Fitch Ratings Updates Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria

(The following statement was released by the rating agency) Fitch Ratings-London-13 November 2020: Fitch Ratings has updated its "Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria" to include interest-rate stress assumptions for the Czech koruna and to publish revised assumptions for the Chinese yuan. The report replaces the previous version published on 6 December 2019. Stress assumptions for all other jurisdictions remain unchanged. No rating changes are associated with the new stress assumptions for the Chinese yuan and Czech koruna. At the same time Fitch has withdrawn the Excel file "Fitch Ratings Interest Rate Stress Assumptions for Structured Finance and Covered Bonds". This file, which provided access to Fitch's Structured Finance Interest Rate Stress Model, will no longer be supported and ceases to be the official source of Fitch's interest-rate stress assumptions. Equivalent access to Fitch's Structured Finance Interest Rate Stress Model outputs and assumptions is now provided via a web-based user interface available at https://www.fitchratings.com/structured-finance/interest-rate-stress-model The web user interface allows users to enter the inputs required to generate the upward and downward stressed interest-rate paths associated with a given currency base and to download them in Excel and CSV format. It also displays the currency-specific interest rate stress parameters that define these stressed interest-rate paths in accordance with Fitch's "Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria". The criteria's expanded scope is mirrored by the addition to the Structured Finance Interest Rate Stress Model of three new currency bases: the Czech koruna interbank rate and the one-year and five-year Chinese yuan loan prime rates. The updated criteria report is available at www.fitchratings.com or by clicking the link above. Contact: Thomas Kuehn Director Fitch Ratings, 30 North Colonnade, London, E14 5GN Direct: +44 (0) 203 530 1023 Barbara Treccani Senior Director +39 02 879087 226 Media Relations: Athos Larkou, London, Tel: +44 20 3530 1549, Email: athos.larkou@thefitchgroup.com Additional information is available on www.fitchratings.com ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTPS://WWW.FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. 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