Market Overview

Fitch Downgrades Various Distressed U.S. RMBS Bonds to 'Dsf'

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NEW YORK--(BUSINESS WIRE)--

Fitch Ratings has downgraded 309 distressed bonds in 135 U.S. RMBS transactions to 'Dsf'. The downgrades indicate that the bonds have incurred a principal write-down. Of the bonds downgraded to 'Dsf', all classes were previously rated 'Csf' or 'CCsf'. All ratings below 'Bsf' indicate a default is expected.

As part of this review, the Recovery Estimates of the defaulted bonds were not revised. Additionally, the review only focused on the bonds which defaulted and did not include any other bonds in the affected transactions.

Of the 309 classes affected by these downgrades, 174 are Prime, 93 are Alt-A, and 33 are Subprime. The remaining transaction types are other sectors. The majority of the bonds (60.2%) have a Recovery Estimate of 50%-90%, which indicates that the bonds will recover 50%-90% of the current outstanding balance, while 18.8% have a Recovery Estimate of 0%.

A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'Fitch Downgrades 309 Distressed Bonds to 'Dsf' in 135 U.S. RMBS Transactions'. These actions were reviewed by a committee of Fitch analysts. The spreadsheet provides the contact information for the performance analyst.

The spreadsheet also details Fitch's assignment of Recovery Estimates (REs) to the transactions. The Recovery Estimate scale is based upon the expected relative recovery characteristics of an obligation. For structured finance, Recovery Estimates are designed to estimate recoveries on a forward-looking basis.

Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011).

Applicable Criteria and Related Research: Banc of America Alternative Loan Trust 2004-7

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=693841

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Structured Finance Recovery Estimates for Distressed Securities

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

Fitch Ratings
Committee Chairperson
Grant Bailey, +1 212-908-0544
Managing Director
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Media Relations
Sandro Scenga, +1 212-908-0278 (New York)
sandro.scenga@fitchratings.com

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