...This addendum details Fitch Ratings' assumptions with regard to liquidity gap risks in mortgage covered bond programmes. It also details the agency's rating spread levels (RSLs) and price caps used to calculate expected sale proceeds on mortgage cover assets. This report does not address the liquidity of covered bonds as an instrument. This addendum should be read in conjunction with Fitch's Covered Bonds Rating Criteria. In certain cases, such as data limitations, criteria assumptions may be modified or supplemented, as Fitch determines appropriate in the circumstances. Such amendments will be disclosed in rating publications....
