Fitch Releases Updated LIBOR Stresses Report for U.S. RMBS.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 released a special report regarding its updated one- and six-month LIBOR LIBOR See: London Interbank Offered Rate LIBOR See London interbank offered rate (LIBOR). stresses for U.S. residential mortgage-backed securities. The new report details these stresses by rating category as well as the analysis performed to derive the new stresses, which will be effective for all deals closing on or after Nov. 1, 2004. Fitch's extensive analysis, which encompassed 20 years of historical LIBOR movements and environments, showed that there was 'no predictive relationship between actual historical movements and LIBOR forward curves,' said Scott Seewald, Senior Director, Fitch Ratings. 'The new LIBOR stresses will be incorporated into the analysis for sizing of subprime (Home Equity), net interest margin securitizations (NIMs), Alt-A, manufactured housing, specialty mortgages (e.g., 'scratch-and-dent') and high loan-to-value (LTV LTV See: Loan-to-value ratio ) backed transactions that utilize excess spread for loss protection or for monetization.' Fitch continues to review its methodology for evaluating excess spread. Further revisions, specifically as it relates to loss timing and prepayment speed assumptions, will be updated in the coming months. The special report titled 'Fitch Updates LIBOR Stresses', is available on the Fitch Ratings web site at 'www.fitchratings.com', as well as the Aug 19, 2004 release entitled 'Fitch's U.S. RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities Group Changes LIBOR Stresses'. |
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