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���������ֳ�-London-29 July 2011: ���������ֳ� has announced new tranche thickness metrics that will convey the relative thickness of a tranche in new structured finance transactions. At the same time, ���������ֳ� has withdrawn its Loss Severity (LS) ratings criteria, which will be replaced by the new metrics.

"LS Ratings were originally introduced by ���������ֳ� in 2009 as an ancillary rating scale, largely to highlight the difference in structured finance securities relative to those from other sectors. This difference is particularly in terms of the recovery prospects of SF securities at different positions in the capital structure," says Ian Linnell, global head of SF ratings at ���������ֳ� "However, feedback from ratings users has suggested that direct access to such metrics, rather than in the form of another rating scale, is the best means of conveying this information," he adds.

The motivation for a separate LS rating scale was to a large extent addressed by the subsequent introduction of the 'sf' modifier. However, ���������ֳ� recognises the ongoing interest by investors, regulators, and other market participants in the information reflected in the components that underlie the LS rating scale. Therefore, at the time a new structured finance transaction is rated, the agency will provide the metrics for the rated tranches in the transaction. The metrics are simple calculations that express "tranche thickness percentage" and the multiple of this percentage over ���������ֳ�'s expected base case loss - represented by a "tranche thickness loss multiple".

Tranche thickness percentage, designated "TT%", will be calculated as the ratio of the original class size to the original collateral balance of the structured finance transaction at the time of rating. The loss coverage multiple, designated TTLM (tranche thickness loss multiple), will be calculated by dividing the TT% by ���������ֳ�'s base case loss expectation for the transaction collateral, for those groups that use a base case approach.. This information will be provided in the transaction presale and/or new issue report alongside the long-term credit ratings. For asset sectors with no base case loss expectation, only the TT% will be published. The TT% and TTLM calculations will be point in time, and will not be updated as individual classes of notes amortise or base case loss expectations change. Individual asset groups may decide to disclose additional information, such as tranche seniority, at their discretion within the body of the presale/new issue report.

A report giving further detail of the new metrics 'Structured Finance Tranche Thickness Metrics' has been published today and is available at

The new metrics will be calculated for all international and national SF ratings. The criteria report "Criteria for Structured Finance Loss Severity Ratings" dated 17 February 2009 has been withdrawn together with all outstanding LS ratings. However, public LS ratings will remain available for review in the link above. References to LS ratings on ���������ֳ�'s web pages will be withdrawn over the coming weeks.


Contacts:

Heather Dyke
Senior Director
+44 20 3530 1154
���������ֳ� Limited
30 North Colonnade
London E14 5GN

George Masek
Senior Director
+1 212 908 0617

Stuart Jennings
Managing Director
+44 203530 1142

Ian Linnell
Group Managing Director - Global Head Structured Finance & Covered Bonds
+44 20 3530 1093

Media Relations: Mark Morley, London, Tel: +44 0203 530 1000, Email: mark.morley@fitchratings.com; Sandro Scenga, New York, Tel: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.

Additional information is available at .

Applicable Criteria and Related Research: