Various Rating Actions Taken On 93 Classes From 28 U.S. RMBS Transactions

  • We reviewed 93 ratings from 28 U.S. RMBS transactions issued between 2003 and 2013. All of these transactions are backed by either, subprime, re-performing, alternative-a, prime jumbo, small-balance commercial, and/or federal housing administration/veterans affairs collateral.
  • Of the 93 ratings, we raised four, lowered 42, affirmed 42, and discontinued five.
CENTENNIAL (S&P Global Ratings) March 14, 2019--S&P Global Ratings today 
completed its review of 93 classes from 28 U.S. residential mortgage-backed 
securities (RMBS) transactions issued between 2003 and 2013. All of these 
transactions are backed by either, subprime, re-performing, alternative-a, 
prime jumbo, small balance commercial, and/or federal housing 
administration/veterans affairs collateral. The review yielded four upgrades, 
42 downgrades, 42 affirmations, and five discontinuances. 

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/delinquency trends;
  • Historical interest shortfalls/missed interest payments;
  • Available subordination and/or overcollateralization;
  • Erosion of or increases in credit support;
  • Expected short duration; and
  • Interest-only criteria.
Rating Actions
The rating changes reflect our opinion regarding the associated 
transaction-specific collateral performance and/or structural characteristics, 
and/or reflect the application of specific criteria applicable to these 
classes. Please see the ratings list below for the specific rationales 
associated with each of the 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 lowered our ratings by six or more notches on five classes from five 
separate transactions (see ratings list), each after assessing the impact of 
missed interest payments on the respective classes. We applied our interest 
shortfall criteria as stated in "Structured Finance Temporary Interest 
Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating 
threshold on classes that have incurred missed interest payments resulting 
from credit or liquidity erosion. In applying the criteria, we looked to see 
if these classes received additional compensation beyond the imputed interest 
due as direct economic compensation for the delay in interest payments, which 
each class did. Additionally, these classes have a delayed reimbursement 
provision. The downgrades are based on our cash flow projections used in 
determining the likelihood that the missed interest payments would be 
reimbursed under various scenarios. 

Further, in our review of the deal documents for one of the five downgraded 
classes mentioned above, class M-2 from Bear Stearns Asset Backed Securities I 
Trust 2005-HE12, we identified provision that does not allow for repayment of 
missed interest payments outstanding once a class principal balance is reduced 
to $0. This class was previously upgraded in February 2018, reflecting the 
significantly increased credit support after a large amount of settlement 
proceeds were applied to the bond (see related research below). The reported 
missed interest payment was reported in the September 2018 distribution.
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