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
Additional information is available at 'www.fitchratings.com'.
--'Closed-End Fund Debt and Preferred Stock Rating Criteria' (
--'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
--'Asset Manager Rating Criteria' (
Rating Closed-End Fund Debt and Preferred Stock -- Effective
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions
Counterparty Criteria for Structured Finance and Covered Bonds
Asset Manager Rating Criteria
+44 20 3530 1147
Source: Fitch Ratings
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