News Column

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

July 10, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has downgraded 120 distressed bonds in 75 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 115 classes were previously rated 'Csf' and five classes were rated 'CCsf'. 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 120 classes affected by these downgrades, 72 are Prime, 32 are Alt-A, and nine are Subprime. The remaining transaction types are other sectors. Approximately, 55% of the bonds have an RE of 50%-100%, which indicates that the bonds will recover 50%-100% of the current outstanding balance, while 16% 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 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 120 Distressed Bonds to 'Dsf' in 75 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.

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

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011).

Applicable Criteria and Related Research: Fitch Downgrades 120 Distressed Bonds to 'Dsf' in 75 U.S. RMBS Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=752212

Global Structured Finance Rating Criteria

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

Structured Finance Recovery Estimates for Distressed Securities

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=838981

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

Presenting Analyst

Ryan O'Loughlin

Analyst

+1-212-908-0387

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Grant Bailey

Managing Director

+1-212-908-0544

or

Media Relations

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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