Fitch Downgrades 704 Distressed Bonds in 285 U.S. RMBS
Fitch Ratings has downgraded 704 distressed bonds in 285 U.S. RMBS transactions to Dsf.
The downgrades indicate that the bonds have incurred a principal write-down or are interest-only classes that have a notional balance off of a class that incurred a principal write-down, according to the company.
“Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf' or 'CCsf,’” Fitch said in a press release. “All ratings below 'Bsf' indicate a default is expected.”
Of the 704 classes affected by these downgrades, 428 are alternative-A credit, 249 are prime credit, and 15 are subprime credit. Approximately, 36% of the bonds have a recovery estimate of 50%-100%, which indicates that the bonds will recover 50%-100% of the current outstanding balance. 53% have a recovery estimate of 0%.
Almost half of the affected classes are interest-only classes that have a notional balance off of a class that has incurred a principal write-down. All of these classes previously had a Csf rating.