OREANDA-NEWS. Fitch Ratings has updated the Mortgage Liquidity and Refinancing Stress addendum for its covered bonds criteria.

The addendum details Fitch's assumptions on liquidity gap risks in mortgage covered bond programmes. It also details the agency's rating spread levels and price caps used to calculate expected sale proceeds on mortgage cover assets. The new addendum replaces the version published on 4 February 2014 and no rating impact is expected.

In the past 12 months, the cost of refinancing mortgage assets across the eurozone has been decreasing due to the relative stability of the EU economy. Peripheral euro countries refinancing costs are decreasing but remain at elevated levels compared to pre-crisis.

With the implementation of the ECB's ABS and covered bond purchase programmes in late 2014, Fitch expects further contraction of mortgage refinancing costs for issuing EU countries. This is due to the high volume of mortgage assets that is expected to be financed by both of these programmes over the next three years.

A full list of the agency's rating spread levels is available in a separate spreadsheet entitled "Fitch's Mortgage Covered Bonds Refinancing Stress", dated 19 December 2014.

These levels reflect the agency's view of the stressed cost of refinancing mortgage assets, where recourse switches to the cover pool. We have not changed our price cap assumptions.

The report and accompanying spreadsheet are published as an addendum to the Covered Bonds Rating Criteria and should be read in conjunction with this report.

Fitch publicly rates 111 mortgage covered bond programmes, issued out of 20 countries.