07 Jul 2009 00 AM (EDT)
Fitch Ratings-Frankfurt/London-07 July 2009: Fitch Ratings has today updated its criteria for the treatment of liquidity risks inherent to covered bond programmes, following a consultation with market participants, including investors, issuers and industry associations. The framework of Fitch's methodology for analysing covered bonds was introduced in 2006 and remains unchanged.
The qualitative part of the criteria review results in a more conservative scoring of liquidity gaps in covered bonds, and an increased weighting of liquidity gaps within Fitch's Discontinuity Factors (D-Factors). These D-Factors also incorporate changes relative to the alternative management score (see separate comment published today entitled "Fitch Revises Alternative Management Scores for Covered Bonds Programmes").

As a result, Fitch has downgraded the covered bonds of three institutions (listed below), where the revised D-Factor is capping the rating at a lower level.

Meanwhile, updated quantitative assumptions on refinancing spreads are resulting in a higher level of over-collateralisation (OC) between the cover assets and covered bonds for a given rating scenario. The impact of agency's revised refinancing assumptions depends on the extent of mismatches between the programme's stressed asset and liability cash flows. All remaining covered bonds are placed "Under Analysis" for the roll-out timeframe over the next three months, as issuers may take steps to maintain the current high ratings assigned to their programmes.

"Fitch will communicate to issuers the impact of Fitch's new refinancing cost assumptions on their programme and expects issuers to revert to the agency within ten days with their decision regarding the level of OC to be provided to covered bonds investors," says Helene M. Heberlein, Managing Director and Head of Covered Bonds at Fitch. "Should they choose to increase this level, Fitch expects the additional OC to be posted within the following four weeks. Fitch aims to communicate progress on the implementation on a monthly basis."

"In the absence of any OC adjustment, covered bonds ratings could be downgraded to as low as one notch above the Issuer Default Rating, but Fitch believes that most issuers are willing and able to further enhance their covered bond programmes," says Dr Holger Horn, Senior Director in Fitch's Covered Bonds team.

In most aspects, the final criteria report is unchanged from the exposure draft as comments received during the consultation period confirmed rather than changed the agency's views. However, the final criteria clarifies Fitch's position on several topics raised during the consultation phase. These include the treatment of programmes exhibiting a concentration of maturities likely to exceed the market's capacity to absorb a corresponding high volume of asset sale and the liquidity classification of certain asset types, such as Canadian residential mortgage loans fully insured by the Canadian Housing Mortgage Corporation and tranches of European RMBS.

The criteria also clarifies the comfort gained from access to ECB repo operations, in cases where the cover pool owning entity can be assumed to remain an eligible counterparty post default of its banking group, provided it actually has a tested access and is either able to repo its own covered bonds or else has sufficient eligible assets.

Fitch further received feedback on the extent to which systemic support is being given credit to, but the agency believes the likelihood of bail-outs is already adequately captured in the institutions' support rating floor. The additional benefit of regulatory intervention for the exclusive benefit of covered bonds holders will continue to be given the same credit within the D-Factor. Furthermore the agency considered but rejected a counterproposal to use the cost of deposits as a benchmark for the pricing of a portfolio of mortgage loans instead of the incremental cost of funding through the issuance of covered bonds.

The new qualitative assumptions have led to a worsening especially of mortgage covered bonds' D-factors, tightening the link between the covered bond's rating and the rating of the issuer.

The following covered bonds are downgraded:

- Caixa d'Estalvis de Catalunya mortgage covered bonds downgraded to 'AA' ('A+' probability of default (PD) rating plus two notches for recovery) from 'AA+'
- Cajamar Caja Rural, Sociedad Cooperativa de Credito (Cajamar) mortgage covered bonds downgraded to 'AA+(exp)' ('AA-' probability of default (PD) rating plus two notches for recovery) from 'AAA(exp)'
- Corealcredit mortgage covered bonds downgraded to 'AA-' ('A' probability of default (PD) rating plus two notches for recovery) from 'AA'

In addition, the 'AAA' rating of 21 covered bond programmes is now based on their probability of default as well as on their recovery-given-default, when previously it solely addressed their probability of default at 'AAA'. Overall, 71% of mortgage covered bonds ratings and 45% of public sector covered bonds ratings incorporate an uplift for recovery.

The indicative range of OC supporting the current covered bonds ratings are as follows:

France: from 7% to 15% for mortgage programmes
Germany: from 10% to 20% for mortgage and from 6% to 17% for public sector programmes
Netherlands: from 20% to 30% for mortgage programmes
Scandinavia: from 7% to 15% for mortgage programmes
Spain: from 38% to 125% for mortgage programmes
UK: from 7% to 30% for mortgage programmes

Going forward, Fitch intends to publish the supporting OC for individual programmes. This level will be affected, among others, by the profile of the cover assets relative to outstanding covered bonds, which can change over time, even in the absence of new issuances. Therefore it can not be assumed that a given percentage of OC supporting the assigned rating will remain stable. Fitch monitors the key characteristics of the cover assets and outstanding covered bonds and checks whether the OC taken into account in its analysis provides protection commensurate with the rating.

The revisited D-Factors are listed below. Some issuers have recently enhanced protection against liquidity gaps, which Fitch has considered in the D-Factors for the respective programmes. The agency has included German issuers in this category, as the amendment to the Pfandbrief law requiring the holding of liquid asset to bridge shortfall over the next 180 days has been passed in April 2009 and most issuers have already incorporated it in practice, even though the deadline for implementation is in November 2009. Fitch has also given credit in cases (marked with an asterisk) where the revision process is under way and which issuers expect to be completed within one month. Other issuers are also planning to add further mitigants to their programmes, but as the finalisation is expected to take longer, Fitch will give credit to these within its D-Factors once the changes have been implemented.

Aareal Bank AG, Mortgage: 24.6% (from 15.1%)
Aareal Bank AG, Public Sector: 5.6% (from 7.3%)
Abbey National Treasury Services plc, Mortgage: 14.4% (from 6.8%)
ABN AMRO Bank N.V., Mortgage: 28.5% (from 12.5%)
AIB Mortgage Bank, Mortgage: 28.1% (from 10.1%)
Alliance & Leicester, Mortgage: 14.1% (from 6.4%)
Alpha Covered Bond plc, Mortgage: 15.2% (from 13%)
Anglo Irish Bank Corporation Ltd, Mortgage, UK Programme: 16.7% (from 11%)
Anglo Irish Mortgage Bank (AIMB), Mortgage, Commercial MCS: 11.6% (from 10%)
BA Covered Bond Issuer (BACBI), Mortgage: 39.6% (from 28.9%)
Banca Carige, Mortgage: 13.7% (from 9.4%)
Banca Popolare di Milano, Mortgage: 16.5% (from 10.9%)
Banco BPI, Mortgage: 14.9% (from 7.8%)
Banco Comercial Portugues, Mortgage: 14.9% (from 7.8%)
Banco de Andalucia, Mortgage: 41.3% (from 37.4%)
Banco Espanol de Credito S.A. (Banesto), Mortgage: 41.5% (from 38.4%)
Banco Espirito Santo, Mortgage: 14.9% (from 7.8%)
Banco Guipuzcoano, Mortgage: 41.9% (from 32.8%)
Banco Popular Espanol, Mortgage: 41.3% (from 31.4%)
Banco Santander Totta SA, Mortgage: 14.9% (from 7.8%)
Banco Santander, Mortgage: 40.8% (from 35.4%)
Bank of Ireland, Mortgage, UK Programme: 28.9% (from 13.6%)
Bank of Montreal, Mortgage: 18.1% (from 13.6%)
Bank of Nova Scotia, Mortgage: 20.3% (from 15.8%)
Bank of Scotland Plc, Mortgage: 25% (from 7.1%)
Bank of Scotland Plc, Mortgage, Intelligent Finance: 6.9% (from 8.4%)
Bankinter, Mortgage: 41.2% (from 35.8%)
Barclays Bank PLC, Mortgage: 5.1%* (from 8.1%)
Bayerische Hypo- und Vereinsbank AG, Mortgage: 17.1% (from 16.2%)
Bayerische Hypo- und Vereinsbank AG, Public Sector: 11.9% (from 8.7%)
Bayerische Landesbank, Mortgage: 19% (from 11.7%)
Bayerische Landesbank, Public Sector: 8.3% (from 7.1%)
Berlin-Hannoversche Hypothekenbank AG, Mortgage: 17.4%* (from 14.9%)
Berlin-Hannoversche Hypothekenbank AG, Public Sector: 7.3% (from 7.5%)
BNP Paribas Covered Bonds, Mortgage: 20.3% (from 12.9%)
BNP Paribas Public Sector SCF, Public Sector: 11.8% (from 10.3%)
Bradford & Bingley, Mortgage: 18.9% (from 13.3%)
Britannia Building Society, Mortgage: 6.7% (from 7.8%)
Caixa de Aforros de Vigo, Ourense e Pontevedra (Caixanova), Mortgage: 41.9% (from 32%)
Caixa d'Estalvis de Catalunya, Mortgage: 41.5% (from 31.6%)
Caixa Geral de Depositos, Mortgage: 15.3% (from 8.1%)
Caja de Ahorros de Murcia, Mortgage: 41% (from 31.1%)
Cajamar Caja Rural, Sociedad Cooperativa de Credito (Cajamar), Mortgage: 41.7% (from 31.8%)
Canadian Imperial Bank of Commerce, Mortgage: 21.2% (from 13.1%)
Chelsea Building Society, Mortgage: 18.1% (from 10.6%)
CIF Euromortgage, Mortgage: 9.8%* (from 6%)
Clydesdale Bank PLC, Mortgage: 19.3% (from 11%)
CM-CIC Covered Bonds, Mortgage: 19.8% (from 12.3%)
Compagnie de Financement Foncier: 12.9%
Co-Operative Bank p.l.c. (The), Mortgage: 18.5% (from 11%)
COREALCREDIT BANK AG, Mortgage: 18.1% (from 11.7%)
COREALCREDIT BANK AG, Public Sector: 6.1% (from 6.4%)
Coventry Building Society, Mortgage: 6.6% (from 7.4%)
Credit Agricole Covered Bonds, Mortgage: 22.2% (from 15.8%)
Danske Bank, Mortgage, Domestic: 15% (from 7.9%)
Danske Bank, Mortgage, International: 16.6% (from 11.2%)
DEPFA ACS Bank, Public Sector: 9.5% (from 6.6%)
Deutsche Genossenschafts-Hypothekenbank AG, Mortgage: 15.5% (from 13.2%)
Deutsche Genossenschafts-Hypothekenbank AG, Public Sector: 7.3% (from 7.2%)
Deutsche Pfandbriefbank AG, Mortgage: 25.2% (from 13.9%)
Deutsche Pfandbriefbank AG, Public Sector: 6.8% (from 7.7%)
Deutsche Postbank AG, Mortgage: 13.7% (from 13.8%)
Deutsche Postbank AG, Public Sector: 9.9% (from 12.7%)
Dexia Municipal Agency (DMA), Public Sector: 13.2% (from 12.8%)
DnB NOR Boligkreditt, Mortgage: 28.5% (from 12.1%)
Duesseldorfer Hypothekenbank AG, Public Sector: 6.1% (from 6.4%)
DZ Bank AG Deutsche Zentral-Genossenschaftsbank, Other Collateral: 27.9%* (from 15.5%)
EBS Mortgage Finance (EBS MF), Mortgage: 13.2% (from 8.1%)
EUROHYPO AG, Mortgage: 21.8% (from 15.6%)
EUROHYPO AG, Public Sector: 6.6% (from 7.9%)
EUROHYPO Europaeische Hypothekenbank SA, Public Sector: 13.8% (from 7.8%)
HSBC Bank plc, Mortgage: 15.5% (from 8.8%)
ING Bank NV, Mortgage: 29.3% (from 12.8%)
Landesbank Baden-Wuerttemberg, Public Sector: 7.4% (from 7.4%)
Landesbank Berlin AG, Public Sector: 7% (from 7%)
Landesbank Hessen-Thueringen Girozentrale, Mortgage: 20.7% (from 11.7%)
Landesbank Hessen-Thueringen Girozentrale, Public Sector: 6.6% (from 7.1%)
Leeds Building Society, Mortgage: 15% (from 7.3%)
Lloyds TSB Bank plc, Mortgage: 17.5% (from 9.9%)
Marfin Egnatia Bank, Mortgage: 14.2% (from 11.9%)
National Bank of Greece S.A., Mortgage: 17.1% (from 14.8%)
Nationwide Building Society, Mortgage: 14.6% (from 7.3%)
Newcastle Building Society, Mortgage: 6.5%* (from 6.9%)
NIBC Bank N.V., Mortgage: 18.3% (from 14.1%)
Northern Rock PLC, Mortgage: 18.5% (from 8.8%)
Norwich & Peterborough Building Society, Mortgage: 7.1% (from 7.1%)
Principality Building Society, Mortgage: 6.7% (from 8.6%)
Royal Bank of Canada, Mortgage: 18.1% (from 13.6%)
Skipton Building Society, Mortgage: 6.5% (from 9.9%)
SNS Bank N.V., Mortgage: 18.4% (from 10.3%)
Societe Generale SCF, Public Sector: 16.1% (from 10.9%)
SpareBank 1 Boligkreditt AS, Mortgage: 15.3% (from 10.4%)
SpareBanken Vest Boligkreditt AS, Mortgage: 16.4% (from 11.1%)
Unicredit S.p.A., Mortgage: 16.2% (from 10.5%)
Unione di Banche Italiane Scpa - UBI Banca, Mortgage: 17.6% (from 12.1%)
WM Covered Bond Program, Mortgage: 100% (from 100%)
Wuestenrot Bank AG Pfandbriefbank, Mortgage: 14.6% (from 14.9%)
Wuestenrot Bank AG Pfandbriefbank, Public Sector: 4.7% (from 7.6%)
Yorkshire Building Society, Mortgage: 13.7% (from 6.4%)

Iniciado por dakz

Sigo sin entender que consecuencias puede tener la rebaja del rating.

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