"Fitch Slashes Prime RMBS to Junk
Posted By DIANA GOLOBAY
May 15, 2009 11:24 am
Many of the vintage 07 series involved in Citigroup’s RMBS downgrades migrated to double-C from triple-A but several made the leap to triple-C from triple-A.
The agency also slashed five series of Bear Stearns RMBS from triple-A to double-C, and one from triple-A to triple-C.
Bank of America Funding’s RMBS on the most part maintained its triple-A rating, although a single series previously placed on negative ratings plunged from triple-A to triple-C.
Fitch recently revised its surveillance methodology for prime and Alt-A residential mortgage-backed securities to incorporate ResiLogic’s mortgage loss and default model, which determines a base-case loss expectation in conjunction with a transaction specific assessment of the pool’s actual performance.
Write to [2] Diana Golobay.
Disclosure: The author held no relevant investment positions when this story was published. Indirect holdings may exist via mutual fund investments."
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