Fitch Ratings has published its updated criteria for CLOs and corporate CDOs. At the same time, Fitch has published a feedback report, detailing responses received in respect of the exposure draft for the criteria report.

The final criteria removed the proposed change to use only Recovery Ratings for specific instruments provided by Fitch's corporate ratings group. Consistent with previous determination of an asset's security, the agency will use a security specific recovery estimate value when provided by our corporate ratings group. This does not affect the proposed change to remove the use of asset specific recovery credit opinions or recovery estimates for US middle market loans with credit opinions derived from the Corporate Credit Opinion Model. Additionally, recovery rates previously provided alongside credit opinions derived using a credit opinion model will no longer be used to determine recovery assumptions.

Other proposed changes in the exposure draft are unchanged.

The criteria include added clarification that we may perform cash flow modelling more frequently in our surveillance process than previously prescribed. No ratings will be affected by the release of this final criteria.

Fitch has retired the "Exposure Draft: CLOs and Corporate CDOs Rating Criteria" dated 17 August 2020 as well as the "CLOs and Corporate CDOs Rating Criteria" dated 3 July 2019.