D-factor


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D-factor

D-factor
The difference between the values of “time altitude minus pressure altitude” taken at two different times in flight. It is the difference between indicated height and true height when an aircraft is flying over the sea. Also called D-value.
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As a result, the D-Factor would likely increase and the AP supporting the current covered bonds rating would likely decrease.
The 100% D-Factor assigned to WMCBP is driven by the lack of sufficient mitigants to bridge potential asset and liability mismatches post issuer default.
The D-Factor assigned to the program remains at 100% which only allows for the rating of the covered bonds on a probability-of-default (PD) basis to be equalized with JPM's long-term IDR at 'A+'.
If CMHC lost the full backing of the government of Canada, or if the government of Canada was downgraded, Fitch would revise the credit given to the CMHC insurance, which could lead to weaker liquidity and lower recovery expectations on the assets and subsequently a higher D-Factor and lower AP to support the rating.
If CMHC lost the full backing of the Government of Canada, or if the Government of Canada suffered a downgrade, Fitch would revise the credit given to the CMHC insurance, which could lead to weaker liquidity and lower recovery expectations on the assets and subsequently a higher D-Factor and lower AP to support the rating.
BANA's long-term IDR of 'A+' on Rating Watch Negative and BACBI's D-Factor of 40.
The D-Factor assigned to NBC's mortgage covered bonds reflects the segregation of the cover assets in the bankruptcy remote special-purpose trust, which acts as guarantor, the adequate provisions for the guarantor to take appropriate actions post issuer default and its ability to do so, as evidenced by the satisfactory level of sophistication of NBC's IT systems.
The D-Factor also incorporates Fitch's assessment of the liquidity gaps that could arise in the immediate aftermath of a potential default of the issuer while the guarantee is being exercised.
The D-Factor assigned to NBC's mortgage covered bonds reflects the comfort gained from the segregation of the cover assets in the bankruptcy remote special-purpose trust acting as guarantor, the adequate provisions for the guarantor to take appropriate decisions post issuer default and its ability to do so, aided by the satisfactory level of sophistication of NBC's IT systems.
BNS's D-Factor has therefore been adjusted to reflect a slightly worse assessment of its Liquidity Gap component.
This could lead to weaker liquidity assumed for both the NHA-MBS and the mortgage assets (together the cover assets) as well as a higher default probability on the NHA-MBS and lower recovery expectations on the cover assets and subsequently a higher D-Factor and lower AP supporting the current covered bonds rating.
The increase of the D-Factors has no impact on the ratings of the covered bonds.