OREANDA-NEWS. Fitch Ratings has updated its "Criteria for Rating Currency Swap Obligations of an SPV in Structured Finance Transactions and Covered Bonds". The update does not contain any material changes nor have any rating impact on existing structured finance (SF) or covered bond transactions.

The report details Fitch's analysis in evaluating the ability of an SPV to meet payment obligations towards a swap counterparty in transactions where swap agreements comprise reciprocal obligations between an SPV and the swap counterparty.

The criteria outline the conditions Fitch reviews to assess this reciprocity; i. e. whether ratings assigned are commensurate with those of the notes to which the swap relates. A rating action with respect to a note tranche is expected to result in a corresponding rating action with respect to the related rated swap obligations.

Fitch's analysis focuses on currency swap obligations of an SPV; however, it also applies the criteria, under specific circumstances detailed in the report, to analyse interest rate swap obligations where the structure of the obligation is consistent with the criteria.