A spreadsheet listing the classes can be found on Fitch's web site at www.fitchratings.com by performing a title search for 'US-Linked RMBS Classes
KEY RATING DRIVERS
The 'AAAsf' credit rating of the affected RMBS classes relies on guarantees provided by the government-sponsored enterprises, Fannie Mae and Freddie Mac. Additionally, one class is collateralized with U.S. Treasury Notes. Although most classes also generally benefit from additional forms of credit enhancement (such as subordination), the credit enhancement alone would not be sufficient to maintain an 'AAAsf' credit rating on the RMBS classes if the U.S. Sovereign rating was downgraded below 'AAA'.
The 55 affected classes will be reviewed on a three month schedule until the U.S. Sovereign's Rating Watch Negative is resolved. Additionally, the possibility exists for the Rating Watch on these classes to be resolved sooner if there is an unexpected positive change in the underlying credit.
Additional information is available at www.fitchratings.com.
--'Fitch Places United States' 'AAA' on Rating Watch Negative' (
Source: Fitch Ratings
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