...This report outlines the methodology used by Fitch Ratings to analyse the credit risks of covered bond obligations. A co vered bond is a debt instrument demonstrating a dual recourse; first to a financial institution and second to a pool of assets that can change over time. Fitch's covered bond ratings mainly address the bond's probability of default (PD), but also include recoveries given default. The ratings exclude event risk, such as a change in legislation for a covered bond framework or the merger of an issuer. These criteria apply to the first-time rating of covered bond programmes, as well as the surveillance of existing ratings....
