CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed the notes issued by NCUA Guaranteed Notes Trust 2011-R6 (the issuer) as follows:

--$819,319,156 senior notes at 'AAAsf'; Outlook Stable.

The ratings are based on the guaranty agreement between the National Credit Union Association (NCUA) and the issuer. NCUA guarantees the timely payment of interest and principal when due and payable up to and including the legal final maturity date in June 2020. The NCUA's obligations under the guaranty agreement are backed by the full faith and credit of the United States of America (the U.S. government; rated 'AAA/F1+' with a Stable Outlook by Fitch). The rating of the notes is therefore credit-linked to the rating of the U.S. government.

Proceeds from the issuance of the senior notes and the owner trust certificates were used to purchase a portfolio of 150 residential mortgage-backed securities (RMBS) previously owned by credit unions taken into conservatorship by the NCUA board since March 2009.

The current collateral pool contains 150 floating-rate assets with a notional value of approximately $2.7 billion. The notional balance has been reduced by 11.7% since closing, providing a corresponding principal reduction of the senior notes after the payment of fees and expenses. Of the current collateral assets, 11.4% are rated 'BBB-' or above while 87.2% are in the 'CCC' category or below. The weighted average rating of the collateral has remained at 'CCC-/CC' since closing.

NCUA, which is unrated, provides a full and unconditional guaranty of timely payment of interest and any due principal to the senior notes. If funds collected from the underlying collateral are insufficient to satisfy periodic interest and any due principal payments, the indenture trustee will notify NCUA of the amount of the shortfall prior to the related payment date. A guaranty payment will then be made by NCUA to the indenture trustee in an amount equal to the related interest and/or principal shortfall. Fitch considers the performance of the senior notes to be highly dependent on the NCUA's ability to make timely payments of its obligations under the guaranty agreement. In Fitch's opinion, the NCUA has the appropriate operational and financial capacities to fulfill its obligations under the guaranty agreement.

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.

The sources of information used to assess this rating were the trustee reports and the public domain.

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);

--'Counterparty Criteria for Structured Finance Transactions' (March 14, 2011).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=605425

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

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KEYWORDS:   United States  North America  New York

INDUSTRY KEYWORDS:   Professional Services  Banking

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