Fitch Takes Various Actions On RMBS Re-REMICs

Fitch Ratings has taken various actions on U.S. residential mortgage-backed security (RMBS) resecuritization trusts (Re-REMICs) as a result of actions taken on the underlying classes. The affected trusts represent a beneficial ownership interest in separate trust funds, which include bonds that have been affirmed, placed on rating watch negative or downgraded.

The Re-REMIC transactions were originally rated between 1993 and 2008, and the underlying transactions were primarily Alt-A (46.6%) and prime (42.3%). Fitch's rating actions are as follows:

  • 227 affirmed classes,
  • 173 downgraded classes,
  • 19 revised recovery ratings,
  • 17 revised rating outlooks,
  • 10 paid-in-full classes, and
  • one upgraded class.

Rating downgrades were largely contained within the Re-REMICs backed by classes from Alt-A transactions, while the Re-REMICs containing classes from prime transactions had the most rating affirmations.

Additionally, the downgrades were concentrated where the underlying transactions were from the 2006-2008 vintages, while the transactions with underlying transactions from the pre-2006 vintages had the most affirmations.

A spreadsheet detailing the agency's rating actions can be found on Fitch's Web site by performing a title search for "U.S RMBS Re-REMIC Rating Actions for November 18, 2009."

SOURCE: Fitch Ratings

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