NEW YORK--(BUSINESS WIRE)--Fitch Ratings has downgraded 184 distressed bonds in 101 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', 183 classes were previously rated 'Csf' and one class was rated 'CCsf'. All ratings below 'CCCsf' indicate a default is expected.
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 184 classes affected by these downgrades, 126 are Prime, 28 are Alt-A, and 17 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 24% 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.
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 184 Distressed Bonds to 'Dsf' in 101 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 24, 2013);
--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011).
Applicable Criteria and Related Research: Fitch Downgrades 184 Distressed Bonds to 'Dsf' in 101 U.S. RMBS Transactions
Global Structured Finance Rating Criteria
Structured Finance Recovery Estimates for Distressed Securities