Fitch Updates Canadian RMBS Loan Loss Criteria

NEW YORK--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: Canadian RMBS Loan Loss Model Criteria

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=881457

Fitch Ratings has updated its "Canadian Residential Mortgage Loan Loss Model Criteria." The report updates and replaces the report with the same title dated April 2015. The criteria report summarizes Fitch's current criteria for estimating losses on Canadian residential mortgage loans collateralizing covered bond programs as well as Residential Mortgage Backed Securities.

The criteria remain fundamentally unchanged, and there is no impact on the outstanding Canadian covered bonds currently rated by Fitch. The update incorporates a broader dataset including more years of observed performance, and updates the relationships between loan characteristics and defaults using an updated regression analysis.

Key drivers of the model include:

--Sustainable loan-to-value ratios, reflecting both changes in house prices since origination and Fitch's projected market value declines based on the agency's proprietary Sustainable Home Price model.

--Other borrower and loan attributes including credit score, total debt service ratio, loan purpose, occupancy and property type.

--Loan interest, legal costs, sales commissions, and other expenses associated with maintenance and upkeep of the property during the liquidation period, analyzed as part of an accounting-based loss severity framework which determines total proceeds available to investors upon liquidation.

The report is available at 'www.fitchratings.com' or by clicking on the link above.

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

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.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160620006326/en/

Fitch Ratings
Samuel So, +1-212-908-0696
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY, 10004
or
Suzanne Mistretta, +1-212-908-0639
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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