Basel-II News

Fitch Details First-Ever Criteria for Deal-Specific ABCP Support Facilities

(July 16, 2008)-- With the global implementation of the Basel II Framework (Basel II), Fitch Ratings has detailed in a new report its first-ever rating methodology for assessing the risk assumed by providers of deal-specific liquidity and credit enhancement facilities to asset-backed commercial paper (ABCP) conduits.

Under Basel II, banks are required to hold capital against the support facilities they extend to ABCP programs. An important determinant in the calculation of the amount of capital is the credit quality, or rating, of the facility. In its report, Fitch outlines its key considerations when rating these facilities. Specifically, Fitch looks through to the underlying assets that are supported by the facility and applies the relevant asset criteria. In addition, Fitch considers the unique features of the support facility which may impact the rating, such as narrowly defined conditions to draw or available enhancement.

'Criteria for Rating Transaction-Specific Support Facilities Provided to ABCP Conduits' is available on the Fitch Ratings web site at www.fitchratings.com under the following headers: Structured Finance then ABS then Criteria Reports

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 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.

Share or bookmarklet this web page at: