The Structured Finance (SF) Group is in charge of rating operations concerning the creditworthiness of SF deals involving residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), asset-backed securities (ABS), structured credit (SC) deals and asset-backed commercial paper (ABCP), as well as handling ratings designed to evaluate servicers’ operational risk.
After assigning ratings, Fitch monitors and surveils deal performance to ensure the ratings reflect the latest situation until such time as the debt in question is fully redeemed or repaid, or the rating is withdrawn; it also monitors and surveils servicers.
SF credit ratings consider the relative probability that a debt may go into default. These credit ratings are not normally assigned to the issuer but to individual debts or tranches with different risk levels. When analyzing credit ratings, Fitch focuses on the five elements that constitute the basis of SF: legal structure, the quality of the underlying assets, credit enhancement, financial structure and the quality of the originator and the servicer.
In addition to credit ratings in the area of SF debt, Fitch assigns recovery ratings to debt rated ‘CCC’ or lower to provide an indication of future recovery potential, and loss severity ratings on some debt rated ‘B’ Category and higher to indicate its evaluation of relative loss severity in cases of default.
Servicer ratings are designed to indicate the ability of primary servicers, special servicers and master servicers to service transactions in asset classes such as housing loans, CMBS and ABS.
