Fitch Releases Updated CMBS Surveillance Criteria

Fitch Ratings has released an updated criteria report for surveillance of its U.S. fixed-rate commercial mortgage-backed securities (CMBS) transactions. These criteria will be applied to all future reviews of Fitch's U.S. fixed-rate CMBS portfolios.

The key tenets to the methodology remain the same, Fitch says. Among the updates is the addition of a performing-loan stress to the methodology's current term and maturity stresses. Fitch says this new stress will affect past-issued transactions marginally but will better address new and future transactions.

Property valuations are now based on a capped income approach rather than a static market value decline to reflect improvements in portfolio data, the rating agency adds.

Also, stressed loss calculations on loans that fail the maturity stress are now adjusted by loan debt service coverage ratio (DSCR), rather than time to maturity. Fitch says this adjustment better reflects actual events and recognizes servicer flexibility afforded to most pools because of very long-term legal final maturity dates.

Moreover, a deterministic test has been added to assess pools that exhibit poor diversity or have high concentrations of risky assets.

SOURCE: Fitch Ratings


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