OREANDA-NEWS. Fitch Ratings has updated its global rating criteria for CLOs and corporate CDOs. The agency does not expect any rating changes to result from this update.

The update described in greater detail of the analysis we apply when a CLO includes a Fitch test matrix. Additionally, we have defined the flexibility the credit committee has in assigning a particular rating when comparing break-even default rates from a cash flow model with the Portfolio Credit Model (PCM) rating default rates.

The latest criteria further established that CLOs are unlikely to be affected by negative interest rates while we continue to apply the standard (positive) interest rate downward stresses in our rating analysis. We also updated our manager operational risk considerations and no longer require an on-site review every two years; instead we expect to update our assessment of managers when specific changes occur. Finally, we included further guidance for circumstances during surveillance of existing ratings where we do not use a cash flow model on a transaction.