Fitch Updates U.S. RMBS Cash Flow Analysis Criteria

NEW YORK--()--Link to Fitch Ratings' Report: U.S. RMBS Cash Flow Analysis Criteria

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=880006

Fitch Ratings has updated its criteria report 'U.S. RMBS Cash Flow Analysis Criteria.' The report updates and replaces the report with the same title dated April 2015. The criteria remain fundamentally unchanged. The methodology to project the delinquency curve has been enhanced to better reflect the pool's projected liquidations within a given timeframe and the percentage of the pool that is expected to default but ultimately cure. The enhancement to the delinquency curve logic is expected to have a limited impact on the outstanding residential mortgage backed securities (RMBS) transactions currently rated by Fitch.

The criteria report summarizes Fitch's current criteria for analyzing the structure of RMBS transactions. The criteria take into account the structural features such as triggers and payment priority as well as the impact of default and prepayment timing.

The key risk drivers in Fitch's analysis of U.S. RMBS cash flows include the following:

--The timing of defaults;

--The timing of prepayments;

--Residual exposure to interest rate movements.

The report is available at 'www.fitchratings.com' or by clicking on the link above.

Additional information is available at 'www.fitchratings.com'.

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Contacts

Fitch Ratings
Suzanne Mistretta
Senior Director
+1-212-908-0639
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Christine Yan
Director
+1-212-908-0838
or
Ryan O'Loughlin
Associate Director
+1-212-908-0387
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Suzanne Mistretta
Senior Director
+1-212-908-0639
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Christine Yan
Director
+1-212-908-0838
or
Ryan O'Loughlin
Associate Director
+1-212-908-0387
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com