As part of its ongoing review of the CMBS portfolio, Fitch Ratings has placed 238 bonds from 33 different transactions, totaling $9 billion, on ratings watch negative. The status should be resolved over the next 90 days as transactions are evaluated from 2006-2008.

The review is a result of Fitch’s updated surveillance criteria, released on July 7. Fitch expects U.S. conduit and fusion CMBS from the 2006-2008 vintages to substantially underperform older vintages, therefore the forecast of losses required a slight modification in analysis.

This loan-level analysis provides a second level of review incorporating current and projected performance data for an estimated 40% to 65% of the pool.

The process takes into account the macroeconomic deterioration, as well as assuming immediate and sustained decline in property income of 15% and peak to trough property value declines of 35%. Additionally, the rating agency also looked at the current performance of the 15 largest loans (Fitch Loans of Concern) and adjusted its loss assumptions.

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