In response to recently raised questions regarding the assignment of shadow' ratings to the underlying collateral in ABS/MBS CDOs, particularly in the CMBS market (see ASR 6/18 and 6/25), Fitch released a new report last week demonstrating that there is no meaningful analytic justification for the refusal to recognize or notch' Fitch-rated CMBS collateral in ABS/MBS CDOs.

The report asserts that these exclusionary notching policies do not appear consistent with the market's acceptance of a Fitch rating on CMBS collateral. It also refutes claims from Moody's that appeared in ASR (6/25) which said that Fitch's credit enhancement levels are consistently lower than those of other rating agencies.

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