The performance of the Irish and Greek RMBS
markets continued to deteriorate over the past year, it added.
CUNA Mutual said it relied on RBS's quantitative representations in deciding to purchase 15 certificates in the10 separate RMBS
Performance varies across three segments: transactions sponsored by government entities Infonavit and Fovissste perform well; bank RMBS
exhibit mixed credit metrics; and non-bank-sponsored transactions backed by Sofoles loans remain stressed.
Rating migrations are still expected, especially on the 492 tranches currently on review for downgrade and which include significant exposures to Spanish and UK Non-conforming RMBS
, ABS of SME and Spanish consumer loans," cautions Mr.
Cash Flow Analysis Criteria' (April 19, 2012);
With the addition of these newest recruits the RMBS
Group has grown to over 24 people.
Fitch has already incorporated the increase in resolution times and loss severities into its ratings analysis of outstanding rated RMBS
The Mexican RMBS
Addendum incorporates an increased data analysis observation period, including 2008-2010, a period of significant downturn in the Mexican economy and housing market.
While the improvements in Subprime and Alt-A RMBS
delinquencies are noteworthy, the portion of borrowers who were current on their mortgage the previous month and became delinquent the next (monthly current-to-delinquent roll rates) remained elevated.
Recovery Rating (RR) analysis, according to a study by Fitch's Insurance and RMBS
groups of the National Association of Insurance Commissioners' (NAIC) 'RMBS
Given the recent enhancements made to the ResiLogic model, which include default and loss assumptions based on home price changes between loan origination and current age as well as additional penalties to account for the higher risk attributes, the revised surveillance methodology may result in higher credit enhancement levels for prime RMBS
at each rating category, particularly for those from the post-2004 vintages
transactions as part of its ongoing review of subprime RMBS