Various Rating Actions Taken On 13 U.S. RMBS Transactions


  • 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. 

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