Fitch Corrects Criteria for Granular Corporate Balance-Sheet Securitisations
OREANDA-NEWS. Fitch Ratings has published a revised criteria report for collateralised debt obligations backed by loans to small- and medium-sized enterprises (SMEs). The report replaces the existing "Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME CLOs)", dated 3 March 2016.
The amended report corrects the default probability assumptions for delinquent loans. A probability of default of 30%, 65%, 100% is assumed for loans delinquent by more than or equal to 30, 60, 90 days rather than for loans delinquent by more than 30, 60, 90 days respectively.