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Fitch Ratings has updated its criteria for analyzing Canadian residential mortgages collateralizing new and existing covered bond programs and residential mortgage-backed securities (RMBS). The updated report now includes the assumptions that Fitch uses in its cash flow analysis of Canadian covered bonds. No changes have been made to the Canadian RMBS Loan Loss Model analysis. This report replaces the June 2016 criteria report titled “Canadian RMBS Loan Loss Model Criteria”.


Fitch does not expect any of the assumptions outlined in the report to have a rating impact on the outstanding covered bond programs as these assumptions are consistent with those previously applied in its analysis.

The key risk drivers in Fitch’s analysis of Canadian Residential Mortgages include:

–Borrower Equity;
–Home Price Projections;
–Borrower and Loan Attributes;
–Liquidation Timelines and Cost;
–Rating Stresses;
–Cash Flow Analysis.

Link to Fitch Ratings’ Report: Canadian Residential Mortgage Rating Criteria