...This report summarizes Fitch Ratings' criteria for analyzing large loans within a single -borrower or multiborrower U.S. CMBS transaction. As each property, borrower and loan structure has unique strengths and concerns, this report examines how the qualitative and quantitative factors, related to the collateral and structure of a loan, in addition to the structure of the overall pool, determine the key Fitch assumptions in the large loan rating analysis: Fitch cash flow; loan refinance constant; property capitalization (cap) rate; amortization; and DSCR and LTV parameters. These assumptions are used to calculate rating category-specific loan proceeds based on factors sustainable through a full real estate cycle and expected to be refinanced or recovered under the rating-specific stresses. While large loans often have leverage limited to investment- grade ratings, they sometimes have non-investment-grade leverage....
