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


  • We reviewed 82 ratings from two U.S. RMBS re-REMIC transactions and one U.S. RMBS subprime transaction issued between 2001 and 2010.
  • All of these transactions are backed by either subprime, prime jumbo, alternative-A, or negative amortizing collateral.
  • Of the 82 ratings, we raised nine, lowered five, and affirmed 68.
CENTENNIAL (S&P Global Ratings) April 3, 2019--S&P Global Ratings today 
completed its review of 82 classes from three U.S. residential mortgage-backed 
securities (RMBS) transactions issued between 2001 and 2010. All of these 
transactions are backed by subprime, prime jumbo, alternative-A, or negative 
amortizing collateral. The review yielded nine upgrades, five downgrades, and 
68 affirmations.

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: 
  • Underlying collateral performance/delinquency trends; and
  • Available subordination and/or overcollateralization.
RATING ACTIONS

Please see the ratings list for the rationales for classes with rating 
transitions. 

We raised six ratings from two of the transactions (see ratings list) by five 
or more notches due to increased credit support or due to the underlying bond 
performance. The upgrade s on these classes reflect the classes' ability to 
withstand a higher level of projected losses than previously anticipated. 

The downgrades of the ratings on classes A1, A2, M1, M2, and B from Mid-State 
Trust X reflect an observed increase in total delinquencies since the prior 
review, which increases our loss projections for this deal. The downgrades 
also reflect that each class receives its pro-rata share of principal each 
month, which in effect erodes the hard dollar credit support available to each 
class.

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.

APPLICATION OF U.S. RMBS PRE-2009 CRITERIA FOR TRANSACTIONS THAT CONTAIN 
RESIDENTIAL RETAIL INSTALLMENT CONTRACTS

Additionally, the review of Mid-State Trust X factored the transaction's 
inclusion of a portion of residential retail installment contracts, which we 
consider subprime collateral. As such, for this surveillance review, we 
applied our "U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 
Originations" criteria published March 2, 2016, which address the surveillance 
methodology for subprime collateral originated before 2009.
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