TEXT-Fitch cuts various distressed U.S. RMBS bonds to 'Dsf'

Wed Jan 30, 2013 12:37pm EST

Link to Fitch Ratings' Report: Fitch Downgrades 209 Distressed Bonds to 'Dsf' in
126 U.S. RMBS TransactionsJan 30 - Fitch Ratings has downgraded 209 distressed bonds in 126 U.S. RMBS
transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a
principal write-down. Of the bonds downgraded to 'Dsf', all classes were
previously rated 'Csf' or 'CCsf'. All ratings below 'Bsf' indicate a default is

As part of this review, the Recovery Estimates of the defaulted bonds were not
revised. Additionally, the review only focused on the bonds which defaulted and
did not include any other bonds in the affected transactions.

Of the 209 classes affected by these downgrades, 94 are Alt-A, 82 are Prime, and
21 are Subprime. The remaining transaction types are other sectors. The majority
of the bonds (44.3%) have a Recovery Estimate of 50%-100%, which indicates that
the bonds will recover 50%-100% of the current outstanding balance, while 20.5%
have a Recovery Estimate of 0%.

A spreadsheet detailing Fitch's rating actions can be found at
'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 209
Distressed Bonds to 'Dsf' in 126 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 Estimates (REs) to
the transactions. The Recovery Estimate scale is based upon the expected
relative recovery characteristics of an obligation. For structured finance,
Recovery Estimates are designed to estimate recoveries on a forward-looking

Additional information is available at 'www.fitchratings.com'. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Applicable Criteria & Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18,

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Structured Finance Recovery Estimates for Distressed Securities
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