Fitch Launches Review of Subprime Deals

Fitch Ratings has announced that it is undertaking a comprehensive review of subprime mortgage securitizations that it plans to complete by the end of the year.The review, beginning with the earliest transactions, will cover all the more than 875 subprime securitizations rated by Fitch, as well as nearly 150 manufactured housing deals and more than 150 net-interest-margin deals, the rating agency said. The performance review will consider factors such as: valuing excess spread by making assumptions about prepayments and the timing of loss allocations; working with servicers to determine loss severity and cure rates and to assess the timing of delinquencies and foreclosures; and examining the quality of remaining collateral and the nature of unusual structural features. "In addition, as part of its ongoing analysis, Fitch identifies transactions which are performing outside of original expectations through an internal screening process which monitors numerous performance variables," the rating agency said. Fitch can be found online at http://www.fitchratings.com.