Fitch downgrades RMBS bond ratings on default risk
The default risk on 489 bonds backed by residential mortgage-backed securities prompted Fitch Ratings to slash the bonds' ratings this week.
The bonds are part of 291 different residential mortgage-securities deals.
Fitch moved the bonds to 'Dsf' status—a ratings level that generally suggests the occurrence of a principal write-down.
Prior to the downgrade, the impacted bonds maintained 'Csf' or 'CCsf' ratings.
Fitch says ratings below 'Bsf' usually signal a coming default.
The New York-based ratings giant says 227 of the bonds are classified as Alt-A, while 187 are prime and 62 are backed by subprime loans.
About 51% of the distressed bonds have a recovery estimate on the principal balance in the range of 50% to 90%. Another 37% have a zero percent recovery rate, suggesting deep distress.
Most of the bonds in the report were issued after 2004, with a large majority issued in 2007.
The deals are linked to Countrywide in many circumstances, with a large number of bonds labeled as CWALT transactions. CWALT is short for Countrywide Alt-A.
Click here to see a complete list of the bonds impacted by the Fitch downgrades.
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