The core of Fitch's U.S CMBS multiborrower criteria for rating new transactions has not changed. As a result, there are no rating implications for existing or new transactions. However, the updated criteria provide increased sensitivity to highly-leveraged interest-only (IO) loans. The Fitch Conduit DSCR for full-term IO loans has been weighted more heavily on the Fitch Constant DSCR, thereby increasing expected loss (EL) for IO loans. In addition, amortization credit has been increased for all amortizing conduit loans. This criteria update is based on recent regression testing which demonstrated a more significant difference in the performance of amortizing versus IO loans.
Implied loss coverage multiples and tranche thickness have also been examined and compared with other structured finance sectors. As a result, the implied loss coverage multiple (LCM) for 'AAAsf' has been slightly increased, while the LCM for 'AAsf' has been slightly decreased by updating the percentile of loss distribution coverage (confidence intervals) at each rating category.
Based on loan characteristics within historical transactions, the net impact of the criteria updates is anticipated to be minimal on subordination levels.
Generally, these enhancements have already been applied in Fitch's rating methodology and have been described in recent U.S. CMBS pre-sales and new issue reports.
The new report replaces Fitch's
Additional information is available at 'www.fitchratings.com'.
--Global Structured Finance Rating Criteria (
--Rating Criteria for U.S. Commercial Mortgage Servicers (
--Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (
--U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (
--Managing and Developing Criteria and Models (
--Counterparty Criteria for Structured Finance and Covered Bonds (
--Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (
--Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds (
--Fitch's U.S. CMBS Multiborrower Rating Model Technical Report (
--Addressing Extreme Events (
U.S. CMBS Multiborrower Rating Model Technical Report
Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions
U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria
Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions
Rating Criteria for U.S. Commercial Mortgage Servicers
Global Structured Finance Rating Criteria
Source: Fitch Ratings
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