Fitch Publishes 1Q16 Global Covered Bonds Surveillance Snapshot
OREANDA-NEWS. Covered bonds rated by Fitch Ratings are now on average 4.3 notches above the Issuer Default Ratings (IDR) of the relevant financial institutions, up from 3.7 notches in April 2015. The breakeven overcollateralisation (OC) for 'AAA' rated programmes is currently 14.3% on average, down from 14.7% a year ago. These are some of the statistics which can be extracted from Fitch covered bonds surveillance snapshot.
This publication consists of two parts: the first document aggregates information on the 131 programmes publicly rated by the agency as at 1 April 2016. Among others, it compares in graphical format the distribution of issuers' and covered bonds' ratings, their recent development, and displays covered bonds ratings' buffers against IDR downgrades. It also lists and includes a link to Fitch's covered bonds relevant research, such as rating reports on individual programmes, covered bonds peer reviews, topical reports and applicable criteria.
The second document is an excel file containing line-by-line data on each programme, including details of Fitch's analytical steps, such as the cover pool's expected losses in a stress scenario and the breakeven OC for the assigned rating. It also reports information delivered by issuers, such as the cover pool composition and the available OC between the cover pool and the covered bonds as of the latest reporting date. This data is further categorised by country to facilitate comparison for domestic covered bonds secured by the same type of assets.