[SPSF] Ratings On Sumitomo Mitsui Banking Corp.#s 28th RMBS Deal Affirmed At #AAA (sf)# And #AAA#

Stocks and Financial Services Press Releases Monday October 16, 2017 17:28
TOKYO--16 Oct--S&P Global Ratings

This information is published by S&P Global SF Japan Inc. S&P Global SF Japan Inc. is a registered credit rating agency under Japan's Financial Instruments and Exchange Act (FIEA) but is not registered as a Nationally Recognized Statistical Rating Organization (NRSRO) under U.S. laws. Therefore the credit ratings assigned by S&P Global SF Japan Inc. are Registered Credit Ratings under FIEA but are not Credit Ratings issued by an NRSRO under U.S. laws.

OVERVIEW
  • A pool of housing loan receivables originated by Sumitomo Mitsui Banking Corp. backs the SMBC Residential Mortgage Trust Certificates No. 28 transaction. The class A1 senior trust certificates issued under SMBC Residential Mortgage Trust Certificates No. 28 back the bonds that SMBC 28 RMBS Special Purpose Co. issued.
  • We assume a cumulative default frequency for the mortgage loans currently outstanding of about 2.5% under our base-case scenario and about 21.2% under our 'AAA' stress scenario.
  • Overcollateralization is 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) Oct. 16, 2017--S&P Global SF Japan Inc. (SPSF) today said it has affirmed its 'AAA (sf)' ratings on the ¥85.5 billion class A1 and A2 senior trust certificates issued under the SMBC Residential Mortgage Trust Certificates No. 28 transaction due August 2051 and its 'AAA' rating on SMBC 28 RMBS Special Purpose Co.'s ¥48.5 billion bonds ("tokutei shasai") due September 2051.

The affirmations reflect our views on the following:
  • We assume a cumulative default frequency for the mortgage loans currently outstanding of about 2.5% under our base-case scenario and about 21.2% under a stress scenario consistent with our 'AAA' rating. In addition, we assume a loss severity rate for defaulted loans of about 53% under our 'AAA' stress scenario.
  • Overcollateralization has been improving in line with progress in the redemption of the senior trust certificates. Current overcollateralization is sufficient to cover various risks such as credit risk under our 'AAA' stress scenario.
  • Interest and principal payments on the bonds mirror the cash flows of the class A1 senior trust certificates. We thus link our rating on the bonds to our rating on the class A1 senior trust certificates.

SMBC Residential Mortgage Trust Certificates No. 28 is a residential mortgage-backed securities (RMBS) transaction backed by a pool of housing loan receivables that Sumitomo Mitsui Banking Corp. (SMBC) originated and entrusted with Sumitomo Mitsui Trust Bank Ltd. SMBC 28 RMBS Special Purpose Co.'s bonds are backed by the A1 senior trust certificates issued under SMBC Residential Mortgage Trust Certificates No. 28. The transactions lack updated loan-by-loan data in the surveillance period.


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