OREANDA-NEWS. Half of covered bonds rating changes in the 1H16 can be traced back to similar changes in the ratings of their respective issuers. In its latest Covered Bonds Surveillance Snapshot Fitch says this applied to three out of seven programme upgrades recorded in the first six months of the year, and to two out of three downgrades that took place during the same period.

In addition, the proportion of 'A'-rated covered bonds has increased since July 2015 to 8.7% from 6.3%, while the share of programmes rated in the 'BBB' category has fallen to 10.2% from 13.3%.

Fitch Covered Bonds Surveillance Snapshot consists of two documents: one presents aggregated trends and facts about the 130 programmes publicly rated by the agency as of 1 July 2016. Among others, it compares the distribution of issuers' and covered bonds' ratings, as well as their recent development. It shows in graphical format average breakeven overcollateralisation (OC) by covered bonds rating categories, and the 'B' portfolio loss rate determined by Fitch for cover pools, split by asset types and countries. It also serves as a compendium of recent Fitch covered bonds relevant research, including rating reports on individual programmes, covered bonds peer reviews, topical reports and applicable criteria.

The second document is an excel file which contains line-by-line data on each programme, including elements of Fitch analytical steps, starting with the Issuer Default Rating (IDR) and including the programme IDR uplift and Discontinuity Cap, as well as the breakeven OC for the assigned rating. It also reports information delivered by issuers, such as the cover pool composition and the available OC between the cover pool and the covered bonds as of the latest reporting date. This data is further represented by country to facilitate domestic comparison for covered bonds secured by the same type of assets.

Fitch covered bonds surveillance snapshot is published quarterly and can be accessed from the links below.]