Fitch reviews mortgage cover assets and liquidity gaps
Fitch is reviewing its assessment of liquidity risk in covered bond programmes and the refinancing cost assumptions it applies for European mortgage cover assets, which could lead to higher over-collateralisation levels being needed to support a given rating, it said last Friday (December 3).
Fitch also said that the review could tighten the link between an issuer rating and that of its covered bonds.
The review was triggered by the rating agencys belief that liquidity risk for European covered bond programmes has increased and that refinancing costs are also rising because of funding
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