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

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has downgraded 114 distressed bonds in 88 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 104 classes were previously rated 'Csf', and 10 classes were rated 'CCsf'. Five of the classes were previously on Rating Watch Negative, which has since been removed. All ratings below 'CCCsf' indicate a default is likely.

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

Of the 114 classes affected by these downgrades, 22 are Prime, 55 are Alt-A, and 30 are Subprime. The remaining transaction types are various other sectors. Approximately 53% of the bonds have an RE of 50% to 100%, which indicates that the bonds will recover 50% to 100% of the current outstanding balance, while 25% have an RE of 0%.

KEY RATING DRIVERS

All of the affected classes had incurred a principal write-down and are expected to endure additional losses in the future.

RATING SENSITIVITIES

While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility that this may happen. In this unlikely scenario, Fitch would further review the affected class.

A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 114 Distressed Bonds to 'Dsf' in 88 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 REs to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, REs are designed to estimate recoveries on a forward-looking basis.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 16 Jun 2016)

https://www.fitchratings.com/site/re/882401

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

U.S. RMBS Master Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/882350

U.S. RMBS Surveillance and Re-REMIC Criteria (pub. 17 Jun 2016)

https://www.fitchratings.com/site/re/881806

Related Research

Fitch Downgrades 114 Distressed Bonds to 'Dsf' in 88 U.S. RMBS Transactions

https://www.fitchratings.com/site/re/889875

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1013973

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1013973

Endorsement Policy

https://www.fitchratings.com/regulatory

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View source version on businesswire.com: http://www.businesswire.com/news/home/20161028005851/en/

Fitch Ratings
Presenting Analyst
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Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
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Senior Director
or
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Managing Director
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Source: Fitch Ratings

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