Various Rating Actions Taken On 25 U.S. RMBS Transactions

Stocks and Financial Services Press Releases Thursday February 25, 2016 09:57
NEW YORK--25 Feb--Standard & Poor's

NEW YORK (Standard & Poor's) Feb. 24, 2016-- Standard & Poor's RatingsServices today took various actions on 157 classes from 25 U.S. residentialmortgage-backed securities (RMBS) transactions. We lowered 22 ratings,removing one lowered rating from CreditWatch with negative implications;raised 35; affirmed 96; and discontinued four (see list).

All of the transactions in this review were issued between 2002 and 2008 andare supported by a mix of fixed- and adjustable-rate alternative-A, closed-endsecond lien, negative amortization, and prime jumbo mortgage loan collateral.

Subordination, overcollateralization (where available), excess interest, asapplicable, and bond insurance, provide credit enhancement for thetransactions in this review. Where the bond insurer is rated lower than whatwe would rate the respective class, we relied solely on the underlying

collateral's credit quality and the transaction structure to derive therating.

We routinely incorporate various considerations into our decisions to raise,lower, or affirm ratings when reviewing the indicative ratings suggested byour projected cash flows. These considerations are based on specificperformance or structural characteristics, or both, and their potentialeffects on certain classes.


When performing our credit analysis to determine the foreclosure frequency forall pools within this review, we segmented the collateral into current loans(including reperforming), and delinquent loans. We further segmented thecurrent bucket based on payment pattern.

Where loan-level data was available, we derived the foreclosure frequency asdescribed in "U.S. RMBS Surveillance Credit And Cash Flow Analysis ForPre-2009 Originations," published Feb. 18, 2015 (pre-2009 surveillancecriteria). In instances where loan-level data was not available, to derive the

foreclosure frequency for the current bucket, we made certain assumptionsregarding the percentage of current loans that are reperforming, thepercentage of current loans that have impaired credit history, and theadjusted loan-to-value ratio of perfect payers.

We used pool-level data to compare each pool's performance to the cohortaverage. For pools with high delinquencies and normalized cumulative lossesrelative to the cohort average, we assumed a higher foreclosure frequency thanthat associated with the cohort average. Conversely, we assumed a lowerforeclosure frequency for pools with better observed performance relative tothe cohort average.

With respect to delinquent loans, because we use cohort-specific roll rateassumptions, we used pool-level data to derive the foreclosure frequency ofthese loans as set forth in our pre-2009 surveillance criteria.

In this review, we did not have loan-level data available for Credit SuisseFirst Boston Mortgage Securities Corp. 2004-AR6, First Horizon AlternativeMortgage Pass-Through Trust 2004-AA1, and Citigroup Mortgage Loan Trust Inc.2004-HYB4.

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