NEW YORK, Jul 03, 2012 (BUSINESS WIRE) --
Fitch believes most U.S. structured finance categories performed better
than many expected since the market downturn. A study performed on 14
subsectors in this marketplace indicated seven performed better than
expected, two were in line with expectations, and five were below
expectations. This is discussed further in the special report
"Deconstructing U.S. Structured Finance Transition Rates," published on
June 28, 2012. The data analyzed ran from January 2008 through Dec. 31,
Credit card ABS was one of the best performers. More than 98% of
investment-grade bonds paid off, were upgraded, or stayed stable. We
attribute some of the stability in this subsector to issuers, which
increased subordination levels and used the discount option throughout
the crisis. Nonetheless, performance would have remained stable even
without these measures.
CMBS was less resilient but still better than expected at 'AAAsf', where
over 94% of bonds paid in full or remained investment grade.
Furthermore, the single-borrower subsector performed even better, as
nearly 99% of 'AAAsf' rated bonds paid off or remained stable. Lower on
the capital stack, performance deterioration accelerated quickly, but
arguably not too far from expectations given the severity of the credit
crisis, as more than 60% of 'Asf' rated bonds and nearly 70% of 'BBBsf'
rated bonds were downgraded.
RMBS and CDOs were the poorest performers of the subsectors. Both were
affected greatly by the performance of the U.S. residential market. They
also had a big impact on our study, as U.S. RMBS comprised over 70% of
the studied universe.
For more information, see "Deconstructing U.S. Structured Finance
Transition Rates," available at
Additional information is available on
The above article originally appeared as a post on the Fitch Wire credit
market commentary page. The original article, which may include
hyperlinks to companies and current ratings, can be accessed at
All opinions expressed are those of Fitch Ratings.
Applicable Criteria and Related Research:
Deconstructing U.S. Structured Finance Transition Rates
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SOURCE: Fitch Ratings
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