replacement of a counterparty

01:38 Jun 2, 2018
English to English translations [PRO]
Bus/Financial - Finance (general) / rating
English term or phrase: replacement of a counterparty
Rating Sensitivity and Withdrawal: Any change to the rating of the corresponding note will lead to an equal change in the rating of the SPV’s currency swap obligations. The rating sensitivity will be driven primarily by the rating analysis applicable to the corresponding note. The rating of the SPV’s currency swap obligations will be withdrawn if the currency swap agreement is terminated due to non-performance by the swap counterparty or a non-credit-related event.

Fitch’s counterparty criteria expect [the replacement of a counterparty upon a downgrade below given thresholds], and therefore a swap rating withdrawal due to non-performance by the counterparty is unlikely.

The text above is from Criteria for Rating Currency Swap Obligations of an SPV in Structured Finance Transactions and Covered Bonds, at

My question is, why will a counterparty be replaced if the swap obligation of an SPV gets downgraded below given thresholds? (I'm actually not sure if the mentioned "downgrade" means downgrade of the swap obligation of an SPV or downgrade of the counterparty of the SPV. I presume it means the former since this report is about rating of swap obligations.)
Karen Zeng
Local time: 20:00


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