Following up on its extensive rating review of recent vintage CMBS, Fitch Ratings published the first in a series of U.S. CMBS performance reports aimed at delivering to investors the highest level of transparency and opinion on the transactions it rates.
The new publications are called U.S. CMBS Focus reports will offer an extensive level of detail on individual CMBS transaction performance originated between 2006 and 2008.
According to a press release from the rating agency, included in the reports are increased commentary providing its perspective on loan and pool level performance; an in-depth review of the top 15 loans; the rating agency’s loss forecast for the deal; individual modeled losses for the top 15 loans; as well as rating sensitivity analysis for each bond with a Negative Outlook.
The first two reports are on the following two transactions: Morgan Stanley Capital I Trust, Series 2008-TOP29 and Credit Suisse Commercial Mortgage Trust, Series 2007-C1, which were
published earlier today. They will be followed over the next four weeks by over 75 additional reports on 2006-2008 Fitch-rated CMBS.
The reports' content reflects the input of numerous investors as well as other market players who have asked for a greater level of detail, more in-depth analysis and more opinionated commentary on CMBS transaction performance in light of the declining commercial mortgage collateral performance.
The rating agency completed its third-quarter review of 2006-2008 CMBS deals earlier this month. The review resulted in rating affirmations for 80% of the tranches by balance (totaling $186.1 billion), and downgrades for the remaining 20% ($44.3 billion).
Fitch is planning quarterly updates for its U.S. CMBS Focus reports.