Various Rating Actions Taken On 53 Classes From 36 U.S. RMBS Transactions

  • We reviewed 53 ratings from 36 mixed collateral U.S. RMBS transactions issued between 2002 and 2007.
  • Of the 53 ratings, we lowered 45 ratings due to observed principal write-downs and eight ratings due to the application of our interest shortfall criteria.
CENTENNIAL (S&P Global Ratings) March 14, 2019--S&P Global Ratings today 
completed its review of 53 classes from 36 U.S. residential mortgage-backed 
securities (RMBS) transactions issued between 2002 and 2007. The review 
yielded 45 downgrades due to observed principal write-downs and eight 
downgrades due to the application of our interest shortfall criteria.

The lowered ratings due to outstanding principal write-downs reflect our 
assessment of the principal write-downs' impact on the affected classes during 
recent remittance periods. All of the classes were rated either 'B- (sf)', 
'CCC (sf)', or 'CC (sf)' before today's rating actions. All of the 
transactions in this review receive credit enhancement from a combination of 
subordination, excess spread, and overcollateralization (where applicable).

In reviewing the lowered ratings with observed interest shortfalls, we applied 
our interest shortfall criteria as stated in "Structured Finance Temporary 
Interest Shortfall Methodology," Dec. 15, 2015, which impose a maximum rating 
threshold on classes that have incurred interest shortfalls resulting from 
credit or liquidity erosion. In applying the criteria, we looked to see if the 
applicable class received additional compensation beyond the imputed interest 
due as direct economic compensation for the delay in interest payment, which 
these classes did not. Therefore, in these instances, we used the maximum 
length of time until full interest is reimbursed as part of our analysis to 
assign the rating on the class.
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