Fitch Updates U.S. RMBS Surveillance and Re-REMIC Criteria

NEW YORK--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: U.S. RMBS Surveillance and Re-REMIC Criteriahttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=881806

Fitch Ratings has updated its criteria for analyzing outstanding U.S. RMBS and for analyzing new and outstanding U.S. RMBS Re-REMICs. The report discusses Fitch's asset loss analysis, cash flow analysis, and counterparty analysis.

Key revisions to the criteria include a more conservative constraint on the magnitude of potential rating upgrades from three categories to two categories above the current rating, a revision to the rating cap for reverse mortgage bonds from 'Asf' to 'BBBsf', and a modestly more conservative approach to differentiating between distressed rating categories. Fitch expects a small number of one-category downgrades of reverse mortgage ratings due to the revised rating cap, as well as some rating migration among currently distressed classes from the 'CCCsf' to 'CCsf' range to the 'CCsf' to 'Csf' range due to the more conservative distressed rating methodology. The updated criteria are not expected to have any rating implications for transactions issued after 2010. Fitch will review all outstanding U.S. RMBS and Re-REMIC ratings with the updated criteria in the coming months.

The criteria report 'U.S. RMBS Surveillance and Re-REMIC Criteria' is available on the Fitch Ratings web site at 'www.fitchratings.com' or by clicking on the above link.

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

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Fitch Ratings
Sean Nelson
Senior Director
+1-212-908-0207
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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