Citigroup Global Markets is adding to its analysis of subprime mortgage securitizations to allow for better comparisons of credit performance, regardless of whether deals have mortgage insurance (MI).

Although deep MI mitigates losses, deals with that insurance often have less credit enhancement from other sources, such as overcollateralization, excess spread and subordination, said Ivan Gjaja, director in ABS research at Citi. By tracking credit enhancement levels, it is possible to compare losses between deals with and without MI, Gjaja said.

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