--Class 8-A-1 (Cusip: 2254W0PE9) affirmed at 'BBsf'; assigned Outlook Stable.
KEY RATING DRIVERS
This class was placed on Rating Watch Negative in
Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.
The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.
Classes with a rating below 'CCCsf' are likely to default at some point in the future. As default becomes more imminent, those classes are expected to migrate towards 'Csf' and eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some areas before reaching a sustainable level. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch.
Additional information is available at 'www.fitchratings.com'.
--'U.S. RMBS Surveillance Criteria' (
--'Global Structured Finance Rating Criteria' (
--'U.S. RMBS Loan Loss Model Criteria' (
--'U.S. RMBS Cash Flow Analysis Criteria' (
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (
--'U.S Residential Mortgage Re-REMIC Criteria' (
--'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
--'Structured Finance Recovery Estimates for Distressed Securities' (
Global Structured Finance Rating Criteria
Structured Finance Recovery Estimates for Distressed Securities
Counterparty Criteria for Structured Finance and Covered Bonds
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions
U.S. Residential Mortgage Re-REMIC Criteria
Criteria for Interest Rate Stresses in Structured Finance Transactions
U.S. RMBS Cash Flow Analysis Criteria
U.S. RMBS Loan Loss Model Criteria
U.S. RMBS Surveillance Criteria
Source: Fitch Ratings
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