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Fitch Revises U.S. Subprime RMBS Surveillance.
Byline: Amilda Dymi
New York-Fitch Ratings has updated at least two of its market watch tools aiming to further improve subprime loan data analytics accuracy.
The ratings agency said its surveillance methodology for U.S. subprime residential mortgage-backed securities has been revised "to reflect an added emphasis on its loan-level default and loss model, ResiLogic."
In addition, Fitch has updated the average cumulative loss projections, as a percentage of the initial securitized balance, for its subprime RMBS "so they can reflect both deteriorating performance and the new criteria revisions."
RMBS loss expectations for 2005, 2006 and 2007 vintage transactions were 12%, 27% and 31%, respectively.
After reviewing rated transactions from these vintages Fitch will release updated ratings. The ratings agency noted, however, that the expanded use of ResiLogic for current and delinquent mortgages helps to estimate the "B" base-case mortgage pool expected loss is based on enhancements made to ResiLogic that were initially announced in July 2008.
Before the aforementioned enhancements took effect, Fitch said, "the use of loan-level analysis in subprime surveillance was limited to loss severity projections for mortgage pools seasoned less than 24 months."
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