...As a complement to its standard simulation-based approach to monitor SF CDOs, Fitch Ratings has developed a bottom-up approach to analyze underlying U.S. RMBS. The new approach utilizes U.S. RMBS loss estimates generated by Fitch s RMBS ratings group, stressing these loss estimates to understand the potential leveraged effect on SF CDO loss estimates. This asset-level projected loss analysis (PLA) a llows Fitch to more effectively identify and quantify expected losses in SF CDOs. Fitch s PLA builds off its U.S. RMBS analysis of recent distressed vintages, wherein an expected loss is calculated for each mortgage pool and estimates of the multiple of the expected loss that each U.S. RMBS bond ca n withstand are calculated. This process is documented in recent U.S. RMBS criteria reports. In the PLA analysis, these loss expectations and loss coverage multiples are aggregated by vintage and then averaged by original rating category to determine vi ntage- and rating-specific...

Report Type: Criteria Report
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Fitch Ratings is a leading global rating agency committed to providing the world's credit markets with independent, timely and prospective credit opinions. Built on a foundation of organic growth and strategic acquisitions, Fitch Ratings has grown rapidly during the past decade gaining market presence throughout the world and across all fixed income markets.