Fitch Affirms $44.5MM from 2 Terwin Subprime Deals.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 the following Terwin Mortgage Trust mortgage pass-through certificates Pass-Through Certificates (PTCs) are instruments that evidence the ownership of two or more Equipment Trust Certificates. In other words, Equipment Trust Certificates may be bundled into a pass-through structure as a means of diversifying the asset pool and/or increasing the size . Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are now removed. Affirmations total $44.5 million. Terwin Mortgage Trust 2003-2HE --$6.7 million class A at 'AAA'; --$8.8 million class M-1 at 'AA'; --$1.1 million class M-2 at 'A'; --$900,000 class B at 'BBB'. Deal Summary --Originators: Various --60+ day Delinquency: 6.24% --Realized Losses to date (% of Original Balance): 1.45% Terwin Mortgage Trust 2003-6HE --$3.1 million class A-1 at 'AAA'; --$4.4 million class A-3 at 'AAA'; --$12.5 million class M-1 at 'AA'; --$5.1 million class M-2 at 'BBB+'; --$1.1 million class M-3 at 'BB'; --$900,000 class M-4 at 'B'; --$900,000 class M-5 remains at C/DR5'. Deal Summary --Originators: Various --60+ day Delinquency: 18.40% --Realized Losses to date (% of Original Balance): 1.82% Additional details are available in the following research, available at www.fitchratings.com --'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007). All of Fitch's ratings criteria for US subprime RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview. Further information regarding current delinquency, loss, and credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing statistics is also available at www.fitchratings.com. 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, conflicts of interest, affiliate 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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