Fitch: Losses to be Minimal for Post-Crisis Structured Finance Deals

| October 23, 2012 | 0 Comments

NEW YORK–(BUSINESS WIRE)–

With losses on global structured finance bonds largely clustered in 2005
to 2007 vintages, losses will be vastly lower on deals issued after this
period, according to Fitch Ratings in a new report.

‘Losses on post-crisis deals will likely be minimal because of the
higher credit quality of collateral portfolios and increased credit
protection provided by transaction structures,’ said Kevin Duignan, Head
of Global Structured Finance and Covered Bonds for Fitch. ‘Issuance has
been focused on the most creditworthy product types, such as the
consumer asset classes of credit cards and auto loans, which will
continue to be resilient to external shocks and the prolonged economic
weakness.’

The peak market vintages of 2005 to 2007 contribute 87% of all global
structured finance losses. Fitch expects 9.8% of the balance issued in
these years to be written off. Meanwhile, Fitch expects losses of only
14 basis points (0.14%) for deals originated between 2008 and 2011. Loss
expectations for pre-peak vintages, those originated between 2000 and
2004, also remain relatively low at 1.7%.

Fitch assigned ratings to US$ 9.5 trillion of global structured finance
bonds between 2000 and 2011. Of that balance, 1.5% has been written off
to date. Fitch expects additional losses of 3.3%, bringing total losses
to 4.9%. Fitch’s loss expectations, not surprisingly, are driven by U.S.
RMBS which is likely to account for 57% of all global structured finance
losses. Structured Finance CDOs, largely comprised of related RMBS
bonds, account for a further 22% of global SF losses.

‘Global Structured Finance Losses – 2000-2011 Issuance, is available at ‘www.fitchratings.com
or by clicking on the link at the end of the press release.

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

Applicable Criteria and Related Research:

Global Structured Finance Losses (2000-2011 Issuance)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=692209

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND
DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING
THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS.
IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE
AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘.
PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS
SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS
OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES
AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF
THIS SITE.

Filed Under: Credit Card News

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