Various Rating Actions Taken On 116 Classes From 25 U.S. RMBS Transactions

Stocks and Financial Services Press Releases Friday May 11, 2018 17:11
CENTENNIAL--11 May--S&P Global Ratings

CENTENNIAL (S&P Global Ratings) May 10, 2018--S&P Global Ratings today completed its review of 116 classes from 25 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2007. All of these transactions are backed by mixed collateral. The review yielded 37 upgrades, six downgrades, 72 affirmations, and one discontinuance.

Analytical Considerations

We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include:

  • Collateral performance/delinquency trends;
  • Ultimate repayment of missed interest;
  • Loan modification criteria;
  • Transaction-level modification activity; and
  • Available subordination and/or overcollateralization.
Rating Actions

Please see the ratings list for the rationales for classes with rating transitions. The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections.

We lowered our rating on class 1-A-5 of Accredited Mortgage Loan Trust 2004-3 to 'CCC (sf)' from 'A+ (sf)'. The downgrade reflects the application of our loan modification criteria "Methodology For Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS Ratings," published April 17, 2015, and "Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014. Ultimately, the seller did not elect to exercise its clean-up call regarding the Group I notes, which increased the notes' interest rate by 0.75%. This increase exceeded the net weighted average coupon rate of the Group I notes, which resulted in a lower MPR than the class' previous rating.


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