More than 300 additional classes of subprime mortgage pass-through certificates were downgraded by Fitch Ratings on Feb. 29 as a result of changes to its subprime loss forecasting assumptions. Fitch also affirmed the ratings on classes with outstanding balances of over $7 billion. The first-lien securities affected by the latest downgrades were 112 classes from 11 Carrington Mortgage Loan Trust deals; 38 classes from three GMAC Residential Funding Co. deals; 38 classes from three Credit Suisse First Boston Home Equity Asset Trust deals; 19 classes from four Residential Asset Mortgage Product Inc. deals; 13 classes from one Goldman Sachs deal; 12 classes from one New Century deal; and 12 classes from one Equifirst Loan Securitization Trust deal. The first- and second-lien securities affected were 63 classes from six Credit-Based Asset Servicing and Securitization LLC deals and 29 classes from two Asset Backed Securities Corp. Home Equity Loan Trust deals. The rating actions were attributed to changes to 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 can be found on the Web 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