Based on the transaction's solid asset performance, Fitch has revised its lifetime default and lifetime loss assumptions
22 June 2010 - S&P took yesterday several rating actions on seven Spanish banks due to its forecast for slow economic growth in Spain and higher loan loss assumptions
In addition, the negative outlook on most of these BFSRs indicates that there could be downward pressure on these ratings if loss assumptions
were to increase significantly above Moody's current expectations or if the banks' risk absorption capacity were to deteriorate beyond Moody's expectations in its base case scenario.
Specifically, Fitch's loss assumptions
were based on historically observed peak-to-trough losses from venture capital and buyout valuation indices.
CE is adequate to support Fitch's stressed loss assumptions
Also, a sovereign downgrade may result in increased loss assumptions
used for modelling, the agency added.
The bank financial strength ratings (BFSRs) of ACBA-Credit Agricole and Ardshininvestbank are unaffected as Moody's believes that their adequate capitalisation enables them to absorb a level of stress in line with current loss assumptions
Fitch utilized conservative RV loss assumptions
for these vehicles.
Under the above scenario, transaction loss coverage was adequate to support Fitch's 'AAsf'-stressed credit and residual loss assumptions