OREANDA-NEWS. Conventional wisdom for new U.S. CMBS deals dictates that credit enhancement goes up as loan quality slips, though a new report from Fitch Ratings shows a few recent deals moving against that theory.

A study of recent CMBS transactions that Fitch was asked not to rate is showing that credit enhancement levels declined despite the fact that collateral credit quality did not improve and in some cases declined.

The transactions in question are as follows:

--COMM Mortgage Trust, 2015-CCRE23
--CSAIL Commercial Mortgage Trust, 2015-C2;
--Wells Fargo Commercial Mortgage Trust, 2015-C28; and
--GS Mortgage Securities Trust, 2015-GC30.

The common denominator is two-fold, according to CMBS group head Huxley Somerville. 'Not only was credit enhancement for each of these CMBS deals insufficient for Fitch to rate at, but the deals were not that different in quality to earlier transactions that Fitch had rated from each of these shelves,' said Somerville. Had Fitch rated each of these four CMBS deals, either the credit enhancement would have been higher at each rating level or the ratings themselves would have been lower.