Various Rating Actions Taken On 59 Classes From 18 U.S. RMBS Transactions

  • We reviewed 59 ratings from 18 U.S. RMBS transactions issued between 2001 and 2007. All of these transactions are backed by subprime collateral.
  • Of the 59 ratings, we raised 12, lowered five, and affirmed 42.
NEW YORK (S&P Global Ratings) Dec. 19, 2018--S&P Global Ratings today 
completed its review of 59 classes from 18 U.S. residential mortgage-backed 
securities (RMBS) transactions issued between 2001 and 2007. All of these 
transactions are backed by subprime collateral. The review yielded 12 
upgrades, five downgrades, and 42 affirmations.

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;
  • Historical interest shortfalls or missed interest payments;
  • Priority of principal payments; 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 raised three ratings by six notches due to increased credit support. These 
classes have benefitted from failed performance triggers, which built credit 
support as a percentage of the classes' respective deal balance. Ultimately, 
we believe these classes have credit support that is sufficient to withstand 
projected losses at higher rating levels.
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