Fitch Updates Canadian Residential Mortgage Loan Loss Model Criteria

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has updated its criteria report 'Canadian Residential Mortgage Loan Loss Model Criteria.' The report updates and replaces the report with the same title dated May 2014. The criteria report summarizes Fitch's current criteria for estimating losses on Canadian residential mortgage loans collateralizing covered bond programs as well as Residential Mortgage Backed Securities and Asset Backed Commercial Paper facilities.

The criteria remain fundamentally unchanged, and there is no impact on the outstanding Canadian covered bonds currently rated by Fitch. The update satisfies requirements for annual criteria review, but Fitch is currently in the process of gathering updated performance data for a full update to the model criteria, intended to be released in the 3rd Quarter of 2015. This review will incorporate a broader dataset including more years of observed performance, and will re-evaluate the relationships between loan characteristic and default using an updated regression analysis.

Key drivers of the model include:

--Sustainable loan-to-value ratios, reflecting both changes in house prices since origination and Fitch's projected market value declines based on the agency's proprietary Sustainable Home Price model.

--Other borrower and loan attributes including credit score, total debt service ratio, loan purpose, occupancy and property type.

--Loan interest, legal costs, sales commissions, and other expenses associated with maintenance and upkeep of the property during the liquidation period, analyzed as part of an accounting-based loss severity framework which determines total proceeds available to investors upon liquidation.

The report is available at 'www.fitchratings.com' or by clicking on the link above.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research: Canadian Residential Mortgage Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864357

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Stefan Hilts, +1-212-908-9137
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Suzanne Mistretta, +1-212-908-0639
Senior Director
or
Sandro Scenga, +1-212-908-0278
Media Relations, New York
[email protected]

Source: Fitch Ratings

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