Fitch Releases Rating Criteria for U.S. Residential Mortgage re-REMICs.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 published its criteria for rating resecuritizations of U.S. residential mortgage backed securities (RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities ). Fitch uses this criteria for analyzing new issue securities backed by individual or small groups of residential mortgage-backed securities Residential mortgage-backed securities (RMBS) are a type of bond commonly issued in American security markets. They are a type of Mortgage-backed security which are backed by mortgages on residential rather than commercial real estate. (RMBS) pledged into a re-REMIC structure. The expectations of how a re-REMIC will perform are highly dependent on the underlying deal structure, since the 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 of the underlying bonds will provide the first layer of credit protection to the entire re-REMIC transaction. When analyzing underlying bonds in re-REMICs, Fitch reviews each group independently, with expected and stressed losses determined at the loan level. Consistent with other RMBS product, Fitch uses its ResiLogic gross loss model as the basis for determining revised expected pool-level losses, and stresses up to the 'AAA' level for Fitch rated re-REMICs. Additionally, to help verify performance expectations, Fitch performs a historical analysis of roll rate trends on loan pools that are associated with the re-REMIC The value of this analysis is in capturing the risk posed by the velocity of delinquencies within a pool. Since senior bonds supported by different groups within the same transaction may have differing loss expectations, Fitch analyzes both the underlying deal structure(s) and the collateral at the related group level when analyzing re-REMICs. Cash flow methodology is used to incorporate the impact of these expected losses and stresses on the bond(s) pledged into the re-REMIC, and also to assess this impact on the underlying as well as the re-REMIC structures using the Intex cashflow modeling tool. This process eliminates the non-existent cross-collateralization benefit in scenarios where the subordinate bonds in the underlying deals are completely written down. Additionally, the cash flow analysis is important when analyzing pay structures of the re-REMIC. Fitch has earlier published commentary on the significance of cash flow analysis in stressing various types of re-REMIC structures. Fitch currently has a moratorium A suspension of activity or an authorized period of delay or waiting. A moratorium is sometimes agreed upon by the interested parties, or it may be authorized or imposed by operation of law. in place for rating U.S. RMBS re-securitizations backed by transactions with subprime, Alt-A with overcollateralization structures, or other esoteric es·o·ter·ic adj. 1. a. Intended for or understood by only a particular group: an esoteric cult. See Synonyms at mysterious. b. assets due to continued performance volatility in these sectors. In addition, Fitch extended the moratorium to rating re-REMICS comprised of non-senior bonds and also to the rating of the subordinate bonds of the re-REMICs themselves. Fitch will review its position on these asset classes when performance stabilizes. Additional detail regarding Fitch's RMBS criteria, along with Fitch's new U.S. Re-REMIC rating methodology, is 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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