Fitch Ratings has downgraded 759 bonds in 405 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds in question have incurred a principal write-down. Of the bonds that Fitch is downgrading to 'Dsf' 99% were previously rated 'Csf', indicating an expected default. The remaining bonds were rated 'CCsf' and 'CCCsf'. Today's action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed and the Recovery Ratings have not been updated as part of this review.
Of the 405 transactions affected by these downgrades, 169 are Prime, 137 Alt-A and 92 are Subprime. The remaining transaction types are other sectors. The majority of the bonds (60%) have a Recovery Rating of 'RR5' or 'RR6' indicating that minimal recovery is expected. Some 40% of the bonds have Recovery Ratings of either 'RR2' or 'RR3', which indicates anywhere from 50%-90% of the outstanding balance is expected to be recovered.
The downgrades are part of Fitch's ongoing surveillance process. Fitch will continue to monitor these transactions for additional defaults.
A spreadsheet detailing Fitch's rating actions can be found at www.fitchratings.com by performing a title search for 'Fitch Downgrades 759 bonds to 'Dsf' in 405 U.S. RMBS Transactions'. These actions were reviewed by a committee of Fitch analysts. The spreadsheet provides the contact information for the performance analyst.
The spreadsheet also details Fitch's assignment of Recovery Ratings (RRs) to the transactions. The Recovery Rating scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Ratings are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money.
Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research: Fitch Downgrades 759 Bonds from 405 U.S. RMBS Deals to 'Dsf'
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=602066
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Contacts:
Fitch Ratings
Tara Sweeney, +1-212-908-0347
Senior Director
Fitch,
Inc.
One State Street Plaza
New York, NY 10004
or
Committee
Chairperson
Michele Patterson, +1-212-908-0779
Senior Director
or
Media
Relations, New York
Cindy Stoller, +1-212-908-0526
cindy.stoller@fitchratings.com