Fitch Ratings Monday downgraded 297 distressed bonds in 164 transactions to Dsf, indicating that the bonds have incurred a principal writedown.
Of the bonds downgraded to Dsf, 290 classes previously had a speculative grade rating of Csf and seven classes had the only slightly higher rating of CCsf. All ratings below CCCsf indicate a default is expected.
Of the 297 classes affected by the downgrades, 167 were prime, 75 were alternative-A credit bonds and 47 were subprime bonds. The remaining transaction types are other sectors.
Approximately, 64% of the bonds are expected to recover 50%-100% of their current outstanding balance, while 24% are expected to have a 0% recovery rate.
Although better home prices have helped RMBS performance somewhat, due to the
