Various Rating Actions Taken On 87 Classes From 22 U.S. RMBS Transactions

  • We reviewed 87 ratings from 22 U.S. RMBS transactions issued between 2000 and 2007. All of these transactions are backed by subprime, re-performing, and outside-the-guidelines collateral.
  • Of the 87 ratings, we raised seven, lowered 26, and affirmed 54.

NEW YORK (S&P Global Ratings) Feb. 4, 2019--S&P Global Ratings today completed 
its review of 87 classes from 22 U.S. residential mortgage-backed securities 
(RMBS) transactions issued between 2000 and 2007. All of these transactions 
are backed by subprime, re-performing, and outside-the-guidelines collateral. 
The review yielded seven upgrades, 26 downgrades, and 54 affirmations (see 

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;
  • Erosion of or increases in credit support;
  • Historical interest shortfalls or missed interest payments;
  • Priority of principal payments;
  • Proportion of reperforming loans in the pool; 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 our ratings (see ratings list) by four or more notches on three 
classes from Lake Country Mortgage Loan Trust 2006-HE1 due to increased credit 
support. These classes benefited from sequential principal allocation, which 
resulted in locking out principal to subordinate classes and building credit 
support for these classes. Ultimately, we believe these classes have credit 
support that is sufficient to withstand losses at higher rating levels.

We lowered our rating on class M-3 from MASTR Asset Backed Securities Trust 
2003-NC1 due to reduced interest payments resulting from loan modifications in 
the collateral loan pool. Per table one in our criteria, "Methodology For 
Incorporating Loan Modifications And Extraordinary Expenses Into U.S. RMBS 
Ratings," April 17, 2015, the cumulative interest reduction amount (CIRA) has 
exceeded the max potential rating threshold at the prior rating level.

We lowered our rating on class IA-5 from Chase Funding Trust's series 2003-3 
due to passing payment allocation triggers, allowing principal payments to be 
made to more subordinate classes and eroding projected credit support for the 
affected class. Credit support decreased to 16.9% (as of January 2019) from 
19.8% during the last review.

We lowered five ratings (see ratings list) by four or more notches after 
assessing the impact of missed interest payments on these classes. These 
downgrades are based on our cash flow projections used in determining the 
likelihood that the missed interest payments would be reimbursed under various 
scenarios because these classes receive additional compensation for 
outstanding missed interest payments.
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