OREANDA-NEWS. Fitch Ratings has updated its criteria for rating currency swap obligations of an SPV in structured finance transactions and covered bond programmes.

There have not been any changes in the criteria assumptions and the update does not have any impact on existing ratings.

The report outlines Fitch's analysis of the credit risk presented by the SPV to the swap counterparty when assigning a credit rating to the SPV's currency swap obligations. While the criteria are primarily intended to analyse an SPV's ability to make payments under a cross currency swap, they are also applicable to the analysis of interest rate swaps where the structure of the swap obligation is consistent with this criteria report.

The criteria report replaces the report of the same name dated 5 August 2013.

The report, 'Criteria for Rating Currency Swap Obligations of an SPV in Structured Finance Transactions', is available at www.fitchratings.com or by clicking the link above.