Fitch Touts New CMBS Model

Fitch Ratings has announced the introduction of what it terms "the first statistically valid U.S. CMBS multiborrower rating model" for evaluating credit risk in commercial mortgage pools.Fitch said the new model was developed after a study of over 32,000 commercial mortgage-backed securities fixed-rate conduit loans originated from 1994 to 2001 and how they performed through the end of 2006. The model now includes statistical methods to identify the greatest contributing factors for probability of default, probability of loss, and loss severity, along with the more sophisticated method of quantifying the effect of portfolio composition on a pool's credit risk profile. Fitch said it will begin using the new model on new transactions beginning March 1. The report, "Fitch's New U.S. CMBS Multiborrower Rating Model," will be available at the end of January on the rating agency's website at http://www.fitchratings.com.