Fitch Ratings’ review of 1,246 rated subprime RMBS issued between 1993 and 2008 shows that, on average, losses are relatively stable and expected defaults are still improving, but continuing housing market weakness and foreclosure delays are still driving expected loss severities higher.

Average expected mortgage losses of 37% are not that different from those seen in Fitch’s prior 2010 review. Expected defaults, on average, show modest improvement at 48%. Fitch said this was due to positive selection among remaining borrowers and improvements in modified loan performance.

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