Fitch Ratings has downgraded 31% of its 2006 US subprime residential mortgage-backed securities (RMBS) as a result of the US subprime crisis.
Default rates on 2006 mortgages are now double the rates on 2005 mortgages, and house prices continue to decline, the agency says. As a result, Fitch has downgraded 1,003 classes of subprime RMBS notes.
The downgrades are concentrated among RMBS backed by closed-end second-lien mortgages. Even the highest-quality AAA rated notes backed by such mortgages hav