Meanwhile, Fitch has announced enhancements to ResiLogic, its mortgage default and loss model for U.S. residential mortgage-backed securities. Fitch said the enhancements are designed to further its goal of incorporating a "robust forecast" of national and regional economic conditions into the ResiLogic model. The three major enhancements are as follows: expansion of state-level risk multipliers to include 25 specific metropolitan statistical area multipliers; the incorporation of MSA and state risk multipliers as factors influencing the loss severity for a defaulted mortgage in addition to the risk of mortgage default or frequency of foreclosure; and the inclusion of a national risk index that changes default and loss expectations in accordance with national macroeconomic trends. The rating agency also released a quarterly update to its regional risk multipliers. "The combined impact of these revisions generally produces a higher expected loss for subprime and alt-A mortgages, and to a lesser extent, for prime mortgages," Fitch said. "This is primarily due to Fitch's expectations of additional substantial stress on mortgage performance due to declining home prices and a weakening economy."

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