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Fitch Updates Bond Fund Rating Criteria and Related Rating Scales
August 22, 2016 / 2:42 PM / a year ago

Fitch Updates Bond Fund Rating Criteria and Related Rating Scales

(The following statement was released by the rating agency) Link to Fitch Ratings' Report: Global Bond Fund Rating Criteria here NEW YORK/LONDON/PARIS, August 22 (Fitch) Fitch Ratings has updated its Global Bond Fund Rating Criteria for rating portfolios of debt and debt-like securities. At the same time, the bond fund ratings scales have been revised. Some ratings may be affected by the criteria changes. Fitch will review within the next six months the ratings that are potentially affected by the criteria changes, taking into consideration any additional or new information provided by the funds in question, for example, changes in portfolio holdings or new investment guidelines. The criteria update is part of Fitch's periodic review of all rating criteria and it replaces the previous report of the same name, published on 12 December 2014. Changes to the criteria and ratings scales include: -- Revised weighted average rating factors (WARF) that are a primary determinant of the Fund Credit Quality Rating. In particular, the revised WARF give greater recognition to the reduced credit risk inherent in shorter maturity securities. Additionally, the ratings of securities and counterparties on Rating Watch Negative are automatically downgraded by one notch when calculating the WARF. -- Clarification of counterparty risk assessment for custodian cash, notably in the context of UCITS V. -- The addition of an 'f' suffix to Fund Credit Quality Ratings to better distinguish these ratings from traditional credit ratings assigned to individual issues and issuers -- Fund Volatility Ratings have been renamed Fund Market Risk Sensitivity Ratings and the related rating scale has been revised to S1 to S6 (from V1 to V6). Fund Market Risk Sensitivity Ratings will be assigned subject to market relevance or regulatory demand, in addition to the Fund Credit Quality Rating. -- Updated spread risk factors for the Market Risk Sensitivity Rating calculation. -- Introduction of explicit stress tests to assess the sensitivity of WARF and Market Risk Sensitivity calculations to concentration risk and credit risk bar-belling -- Minimum level of portfolio diversification for international scale ratings -- Consolidation and homogenisation of existing national scale criteria in this master criteria report (as an Appendix), replacing former sub-sector criteria. It should be noted that in some national scale markets in Latin America, replacement of sub-sector criteria will not go into effect until criteria have been registered and approved by local market regulators. Contact: Roger Merritt Managing Director +1 212 908 0636 Fitch Ratings One State Street Plaza NY, NY 10004 Alastair Sewell, CFA Senior Director +44 203 530 1147 Charlotte Quiniou, CFA Director +33 1 44 29 92 81 Davie Rodriguez, CFA Senior Director +1 212 908 0386 Greg Fayvilevich Senior Director +1 212 908 9151 Media Relations: Rose Millburn, London, Tel: +44 203 530 1741, Email: rose.millburn@fitchratings.com. Additional information is available on www.fitchratings.com ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. 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. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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