News Column

Fitch Releases Updated Criteria for New-Issue U.S. Multiborrower CMBS

June 18, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has released an updated criteria report for analyzing new U.S. multiborrower CMBS transactions.

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 Aug. 7, 2013 criteria. For additional detail on the criteria updates see the revised report, available at 'www.fitchratings.com' or by clicking on the link.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--Global Structured Finance Rating Criteria (May 2013)

--Rating Criteria for U.S. Commercial Mortgage Servicers (Feb. 2014)

--Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions (Sept. 2013)

--U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria (Dec. 2013)

--Managing and Developing Criteria and Models (April 2014)

--Counterparty Criteria for Structured Finance and Covered Bonds (May 2014)

--Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (June 2013)

--Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds (April 2014)

--Fitch's U.S. CMBS Multiborrower Rating Model Technical Report (Jan. 2008)

--Terrorism Insurance and U.S. CMBS (Dec. 2009)

--Environmental Site Assessments and Environmental Insurance in U.S. CMBS Transactions (Dec. 2009)

--Addressing Extreme Events (July 2011)

Applicable Criteria and Related Research: Criteria for Analyzing Multiborrower U.S. Commercial Mortgage Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748778

Environmental Site Assessments and Environmental Insurance in U.S. CMBS Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=491138

Terrorism Insurance and U.S. CMBS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=491130

U.S. CMBS Multiborrower Rating Model Technical Report

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=367172

Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=741479

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=724961

Criteria for Analyzing Large Loans in U.S. Commercial Mortgage Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718468

Rating Criteria for U.S. Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=735382

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.



Fitch Ratings

Robert Vrchota, +1 312-368-3336

Managing Director

Fitch Ratings, Inc.

70 W. Madison St.

Chicago, IL 60602

or

Ryan Frank, +1 312-368-3133

Senior Director

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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