NEW YORK--(BUSINESS WIRE)--Fitch Ratings has withdrawn ratings on 80 rated U.S. subprime bonds within 36 transactions in adherence to its criteria on small loan counts.
A spreadsheet listing all of the bonds with withdrawn ratings can be found at 'www.fitchratings.com' by performing a title search for 'U.S. Subprime RMBS Withdrawals for March 24, 2011'.
The rating withdrawals are based on Fitch's criteria for analyzing transactions with small loan counts as discussed in its Nov. 16, 2010 report, 'Considering Small Loan Count Tail Risk in U.S. RMBS'. As a result of this policy, ratings on bonds collateralized with pools of approximately 50 mortgage loans or fewer will generally be withdrawn. Since the policy is based on the number of loans collateralizing a given bond, it is possible to withdraw ratings on one bond backed by one pool with a small number of loans remaining, while other bonds within the same transaction remain outstanding because they are backed by another pool with more loans remaining.
On average, the classes withdrawn today were issued over 13 years ago and are collateralized with mortgage pools which have paid down to less than 2% of their original balances. The remaining mortgage pools have average loan counts of 24 and average pool balances of $1.9 million. The majority of the classes with ratings withdrawn today had distressed ratings below 'B' prior to the withdrawal.
These actions were reviewed by a committee of Fitch analysts. The spreadsheet 'U.S. Subprime RMBS Withdrawals for March 24, 2011' provides contact information for the respective performance analyst for each transaction.
Additional information is available at 'www.fitchratings.com'
Applicable Criteria and Related Research:
--'Considering Small Loan Count Tail Risk in U.S. RMBS' (Nov. 16, 2010).
Applicable Criteria and Related Research: U.S. Subprime RMBS Withdrawals for March 24, 2011
Considering Small Loan Count Tail Risk in U.S. RMBS