NEW YORK--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: U.S. RMBS Economic Risk Factors: Trends in Blue vs. Red States (3Q12 Quarterly Update)
Fitch Ratings has published the third quarter 2012 economic risk factors (ERFs) applied in its prime residential mortgage loan loss model.
As the Presidential election nears, Fitch analyzed ERF trends in states which voted Democrat (Blue) and Republican (Red) in past presidential elections. Driven by a slow return of home prices to a sustainable level, the ERF is showing general improvement in both Blue and Red states. Fitch notes, however, that the differences in default risk between Red and Blue states are driven primarily by property value changes and not political affiliations.
Nationally, the economic recovery is tepid at best. Real GDP increased at an annual rate of 1.7% in second-quarter 2012 down from 2% in 1Q2012. Unemployment, which dipped to 8.1% in Aug from 8.3% in July, has been holding steady in the 8.1-8.3% range since the beginning of the year.
The ERFs are provided for selected states and for the top 25 MSAs. The report can be accessed by clicking on the above link or by visiting 'www.fitchratings.com'.
The ERF is a dynamic input employed in the agency's default probability analysis and loan loss model that accounts for regional and local economic risk. This variable isolates regional economic conditions from other key drivers of mortgage default such as borrower, loan, and property characteristics. The ERF variable is used as an input into the agency's default regression model and scales default probability estimates along with nine other credit dimensions/attributes in the model.
Additional information is available at 'www.fitchratings.com'.
Suzanne Mistretta, +1-212-908-0639
Gregory Gorelik, +1-212-908-0877
Rui Pereira, + 1-212-908-0766
Managing Director, Head of US RMBS
Sandro Scenga, New York, +1 212-908-0278
Source: Fitch Ratings