NEW YORK (Business Wire) -- Fitch Ratings publishes its ratings on CIT Mortgage Loan Trust 2007-1. Loss Coverage Ratios (LCR) for each class are included with the ratings as follows:
Class 1-A 'BBB'; Outlook Negative (LCR: 1.37);
Class 2-A1 'AA'; Outlook Stable (LCR: 1.69);
Class 2-A2 'A'; Outlook Stable (LCR: 1.49);
Class 2-A3 'BBB'; Outlook Negative (LCR: 1.37);
Class 1-M1 'BB'; Outlook Stable (LCR: 1.15);
Class 2-M1 'BB'; Outlook Stable (LCR: 1.16);
Class 1-M2 'B'; Outlook Stable (LCR: 1.06);
Class 2-M2 'B'; Outlook Stable (LCR: 1.07);
Class 1-M3 'CCC/DR1'; (LCR: 0.99);
Class 2-M3 'CCC/DR1'; (LCR: 1.00);
Class 1-M4 'CCC/DR1'; (LCR: 0.92);
Class 2-M4 'CCC/DR1'; (LCR: 0.93);
Class 1-M5 'CCC/DR1'; (LCR: 0.85);
Class 2-M5 'CCC/DR1'; (LCR: 0.86);
Class 1-M6 'CCC/DR1'; (LCR: 0.79);
Class 2-M6 'CCC/DR1'; (LCR: 0.8);
Class B1 'CC/DR3'; (LCR: 0.74);
Class B2 'CC/DR3'; (LCR: 0.68);
Class B3 'CC/DR3'; (LCR: 0.65).
Summary
--60+ day Delinquency: 27.51%;
--Realized Losses to date (% of Original Balance): 0.78%;
--Expected Remaining Losses (% of Current Balance): 32.58%;
--Cumulative Expected Losses (% of Original Balance): 28.92%.
These ratings reflect Fitch's analysis of expected default and loss from the collateral pool in addition to cash flow analysis of each class. Additional details are available in the following research, also available at www.fitchratings.com
--'Updated Surveillance Criteria for U.S. Subprime RMBS', dated (Nov. 19, 2008);
--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria', dated June 12, 2007.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. 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.
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