OREANDA-NEWS. Fitch Ratings has updated its "Canadian Residential Mortgage Loan Loss Model Criteria." The report updates and replaces the report with the same title dated April 2015. 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.

The criteria remain fundamentally unchanged, and there is no impact on the outstanding Canadian covered bonds currently rated by Fitch. The update incorporates a broader dataset including more years of observed performance, and updates the relationships between loan characteristics and defaults 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.