- We reviewed 47 ratings from 13 U.S. RMBS transactions issued between 2003 and 2007. The transactions are backed by alternative-A or negative amortization collateral types.
- Of the 47 ratings, we raised 16, lowered six, affirmed 23, and withdrew two.
CENTENNIAL (S&P Global Ratings) Feb. 5, 2019--S&P Global Ratings today completed its review of 47 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2007. The transactions are backed by alternative-A or negative amortization collateral types. The review yielded 16 upgrades, six downgrades, 23 affirmations, and two withdrawals (see list). 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 may include:
- Collateral performance or delinquency trends,
- Historical interest shortfalls or missed interest payments,
- Available subordination or overcollateralization,
- Erosion of or increases in credit support,
- Interest-only criteria, and
- Principal-only criteria.
RATING ACTIONS The rating changes reflect our opinion regarding the associated transaction-specific collateral performance, the transaction's structural characteristics, or the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. The affirmed ratings reflect our opinion that our projected credit support and collateral performance on these classes have remained relatively consistent with our prior projections. We raised six ratings from two transactions by five or more notches due to decreased delinquencies. The upgrades reflect a decrease in our projected losses and our belief that our projected credit support for these classes will be sufficient to cover our revised projected losses at these rating levels. We lowered our projected losses because there have been fewer reported delinquencies during the most recent performance periods compared to those reported during the previous review dates.
