Fitch Takes Various Actions on 203 2004 U.S. Prime RMBS Transactions

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has taken various rating actions on 203 2004 vintage U.S. prime RMBS transactions as part of its ongoing review of prime RMBS.

A spreadsheet detailing Fitch's rating actions on the affected transactions, as well as Expected Loss and Loss Coverage Ratios for each bond, is available at www.fitchratings.com under the following headers:

Structured Finance >> RMBS >> Rating Action Reports

Today's rating actions reflect Fitch's analysis of expected default and loss from the collateral pool in addition to cash flow analysis of each class. Similar to the approach adopted in 2008 for the surveillance of Alt-A RMBS, Fitch has revised its surveillance methodology for prime RMBS to include the use of the ResiLogic mortgage loss and default model to determine a base-case loss expectation in conjunction with a transaction specific assessment of the pools' actual performance. The assessment helps determine the adjustment, if any, to the ResiLogic base-case loss expectation due to observed improvement or deterioration in the pools' performance trends.

Targeted loss coverage multiples generated by ResiLogic are compared to loss coverage ratios (LCRs) derived by Fitch's break loss cash flow analysis to determine rating actions. Utilizing ResiLogic as part of the revised surveillance methodology may result in substantially higher credit enhancement thresholds at each rating category, depending on several factors for the remaining loan pool including: seasoning, geographic concentration, loan type and risk layering.

An updated criteria report discussing Fitch's prime surveillance criteria is expected to be published in the coming weeks.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.