An affiliate of Fitch Ratings plans to release a version of the 2003 model the company uses to set credit enhancement levels for securitized, residential mortgages in the first quarter of next year.Among the things the model takes into account are regional home price bubbles and performance statistics that show alternative-A credits have a better and different performance record than B&C credits, Fitch analysts said at a meeting in New York. Fitch has been using this model to set credit enhancement levels since about the end of the first quarter of this year, said Sarbashis Ghosh, senior director in Fitch's structured finance residential mortgage area. The Nov. 5 meeting was its first public discussion of the model's underlying statistics, he said. Fitch Ratings can be found online at http://www.fitchratings.com.

Subscribe Now

Authoritative analysis and perspective for every segment of the mortgage industry

30-Day Free Trial

Authoritative analysis and perspective for every segment of the mortgage industry