Fitch Updates SPV Currency Swap Obligations Criteria; No Rating Impact
The report details Fitch's analysis in evaluating the ability of an SPV to meet payment obligations towards a swap counterparty in transactions where swap agreements comprise reciprocal obligations between an SPV and the swap counterparty.
The criteria outline the conditions Fitch reviews to assess this reciprocity; i. e. whether ratings assigned are commensurate with those of the notes to which the swap relates. A rating action with respect to a note tranche is expected to result in a corresponding rating action with respect to the related rated swap obligations.
Fitch's analysis focuses on currency swap obligations of an SPV; however, it also applies the criteria, under specific circumstances detailed in the report, to analyse interest rate swap obligations where the structure of the obligation is consistent with the criteria.
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