Fitch: Loss Risk Improving for GSE Risk Transfer Deals

NEW YORK--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: GSE CRT Loss Projectionshttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=885612

Expected mortgage losses on seasoned GSE Credit Risk Transfer (CRT) transactions are trending positively, according to a new report from Fitch Ratings.

The loss projections are driven by strong loan performance to date, a shorter loss exposure window until deal maturity and steady home price growth. Coupled with bond deleveraging, the improvement in projected pool losses has resulted in positive rating momentum for the rated classes.

Fitch recently upgraded 45 CRT classes while 127 classes have a Positive Outlook. Fitch plans to conduct a rating review of the sector every six months (in January and July) and publish updated loss projections to provide greater insight and transparency into its ratings. In addition to pool-level loss expectations at each rating category stress, the report also offers a summary of Fitch's loss methodology for U.S. RMBS, and guidance on the relationship between expected pool losses and bond ratings.

'U.S. GSE Credit Risk Transfer Loss Projections' is available at www.fitchratings.com or by clicking on the above link.

Additional information is available at 'www.fitchratings.com'.

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Source: Fitch Ratings

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