Fitch Ratings has released (March 2) an updated "Assessment of Liquidity Risks in Covered Bonds," replacing a version dated July 7, 2009.
The ten-page document focuses on two key aspects of liquidity and financing risks: "first, whether a necessary refinancing/sale of the assets could occur during the timeframe allowed by the programme, a relationship captured in the Fitch Discontinuity Factor (D‐Factor), and, secondly, the stressed price at which such a sale could occur, in order to test whether overcollateralisation (OC) taken into account by the agency can withstand it."