Fitch cautious on bank swap ratings

Fitch is considering providing separate ratings for derivatives liabilities but warns against relying on assumptions of regulator behaviour in a resolution scenario

'Unknowns' remain in bank resolution frameworks

Fitch Ratings is considering becoming the second rating agency to rate some banks' derivatives liabilities higher than senior unsecured debt. While it gives struggling swap counterparties of structured finance vehicles another reason to cheer, it may only apply to dealers in a handful of jurisdictions.

In a discussion paper released yesterday (June 16), Fitch outlined how it may treat instruments that it believes are less likely to be bailed in during a resolution scenario, such as derivatives

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