Fitch Downgrades Various Distressed U.S. RMBS Bonds to 'Dsf'

Wed Apr 24, 2013 1:08pm EDT

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Fitch Downgrades Various Distressed U.S. RMBS Bonds to 'Dsf'

Fitch Ratings has downgraded 535 distressed bonds in 213 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down or are interest-only classes that have a notional balance off of a class that incurred a principal write-down. Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf'. All ratings below 'Bsf' indicate a default is expected.

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 535 classes affected by these downgrades, 443 are Prime, 48 are Alt-A, and 40 are Subprime. The remaining classes are Re-REMICs. Approximately, 37% of the bonds have a Recovery Estimate of 50%-100%, which indicates that the bonds will recover 50%-100% of the current outstanding balance, while 54% have a Recovery Estimate of 0%.

Almost half of the affected classes are interest-only classes that have a notional balance off of a class that has incurred a principal write-down. All of these classes were previously rated 'Csf'.

A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 535 Distressed Bonds to 'Dsf' in 213 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 basis.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011).

Applicable Criteria and Related Research Fitch Downgrades 535 Distressed Bonds to 'Dsf' in 213 U.S. RMBS Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707379

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Structured Finance Recovery Estimates for Distressed Securities

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=789485

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Fitch Ratings
Performance Analyst:
Susan Hosterman, +1-212-908-0670
Director
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson:
Grant Bailey, +1-212-908-0544
Managing Director
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com