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.
The report should be completed by the end of the year.
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 Fitch is including bonds where ratings have been withdrawn, and is also considering certain bonds as having defaulted even if they haven't technically. These bonds would have stopped making payments and would 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 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 was focusing on collateralized debt obligations backed by structured securities.