

The criteria assumptions are published as an addendum to the Covered Bonds Rating Criteria and should be read in conjunction with this report.

Fitch publicly rates 22 public sector covered bond programmes, issued out of nine countries. The current ratings are in the investment grade range.

The report is available on or by clicking on the link below.

Link to Fitch Ratings’ Report: Covered Bonds Rating Criteria - Public Sector Liquidity & Spread Assumption Addendum


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