Fitch Downgrades MBS Due to Loss Forecast
About 280 classes of mortgage-backed securities from more than 20 issuers were recently downgraded by Fitch Ratings as a result of changes to its subprime loss forecasting assumptions.
Fitch also affirmed the ratings on classes with outstanding balances of approximately $30 billion.
Among the securities affected by the latest downgrades were 42 classes of Structured Asset Investment Loans mortgage pass-through certificates; 35 classes of Ameriquest, Argent and Park Place mortgage pass-throughs; 31 classes of Soundview Home Equity Loan Trust asset-backed certificates; 15 classes from three Bear Stearns Asset-Backed Securities issues; and 13 classes of Fremont Home Loan Trust mortgage pass-throughs. Also affected were 13 classes of NovaStar mortgage pass-throughs, 12 classes of WaMu asset-backed certificates, 12 classes of Citigroup Mortgage Loan Trust mortgage pass-throughs, 11 classes of Option One mortgage pass-throughs and 11 classes of People's Choice Home Loan mortgage pass-throughs. The rating actions were attributed to changes in Fitch's subprime loss forecasting assumptions that "better capture the deteriorating performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness."
Fitch Eyes 388 Ambac-Linked ABS
Three hundred and eighty-eight classes of asset-backed securities supported by financial guaranty policies from Ambac Assurance Corp. have been placed on Rating Watch Negative by Fitch Ratings.
Fitch said the actions followed its placement of Ambac Financial Group (the parent company of Ambac Assurance) on Rating Watch Negative.
Also placed on Rating Watch Negative were the Insurer Financial Strength ratings of Ambac's financial guaranty insurance subsidiaries.
Fitch Eyes Monoline RMBS
Citing recent rating actions on four financial guaranty insurance companies and their subsidiaries, Fitch Ratings has placed over 200 residential mortgage-backed securities insured by the companies on Rating Watch Negative.
Fitch placed the AAA Insurer Financial Strength ratings of Security Capital Assurance Ltd., MBIA Inc., FGIC Corp., Ambac Assurance Corp. and their subsidiaries on Rating Watch Negative following updated assessments of the monoline insurance companies' exposure to RMBS, structured finance collateralized debt obligations backed by subprime mortgage collateral, and CDO-squared transactions. The affected RMBS classes include 19 insured by SCA, 87 insured by MBIA, 36 insured by FGIC and 64 insured by Ambac. Fitch said the securities will remain on Rating Watch Negative while it conducts a review to determine which classes will be able to maintain their AAA ratings based on subordination, overcollateralization, or additional forms of credit enhancement. (c) 2008 Mortgage Servicing News and SourceMedia, Inc. All Rights Reserved. http://www.mortgageservicingnews.com/ http://www.sourcemedia.com/