Fitch Affirms $4.4B from 6 Carrington Subprime Transactions.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. the following Carrington Carrington or Carington is a surname, and may refer to:
Carrington 2006-FRE1 --$499.6 million class A affirmed at 'AAA' (BL: 48.49, LCR: 3.95); --$48.0 million class M-1 affirmed at 'AA+' (BL: 42.54, LCR: 3.46); --$44.5 million class M-2 affirmed at 'AA' (BL: 37.02, LCR: 3.01); --$26.9 million class M-3 affirmed at 'AA-' (BL: 33.68, LCR: 2.74); --$24.6 million class M-4 affirmed at 'A+' (BL: 27.72, LCR: 2.26); --$23.4 million class M-5 affirmed at 'A+' (BL: 26.28, LCR: 2.14); --$21.0 million class M-6 affirmed at 'A' (BL: 24.49, LCR: 1.99); --$19.9 million class M-7 affirmed at 'A-' (BL: 22.33, LCR: 1.82); --$17.5 million class M-8 affirmed at 'BBB+' (BL: 20.18, LCR: 1.64); --$13.4 million class M-9 affirmed at 'BBB+' (BL: 18.59, LCR: 1.51); --$14.6 million class M-10 affirmed at 'BBB+' (BL: 17.28, LCR: 1.41). Deal Summary --Originators: 100% Fremont Fremont (frē`mŏnt). 1 City (1990 pop. 173,339), Alameda co., W Calif., on San Francisco Bay; inc. 1956. Long an agricultural center, with champagne vineyards founded (1870) by Leland Stanford, it still ships fruits and vegetables. Investment & Loan; --60+ day Delinquency delinquency Criminal behaviour carried out by a juvenile. Young males make up the bulk of the delinquent population (about 80% in the U.S.) in all countries in which the behaviour is reported. : 19.91%; --Realized Losses to date (% of Original Balance): 0.07%; --Expected Remaining Losses (% of Current Balance): 12.29%; --Cumulative Expected Losses (% of Original Balance): 8.65%. Carrington 2006-NC1 --$650.4 million class A affirmed at 'AAA' (BL: 40.87, LCR: 4.57); --$52.5 million class M-1 affirmed at 'AA+' (BL: 32.92, LCR: 3.68); --$48.9 million class M-2 affirmed at 'AA' (BL: 29.99, LCR: 3.35); --$28.8 million class M-3 affirmed at 'AA-' (BL: 27.36, LCR: 3.06); --$26.6 million class M-4 affirmed at 'A+' (BL: 24.69, LCR: 2.76); --$24.4 million class M-5 affirmed at 'A' (BL: 22.24, LCR: 2.48); --$22.3 million class M-6 affirmed at 'A-' (BL: 19.96, LCR: 2.23); --$20.1 million class M-7 affirmed at 'BBB+' (BL: 17.83, LCR: 1.99); --$15.8 million class M-8 affirmed at 'BBB' (BL: 16.18, LCR: 1.81); --$14.4 million class M-9 affirmed at 'BBB-' (BL: 14.72, LCR: 1.64); --$14.4 million class M-10 affirmed at 'BBB-' (BL: 13.69, LCR: 1.53). Deal Summary --Originators: 100% New Century Mortgage Corp.; --60+ day Delinquency: 13.82%; --Realized Losses to date (% of Original Balance): 0.16%; --Expected Remaining Losses (% of Current Balance): 8.95%; --Cumulative Expected Losses (% of Original Balance): 6.30%. Carrington 2006-NC2 --$437.2 million class A affirmed at 'AAA' (BL: 44.39, LCR: 3.51); --$41.4 million class M-1 affirmed at 'AA+' (BL: 38.19, LCR: 3.02); --$48.0 million class M-2 affirmed at 'AA' (BL: 29.06, LCR: 2.30); --$17.8 million class M-3 affirmed at 'AA-' (BL: 27.28, LCR: 2.16); --$17.8 million class M-4 affirmed at 'A+' (BL: 25.25, LCR: 2.00); --$17.8 million class M-5 affirmed at 'A' (BL: 22.59, LCR: 1.79); --$16.9 million class M-6 affirmed at 'A-' (BL: 20.05, LCR: 1.58); --$16.4 million class M-7 affirmed at 'BBB+' (BL: 17.52, LCR: 1.38); --$12.2 million class M-8 affirmed at 'BBB' (BL: 15.65, LCR: 1.24); --$8.4 million class M-9 affirmed at 'BBB-' (BL: 14.33, LCR: 1.13); --$10.8 million class M-10 affirmed at 'BB+' (BL: 13.01, LCR: 1.03). Deal Summary --Originators: 100% New Century Mortgage Corp.; --60+ day Delinquency: 17.59%; --Realized Losses to date (% of Original Balance): 0.08%; --Expected Remaining Losses (% of Current Balance): 12.65%; --Cumulative Expected Losses (% of Original Balance): 9.15%. Carrington 2006-NC5 --$746.4 million class A affirmed at 'AAA' (BL: 50.38, LCR: 4.94); --$67.6 million class M-1 affirmed at 'AA+' (BL: 33.16, LCR: 3.25); --$64.6 million class M-2 affirmed at 'AA' (BL: 25.27, LCR: 2.48); --$21.7 million class M-3 affirmed at 'AA' (BL: 23.75, LCR: 2.33); --$31.7 million class M-4 affirmed at 'A+' (BL: 21.39, LCR: 2.10); --$24.1 million class M-5 affirmed at 'A' (BL: 19.12, LCR: 1.87); --$16.4 million class M-6 affirmed at 'A-' (BL: 17.54, LCR: 1.72); --$20.5 million class M-7 affirmed at 'BBB+' (BL: 15.50, LCR: 1.52); --$12.9 million class M-8 affirmed at 'BBB' (BL: 14.14, LCR: 1.39); --$17.6 million class M-9 affirmed at 'BBB' (BL: 12.31, LCR: 1.21); --$20.5 million class M-10 affirmed at 'BB+' (BL: 10.52, LCR: 1.03). Deal Summary --Originators: 100% New Century Mortgage Corp.; --60+ day Delinquency: 9.76%; --Realized Losses to date (% of Original Balance): 0.02%; --Expected Remaining Losses (% of Current Balance): 10.20%; --Cumulative Expected Losses (% of Original Balance): 9.39%. Carrington 2006-OPT1 --$395.6 million class A affirmed at 'AAA' (BL: 45.76, LCR: 4.65); --$36.3 million class M-1 affirmed at 'AA+' (BL: 40.02, LCR: 4.07); --$34.3 million class M-2 affirmed at 'AA+' (BL: 31.59, LCR: 3.21); --$20.4 million class M-3 affirmed at 'AA' (BL: 29.99, LCR: 3.05); --$18.4 million class M-4 affirmed at 'AA-' (BL: 27.95, LCR: 2.84); --$16.9 million class M-5 affirmed at 'A+' (BL: 25.48, LCR: 2.59); --$15.9 million class M-6 affirmed at 'A-' (BL: 22.97, LCR: 2.33); --$14.9 million class M-7 affirmed at 'A-' (BL: 20.58, LCR: 2.09); --$12.9 million class M-8 affirmed at 'BBB+' (BL: 18.52, LCR: 1.88); --$10.4 million class M-9 affirmed at 'BBB' (BL: 16.86, LCR: 1.71); --$12.4 million class M-10 affirmed at 'BBB' (BL: 15.22, LCR: 1.55). Deal Summary --Originators: 100% Option One Mortgage Corp.; --60+ day Delinquency: 15.99%; --Realized Losses to date (% of Original Balance): 0.11%; --Expected Remaining Losses (% of Current Balance): 9.84%; --Cumulative Expected Losses (% of Original Balance): 6.22%. Carrington 2006-RFC1 --$367.1 million class A affirmed at 'AAA' (BL: 42.49, LCR: 3.81); --$29.9 million class M-1 affirmed at 'AA+' (BL: 37.11, LCR: 3.33); --$28.0 million class M-2 affirmed at 'AA+' (BL: 30.14, LCR: 2.70); --$16.5 million class M-3 affirmed at 'AA' (BL: 28.13, LCR: 2.52); --$14.9 million class M-4 affirmed at 'AA' (BL: 26.09, LCR: 2.34); --$14.6 million class M-5 affirmed at 'AA-' (BL: 23.51, LCR: 2.11); --$12.6 million class M-6 affirmed at 'A+' (BL: 21.25, LCR: 1.91); --$12.2 million class M-7 affirmed at 'A-' (BL: 19.03, LCR: 1.71); --$10.7 million class M-8 affirmed at 'BBB+' (BL: 17.10, LCR: 1.53); --$7.6 million class M-9 affirmed at 'BBB+' (BL: 15.64, LCR: 1.40); --$8.8 million class M-10 affirmed at 'BBB' (BL: 14.20, LCR: 1.27). Deal Summary --Originators: 100% Residential Funding Corp.; --60+ day Delinquency: 17.70%; --Realized Losses to date (% of Original Balance): 0.19%; --Expected Remaining Losses (% of Current Balance): 11.14%; --Cumulative Expected Losses (% of Original Balance): 8.07%. These transactions were placed on 'Under Analysis' on Aug. 21, 2007. The rating actions are based on changes that Fitch fitch: see polecat. has made to its subprime loss forecasting assumptions. The updated assumptions better capture the deteriorating de·te·ri·o·rate v. de·te·ri·o·rat·ed, de·te·ri·o·rat·ing, de·te·ri·o·rates v.tr. To diminish or impair in quality, character, or value: performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness. Additional details are available in the following research, also available at www.fitchratings.com: --'Downgrade Criteria criteria (krītēr´ē  ),n. for Recent Vintage
Vintage, in wine-making, is the process of picking grapes and creating the finished product. A vintage wine is one made from grapes that were all, or primarily, grown in a single specified year. U.S. Subprime RMBS' (Aug. 8, 2007); --'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June June: see month. 12, 2007). All of Fitch's ratings criteria for U.S. subprime RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities are available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Restrictions on the accessibility and dissemination of information. Confidentiality is one of the six fundamental components of information security (see Parkerian Hexad). , conflicts of interest, affiliate Affiliate Relationship between two companies when one company owns substantial interest, but less than a majority of the voting stock of another company, or when two companies are both subsidiaries of a third company. See: Subsidiaries, parent company. firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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