With troubles in the mortgage market leading to a surge in foreclosures and defaults, Fitch Ratings announced Wednesday that it’s rolling out a new surveillance methodology that will better target risk and performance values within individual securities.

The ratings agency said its strategy will give investors a forward-looking forecast of mortgage default and loss, as well as greater transparency on a “class-by-class” level.
“We believe that providing this level of transparency can aide the efforts of the ABS market to assess the risk of recent vintage subprime RMBS,” said Glenn Costello, managing director and co-head of US RMBS. “The fundamental soundness of highly rated securities is evidenced by the ability of these securities to withstand substantially higher loss levels than forecasted.”
Fitch also released its first in a series of commentaries on rating actions involving vintage subprime residential mortgage backed securities (RMBS). Fitch’s first report evaluates  27 securitizations consisting of 382 rated classes with a balance of $22.4 billion. Fitch said among the classes, it affirmed 232 classes with a balance of $20 billion, while downgrading 150 classes valued at $2.4 billion.