[SPSF] Ratings On SMBC RMBS Deals No. 26 And No. 32 Affirmed

  • Pools of housing loan receivables originated by Sumitomo Mitsui Banking Corp. back the transactions.
  • We assume a cumulative default frequency for the mortgage loans currently outstanding of about 1%-2% under our base-case scenarios and about 11%-18% under our 'AAA' stress scenario.
  • We consider the credit enhancement available for the rated debts to be sufficient to cover various risks such as credit risk under our 'AAA' stress scenario.
  • We are affirming our ratings on all classes of trust certificates and bonds issued under these transactions.
TOKYO (S&P Global Ratings) April 17, 2019-- S&P Global SF Japan Inc. (SPSF) 
today said it has affirmed its 'AAA (sf)' ratings on the class A1 and A2 
senior trust certificates issued under the SMBC Residential Mortgage Trust 
Certificates No. 26 and class A1, A2, and alpha senior trust certificates 
issued under the SMBC Residential Mortgage Trust Certificates No. 32 
residential mortgage-backed securities (RMBS) transactions, as well as its 
'AAA' rating on the bonds issued by SMBC 26 RMBS Special Purpose Co. (see list 
below). 

Today's affirmations reflect our views on the following:
  • We assume a cumulative default frequency for the mortgage loans currently outstanding of about 1%-2% under our base-case scenarios and about 11%-18% under the stress scenario consistent with our 'AAA' rating. In addition, we assume a loss severity rate from defaulted loans of roughly 47%-49% under our 'AAA' stress scenario.
  • Overcollateralization has been improving in line with progress in redemption of the senior trust certificates. Current overcollateralization is sufficient to cover various risks such as credit risk under our 'AAA' stress scenario.
  • Under deal No. 26, interest and principal payments on the bonds mirror the cash flows of the corresponding class A1 senior trust certificates. We thus link our rating on the bonds to our rating on the class A1 senior trust certificates.
Pools of housing loan receivables that Sumitomo Mitsui Banking Corp. (SMBC) 
originated and entrusted with Sumitomo Mitsui Trust Bank Ltd. back the three 
RMBS transactions. The bonds are backed by their corresponding A1 senior trust 
certificates. These transactions lack updated loan-by-loan data in the 
surveillance period. 

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