Fitch's latest 12-month forecast for rate recasts on prime and alternative-A credit residential mortgage-backed securities indicates that more than $47 billion of collateral could be affected by rate shock. The forecast pertains to prime and alt-A RMBS slated to convert from interest-only payments to full principal and interest payments. "Sixty-day delinquency rates have risen over 250% in the 12 months following previous recasts for prime and alt-A loans," said Fitch managing director Roelof Slump. He said Fitch's current ratings consider the risks of upcoming IO recasts but mortgage pools with "significant" IO concentrations still could be downgraded "if performance is worse than anticipated."
Processing Content
