Printer Friendly

Fitch Refines ABCP Criteria To Reflect More Complex Programs.

NEW YORK & LONDON -- As the asset-backed commercial paper (ABCP) markets around the globe continue to expand and evolve with new structures and assets, Fitch Ratings has refined its criteria to reflect the increased complexity of transactions seen in these markets. One of the latest developments in Fitch's ABCP criteria is the agency's use of VECTOR CP, a Monte Carlo simulation model used to quantify the portfolio risk of an ABCP program. Fitch updated its global ABCP criteria report to incorporate the use of VECTOR CP.

As detailed in this report, Fitch applies VECTOR CP to both multiseller and securities-backed ABCP programs and quantifies important portfolio risk factors such as correlation and asset distribution to quantify the appropriate level of programwide credit enhancement. Compared to traditional methods that determine the level of programwide credit enhancement, VECTOR CP provides a more precise and granular measure of asset portfolio risk.

The report describes in detail other key analytical considerations related to ABCP, including the analysis related to collateral, structure, credit enhancement, liquidity facility, and legal issues. The role played by key agents and parties that support ABCP programs is also described in detail.

'Global Asset-Backed Commercial Paper Criteria' is available on the Fitch Ratings web site at

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 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.
COPYRIGHT 2007 Business Wire
No portion of this article can be reproduced without the express written permission from the copyright holder.
Copyright 2007, Gale Group. All rights reserved. Gale Group is a Thomson Corporation Company.

Article Details
Printer friendly Cite/link Email Feedback
Publication:Business Wire
Date:Feb 13, 2007
Previous Article:Watts Water Technologies, Inc. Declares Quarterly Dividend.
Next Article:PacWind, Incorporated (PacWind) Has Announced the Release of Three New Proprietary Applications in Wind Energy Coming Throughout the Month of...

Related Articles
Fitch Addresses Implications of Eligible Liquidity Facilities In New ABCP Report.
Fitch Launches U.S. ABCP S.M.A.R.T. Updates.
Fitch: ABCP S.M.A.R.T. Update for Week of March 27, 2006.
Fitch: ABCP To Continue Pushing the Innovation Envelope.
Fitch: U.S. ABCP S.M.A.R.T. Update for Week of August 21, 2006.
Fitch: U.S. ABCP S.M.A.R.T. Update for Week of Dec. 11, 2006.
Fitch: U.S. ABCP To Eclipse $1.3T The Non-Traditional Way in 2007.
Fitch: U.S. ABCP S.M.A.R.T. Update for Week of Feb. 5, 2007.
Fitch Ratings Publishes Asset-Backed Commercial Paper Scorecard.
Fitch: Subprime Exposure Still High But Manageable for U.S. ABCP.

Terms of use | Copyright © 2018 Farlex, Inc. | Feedback | For webmasters