...Increasing Transparency: Fitch Ratings has begun to disclose in a systematic way the breakeven overcollateralisation (OC) components for its covered bond ratings, in order to assist comparison across programmes. The breakeven OC for a rating is the minimum level of excess assets, as a percentage of the covered bonds, below which Fitch would expect to downgrade the bonds due to insufficient protection, all else being equal. Three Factors Highlighted: Fitch identified the quantitative factors most likely to impact covered bond performance, should the source of payments switch from the issuer to the cover pool. The indicators, which will be graphically presented in reports for individual programmes and published in press releases, the surveillance pages on www.fitchratings.com and the Covered Bonds Surveillance Snaphsot, are: credit loss, cash flow valuation and asset disposal loss (see Figure 1). Rating Basis Also Shown: Fitch covered bond ratings consider either timely payment plus recoveries...
