Fitch Ratings Launches RMBS Market Sector Performance Indices

Business Wire, March 31, 2003

Business Editors

NEW YORK--(BUSINESS WIRE)--March 31, 2003

Fitch Ratings has launched the RMBS Market Sector Performance Indices, a product designed to provide investors with the most informative performance analysis on RMBS securities. Fitch's initial Indices present mortgage delinquency statistics for the Subprime market sector by period of security issuance, and facilitates the comparison of performance over time. Fitch anticipates that the Prime and Alt-A Market Sector Performance Indices will be available shortly.

RMBS Market Sector Performance Indices include 60-day and 90-day delinquencies, foreclosure, real estate-owned (REO), a combined 60 status, and a short commentary on each Market Sector's performance, with the statistics and commentary updated monthly. The subprime indices are driven from loan level data utilizing actual payment dates. This system allows Fitch to generate indices based on the market approach; specifically in this case using the OTS method of delinquency analysis for the Subprime sector. This is an advantage over indices aggregated from the deal level where the method is dependent upon the servicer.

'The new Fitch RMBS Market Sector Indices offer high quality mortgage loan data, flexibility in data analysis, and static mortgage pools,' said Susan Kulakowski, Senior Director, Fitch Ratings. 'Fitch tests the integrity of and standardizes monthly performance data as it becomes available, with mortgages grouped into appropriate mortgage pools, which are in turn linked to the appropriate residential mortgage-backed security.'

Investors, investment bankers and issuers who subscribe to the Fitch ratings web site can easily access the subprime indices at 'www.fitchratings.com'. The indices are located in the 'RMBS' sector of the web site under 'Performance Indices'. If you are not a subscriber but are interested in reviewing this product, please contact Louise Pesano at 1-212-908-0573 or 'louise.pesano@fitchratings.com'. Fitch welcomes investor feedback on the usefulness of this product, as well as suggestions for improvements to the product.