Ratings On Sumitomo Mitsui Banking Corp.#s First And Third To 11th RMBS Deals Affirmed At #AAA (sf)#

Stocks and Financial Services Press Releases Friday July 14, 2017 16:50
TOKYO--14 Jul--S&P Global Ratings

TOKYO (S&P Global Ratings) July 14, 2017--S&P Global Ratings today said it has affirmed its 'AAA (sf)' ratings on all remaining classes of senior trust certificates issued under the SMBC Residential Mortgage Trust Certificates Nos. 1 and 3 to 11 residential mortgage-backed securities (RMBS) transactions (see list below).

The class A1 trust certificates issued under the Nos. 4 to 11 transactions have already been fully redeemed. Today's affirmations reflect our views on the following: We assume a cumulative default frequency for the mortgage loans currently outstanding of about 1% under our base-case scenarios and about 7%-11% under stress scenarios consistent with our 'AAA' rating.

In addition, we assume a loss severity rate from defaulted loans of roughly 45%-60% under our 'AAA' stress scenarios.
We apply a floor for the projected losses (net loss rate after accounting for recoveries from defaulted loans) of 4.0% at the 'AAA' rating level and 0.35% in our base-case scenarios.

Prepayments and scheduled repayments of principal on the underlying residential mortgage loans have advanced the redemption of the rated senior trust certificates, thereby improving the transactions' credit enhancement levels.We consider the credit enhancement available for the rated debt to be sufficient to cover various risks such as credit risk under our 'AAA' stress scenarios.

The SMBC Residential Mortgage Trust Certificates No. 1 and No. 3 to 11 transactions are each backed by a pool of mortgage loan receivables that Sumitomo Mitsui Banking Corp. (SMBC) originated. These transactions lack updated loan-by-loan data in the surveillance period.

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