News Column

Fitch Updates Criteria for Rating Market Value Structures

September 4, 2014

CHICAGO--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: Rating Market Value Structures

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=758148

Fitch Ratings today has issued updated rating criteria for market value structures (MVS) titled 'Rating Market Value Structures'. No rating actions are expected as a result of the updated criteria, given the limited extent of the changes.

The criteria report is global in nature and is applicable to a wide range of MVS with different transaction structures, liquidation/deleveraging triggers and collateral types. In addition to this master criteria report, any additional, transaction-specific analytical considerations will be outlined in the associated press release.

Fitch's MVS criteria are applicable to transactions that rely primarily on market value-based structural protections and dynamic credit enhancement. Ratings assigned to MVS are highly dependent upon the presence of liquidation and deleveraging triggers that are designed to provide a dynamic loss buffer to note holders.

The MVS criteria also consider the legal structure, liquidity and diversification of portfolio assets; the manager's skill with respect to managing the assets and the structure in question; and the degree of transparency in ongoing reporting. In addition to any asset-specific advance rates, Fitch will also consider whether maximum advance rates are present and serve to limit the amount of leverage overall, particularly at higher ratings levels. Furthermore, MVS backed solely by illiquid or less liquid asset types may be subject to rating caps or may otherwise not be rated.

Fitch rates debt and preferred stock issued by closed-end funds, which are similar in several ways to the MVS outlined in the updated MVS criteria report. However, Fitch's closed-end fund criteria are detailed in a separate report titled 'Closed-End Fund Debt and Preferred Stock Rating Criteria', dated Sep. 3, 2014.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Closed-End Fund Debt and Preferred Stock Rating Criteria' (Sept. 4, 2014);

--'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' (May 28, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);

--'Asset Manager Rating Criteria' (May 6, 2014).

Applicable Criteria and Related Research:

Rating Closed-End Fund Debt and Preferred Stock -- Effective August 14, 2013 to September 4, 2014

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=716220

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Asset Manager Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=747701

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.



Fitch Ratings

Russ Thomas

Director

+1-312-368-3189

Fitch Ratings, Inc.

70 W. Madison Street

Chicago, IL 60602

or

Yuriy Layvand, CFA

Director

+1-212-908-9191

or

Ian Rasmussen

Senior Director

+1-212-908-0232

or

Alastair Sewell

Associate Director

+44 20 3530 1147

or

Media Relations:

Brian Bertsch, New York, +1 212-908-0549

Email: brian.bertsch@fitchratings.com

Source: Fitch Ratings


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