At a conference held by Fitch last week in New York, the ratings agency revealed preliminary details of a comprehensive study on default rates and performance history of structured finance securities, including asset-backed securities, mortgage-backed securities, and commercial mortgage-backed securities.
According to Fitch, this study is unlike existing research, which is sometimes misleading. Fitch is including bonds where ratings have been withdrawn, and is also considering certain bonds as defaults that haven't technically defaulted though have stopped making payments, and will default at final maturity.
In all, Fitch estimates that out of the $1.3 trillion of structured deals it has rated, $2.6 billion, or about 20 basis points of that universe, has defaulted; however, the agency stressed that the study is still very much in the works.
Noteworthy, said Richard Hrvatin, a senior director at Fitch, is that the majority of the defaults, though they may fall across several deals, are tied to the same few seller/servicers.
"The point was that they were not isolated events," he said. "A lot of times it was the same servicer, with defaults across all their securitizations."
Fitch's conference last week was focusing on collateralized debt obligations backed by structured securities.