rd & Poor's Ratings Services (S&P) has published a request-for-comment article in which it is seeking market feedback on proposed changes regarding the methodologies and assumptions it uses to rate U.S. ‘conduit’ or ‘conduit/fusion’ commercial mortgage-backed securities transactions. While the company will leave its property evaluation criteria unchanged, S&P says the migration to determining credit enhancement levels represents a significant update to its methodologies and assumptions. The determination also hinges on establishing a enhancement for AAA ratings that is sufficient to enable tranches rated at that level to withstand market conditions commensurate with an extreme economic downturn without defaulting. Other key aspects of the proposal on which S&P seeks feedback is in regard to its refining of capitalization rates to provide greater specificity and consistency from one pool to another, introduction of a standardized method to assess geographic concentration, and surveillance of loss-projection methodology. SOUR
