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

June 24, 2014

NEW YORK--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: U.S. RMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750110

Fitch Ratings has published its annual update to the criteria to monitor and analyze outstanding U.S. RMBS for potential rating changes and Re-REMICs.

Key revisions to the criteria include an increase to the economic rating stress for seasoned mortgage pools securitized prior to 2006. Previously, Fitch applied less severe scenarios to pools securitized prior to 2006 than to those securitized after 2006. To better reflect the adverse selection of the remaining seasoned pools, Fitch will apply consistent economic rating stress scenarios across all vintages. Fitch expects some ratings will be negatively affected by a single rating category. Fitch is in the process of identifying those classes that may be affected.

The report includes discussion of Fitch's asset analysis, cash flow analysis, and counterparty analysis.

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'.

Applicable Criteria & Related Research:

--U.S. RMBS Rating Criteria (July 2013);

--U.S. RMBS Loan Loss Model Criteria (December 2013);

--Global Structured Finance Rating Criteria (May 2014);

--Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (January 2014);

--U.S. RMBS Cash Flow Analysis Criteria (April 2014);

--Counterparty Criteria for Structured Finance and Covered Bonds (May 2014);

--Rating Criteria for Repackaged Senior Structured Finance Notes (August 2013);

--Criteria for Servicing Continuity Risk in Structured Finance (July 2013);

--Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (May 2014);

--Global Rating Criteria for Structured Finance CDOs (September 2013).

Applicable Criteria and Related Research:

U.S. RMBS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=713083

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027

U.S. RMBS Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=727095

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

U.S. RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746027

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Rating Criteria for Repackaged Senior Structured Finance Notes

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715506

Criteria for Servicing Continuity Risk in Structured Finance

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=712935

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.



Fitch Ratings

Grant Bailey

Managing Director

+1-212-908-0544

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Media Relations

Sandro Scenga, New York, +1-212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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