Fitch Updates Liquidity Risk Criteria for Covered Bonds

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."

Among other things, the document describes step-by-step how Fitch's distinctive "D-Factor" is calculated.

To download a PDF of "Assessment of Liquidity Risks in Covered Bonds," first log in (free) at www.fitchratings.com, then click here. 

To read Fitch's media release on this topic, first log in (free) at www.fitchratings.com, then click here.