...Welcome to the seventh edition of Fitch Ratings Covered Bonds Surveillance Snapshot. Less than two months have passed since the previous release and most of the statistics reported in this publication have remained stable. We have, however, started to disclose the components of breakeven overcollateralisation (OC) levels for the covered bond ratings, as announced earlier in July. The breakeven OC for a given rating is split into three components called credit loss, cash flow valuation and asset disposal loss. We have launched this initiative as we believe the components provide useful additional information alongside ratings, allowing market participants to directly compare quantitative risks across various programmes, beyond the stressed credit loss assumptions for the cover pools, which were already public. Pages 16 to 34 of this snapshot provide a graphical breakdown of the breakeven OC percentages for several jurisdictions /programmes where the components are already available. The...
