Fitch Unveils RMBS Performance Indexes

Fitch Ratings has introduced a new set of indexes for residential mortgage-backed securities designed to offer performance analysis based on loan-level data.The RMBS Market Sector Performance Indices will present delinquency and foreclosure statistics on the prime, alternative-A, and subprime market sectors, although only the subprime indexes were available as of March 31, Fitch said. The indexes will offer a short commentary on each market sector's performance, and the statistics and commentary will be updated monthly, the rating agency said. "The new Fitch RMBS Market Sector Indices offer high-quality mortgage loan data, flexibility in data analysis, and static mortgage pools," said Susan Kulakowski, a senior director at Fitch. She said Fitch standardizes monthly performance data, grouping mortgages into appropriate pools that are then linked to the appropriate RMBS. Subscribers to Fitch's website can access the indexes at http://www.fitchratings.com.