Fitch Makes New RMBS Loss Expectations Freely Available
Fitch Ratings has launched ‘RMBS Loss Metrics’, providing investors with the ability to compare relative loss expectations across the universe of approximately 40,000 Residential Mortgage-backed Securities rated by Fitch.
Fitch RMBS Loss Metrics provide key loss and performance data points at both the deal and bond level. At the deal level, expected default, loss severity and loss levels are provided. At the bond level, default risk measures include the amount of loss that would incur a default on each bond and the multiple to the baseline expectation that would cause a default. In addition to providing enhanced transparency on RMBS, these metrics offer insight into Fitch’s credit perspective and the potential for future rating actions.
The initial release contains loss metrics for 2005-2007 vintage U.S. subprime RMBS, based on the assumptions used in Fitch’s current surveillance methodology.
Loss data for pre-2005 subprime, as well as all vintage Alt-A and prime RMBS, will be added as ongoing portfolio rating reviews of these asset classes are completed. Fitch RMBS Loss Metrics will be updated regularly and expanded over time to include additional and alternative measures of risk after consultation with the market.
Fitch is currently making RMBS Loss Metrics freely available to the market. To access the Fitch RMBS Loss Metrics spreadsheet, visit ‘www.fitchratings.com‘ under the following headers: Structured Finance >> RMBS >> Special Report (registration required.)
You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.
