Fitch Tests Resilience of Top CMBS Ratings


Recent Fitch CMBS stress tests show that relatively high percentages of top-rated securities that go through a sharp double-dip recession would keep those ratings intact.

According to the report, 77% of top-rated CMBS would hold up in such a scenario, which Fitch described as “moderate” stress comparable to actual rating migration during the global credit crisis.

The stress test was done as part of a wider study into how global structured finance ratings might fare in a prolonged economic downturn. As part of the study, the company modeled a “severe” stress scenario “significantly” worse than its expectations. In this scenario, about 44% of top-rated commercial mortgage-backed securities’ ratings would stand firm and 85% of tranches in these deals would be able to pay in full.

Fitch’s recent report on the topic notes that some property types such as hotels would not fare as well as others.

“While hotel loans have experienced the most severe stress to net operating income during the global credit crisis, they have also rebounded more quickly than other asset types,” Mary MacNeill, a managing director at Fitch, told National Mortgage News. “The cap rate stresses used in the severe stress were identical, but at different starting points for each property type.”


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