Fitch Updates Structured Finance Rating Caps and Limitations Criteria; No Rating Impact

(The following statement was released by the rating agency)

Link to Fitch Ratings' Report: Criteria for Rating Caps and Limitations in
Global Structured Finance Transactions

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882401

NEW YORK/LONDON, June 16 (Fitch) Fitch Ratings has updated its "Criteria for
Rating Caps and Limitations in Global Structured Finance Transactions". The
update does not contain any material changes and will not have any impact on
ratings for existing structured finance (SF) transactions.

The report details factors that may result in a cap being applied when assigning
an SF rating in certain circumstances. It also explains some limitations to SF
ratings, including characteristics that may mean the assignment of a rating is
not possible. Factors that could lead to rating caps or limitations include
limited portfolio and data quality, asset concentration and performance
volatility, certain legal terms and conditions, excessive market value exposure,
sovereign dependence, third-party dependence and issues with incentives for
transaction parties.

The updated version of the criteria includes clarification on the scope of the
criteria, Fitch's use of proxy information if specific loan-by-loan information
is not available and the conditions under which Fitch is likely to assign 'Asf'
or 'BBBsf' ratings to bonds for which interest deferral is expected.

The principles discussed in the criteria are applicable to all asset classes
including residential and commercial mortgage-backed securities, asset-backed
securities and structured credit transactions. The criteria provide an
overarching framework applicable to all SF transactions, which is complemented
by asset class-specific and cross-sector rating criteria.

The updated criteria report replaces the report of the same name dated 28 May
2014.

Contact:

Suzanne Albers

Senior Director

+44 203 530 1165

Kevin Duignan

Managing Director

+1 212 908 0630

Media Relations: Athos Larkou, London, Tel: +44 203 530 1549, Email:
athos.larkou@fitchratings.com.

Additional information is available on www.fitchratings.com

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