by Calculated Risk on 10/03/2007 04:25:00 PM

From Fitch Ratings: Fitch Completes U.S. 2006 Subprime RMBS Review (hat tip bacon dreamz)

Fitch Ratings-New York-03 October 2007: Fitch Ratings has completed the 're-rating' of its rated universe of 2006 vintage U.S. Subprime RMBS transactions. ...

Fitch initiated a review of subprime RMBS ratings in July 2007 due to the unprecedented reversal in home prices and the resulting impact on high-risk mortgage products. In August, Fitch began taking rating actions on some of the worst performing subprime transactions. Upon conclusion of the initial review, Fitch proactively has re-rated its entire universe of rated 2006 vintage subprime RMBS transactions. This review was completed in September.

Fitch's rated universe of 2006 vintage subprime is 228 transactions comprised of 3,231 rated classes with an outstanding balance of $173 billion.

Fitch's most severe rating actions affected a sub-sector of the subprime market, those RMBS transactions exclusively backed by closed-end second-lien loans (CES). These RMBS comprise 274 rated classes with a par balance of $6.6 billion. Fitch has downgraded 32 of 51'AAA' CES classes from this cohort. Investors should note, that Fitch has affirmed 100% of its 'AAA' ratings backed primarily by first-liens. First-lien transactions make up the largest segment of the market.

For first- and second-lien transactions combined, Fitch has affirmed 2,228 classes with a par balance of $155.1 billion and downgraded 1,003 classes with a par balance of $18.4 billion. While Fitch's reviewed all rating categories, downgrades were most heavily concentrated among classes originally rated 'BBB+' or lower. Fitch believes that those classes that have been downgraded to below-investment grade have substantial risk of principal loss. However those bonds remaining investment grade still exhibit the ability to withstand the higher projected collateral default and loss expectations without principal loss. Those classes affirmed at 'AAA' are able to withstand a substantial multiple of expected collateral performance without experiencing loss.

Fitch will continue to actively monitor the performance of the 2006 subprime RMBS as part of its normal monthly review cycle. Fitch is currently reviewing subprime RMBS ratings from the first quarter of 2007.

And from Bloomberg: Fitch Downgrades $18.4 Billion of 2006 Subprime Bonds (hat tip energyecon)

Fitch rated 51.3 percent of all subprime mortgage bonds in 2006 compared with more than 96 percent each for Moody's and S&P, according to industry newsletter Inside B&C Lending.

So Fitch only rated about half the 2006 subprime mortgage bonds.