Fitch To Update Modeling Assumptions on Subprime

RMBS Fitch plans to update certain modeling assumptions in its ongoing analysts of the financial guaranty industry, citing a "consensus movement towards a view of increased loss projections for U.S. subprime residential mortgage-backed securities" that it supports. Fitch has identified five financial guarantors as "having material subprime exposure within their insured portfolios." These are Ambac Assurance Corp., CIFG Guaranty, Financial Guaranty Insurance Co., MBIA Insurance Corp. and Security Capital Assurance Inc. Fitch has downgraded Ambac, FGIC and SCA. Their ratings and those of the other two aforementioned companies are all on Rating Watch Negative. Fitch also said it will be keeping a close eye on Financial Security Assurance Holdings Ltd. even though its ratings officially remain stable and its subprime-related exposure is not "material."