Fitch Ratings has downgraded 297 distressed bonds in 164 U.S. RMBS transactions to ‘Dsf,’ indicating that the bonds have received a principal write-down.
Of the 297 bonds that were downgraded, 290 classes were formerly rated ‘Csf,’ while seven were rated ‘CCsf.’ A rating below ‘CCCsf’ implies a default is anticipated.
The Recovery Estimates, known as the REs, of the defaulted bonds showed no revision. Additionally, the review fixated only on the bonds that defaulted but did not include any other bonds in the affected transactions.
Of the classes that were affected by Fitch’s downgrades, 167 are Prime, 75 are Alt-A and 47 are Subprime. The transaction types that remain are other sectors.
An estimated 64% of the bonds have an RE of 50%-100%, indicating the bonds will recover 50%-100% of the current outstanding balance. An estimated 24% have an RE of 0%.
