Fitch Places 82 Subprime RMBS Deals Under Review

Late last week, Fitch issued a terse press release noting that it will review the performance of 82 different RMBS deals. The deals under analysis come from a monthly survellience review, and Fitch said it will issue a rating action on the impacted deals within 30 days. To see the deals in question, click here (you’ll need a Fitch account). I can’t really get a read on what this might mean, since Fitch didn’t note the dollar volume of the deals under review relative to the total universe: I only know that Fitch has $451 billion in rated deals, and that 1,198 deals were not flagged for analysis. Let’s do some simple math, since that’s all I’ve got: 1,280 deals total, $451 billion, each deal worth an average of $352.3 million per deal. That comes out to $28 billion of subprime RMBS now ‘under review,’ give or take. And of course, that doesn’t get into whatever tranches within a given deal are set to be upgraded or downgraded. While an upgrade is always possible, I would expect to see more than a few subprime RMBS subordinate tranches downgraded in the next 30 days.