Fitch Takes Various Rating Actions on 31 Classes from 4 U.S. RMBS Transactions
OREANDA-NEWS. Fitch Ratings has taken rating actions on 31 classes from four U.S. RMBS transactions. The transactions reviewed consist of one re-performing loan (RPL) transaction (issued in 2015), two re-REMIC transactions (issued in 2004 and 2009), and one class from one Alt-A transaction (issued in 2004).
A summary of the rating actions is as follows:
--24 classes affirmed;
--One class upgraded;
--Six classes downgraded.
A spreadsheet detailing Fitch's rating actions can be found at 'www.fitchratings.com' by performing a title search for 'U.S. RMBS Rating Actions for Apr. 4, 2016' or by clicking on the link.
KEY RATING DRIVERS
The RPL transaction reviewed was Citigroup Mortgage Loan Trust 2015-A. Fitch affirmed the ratings on all 24 classes in this transaction. The affirmations reflect performance to date in line with expectations and sufficient amounts of credit enhancement (CE) to withstand stressed loss expectations on the underlying assets.
The downgrades of MASTR 2004-P7 reflect the current and projected undercollateralization of the re-REMIC bonds. The undercollateralization was caused by a one-time interest shortfall on one of the classes underlying the re-REMIC. The interest shortfall led to the redirection of principal collections to pay interest in the re-REMIC and consequently undercollateralization within the re-REMIC. While the amount of undercollateralization is relatively small, it is expected to increase modestly going forward until deal maturity, when the re-remic classes will likely incur writedowns.
The downgrades of RBSSP 2009-7 reflect the re-REMIC classes' sensitivity to low interest rate environments. Because of an uncommon payment waterfall, the affected classes pay down faster in high interest rate environments. In lower rate environments, the classes are outstanding longer and are more exposed to losses.
The upgraded class is a component principal-only (PO) class. The upgrade reflects an improved relationship of expected loss to credit enhancement and brings the class' rating in line with the rating of its component PO counterpart class.
RATING SENSITIVITIES
Fitch's analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely to occur. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home-price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home-price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.
In addition to increasing mortgage pool losses at each rating category to reflect increasingly stressful economic scenarios, Fitch analyzes various loss-timing, prepayment, loan modification, servicer advancing, and interest rate scenarios as part of the cash flow analysis. Each class is analyzed with 43 different combinations of loss, prepayment and interest rate projections.
Classes currently rated below 'Bsf' are at-risk to default at some point. As default becomes more imminent, bonds currently rated 'CCCsf' and 'CCsf' will migrate toward 'Csf' and eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home-price movements. Despite recent positive trends, Fitch currently expects home prices to decline in some regions before reaching a sustainable level. While Fitch's ratings reflect this home-price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch.
Комментарии