...Fitch Ratings believes that it is not possible to completely de-link structured finance (SF) and covered bond (CVB) ratings from the credit quality of the relevant sovereign. A high level of sovereign default risk raises the prospect of extreme events occurring in a country and reduces the certainty of performance projections for SF and CVB assets. CVB are further affected by sovereign risk through its impact upon the issuing bank and liquidity of the cover pool. These criteria detail 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 (LC IDR) and ratings to multi-jurisdictional SF notes or CVB. These criteria are applicable globally to international scale ratings, excluding jurisdictions, SF notes and CVB within the scope of the Criteria for Rating Securitisations...
