Fitch Updates Criteria for Sovereign Risk in Developed Markets for SF & CVB
The report details how SF and CVB ratings are constrained by the credit quality of the sovereign to which the SF transaction or CVB programme is exposed. It also outlines Fitch's approach in assigning SF and CVB ratings that are higher than the relevant sovereign's local currency Issuer Default Rating (IDR) and ratings to multi-jurisdictional SF notes or CVB.
The updated version of the criteria includes clarification of the limitations affecting non-pass-through CVB programmes. In alignment with Fitch's Covered Bonds Rating Criteria, the cap for such programmes is now based on the IDR adjusted by the IDR uplift, rather than the IDR.
The principles discussed in the criteria are applicable globally to international scale ratings, excluding jurisdictions, SF notes and CVB within the scope of the Criteria for Rating Securitisations in Emerging Markets.