Various Rating Actions Taken On 110 Classes From 12 U.S. RMBS Transactions

Stocks and Financial Services Press Releases Wednesday February 7, 2018 09:16
CENTENNIAL--7 Feb--S&P Global Ratings

CENTENNIAL (S&P Global Ratings) Feb. 6, 2018--S&P Global Ratings today completed its review of 110 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1994 and 2007. All of these transactions are backed by prime collateral. The review yielded 57 upgrades, one downgrade, 51 affirmations, and one discontinuance.

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: Collateral performance/delinquency trends;Historical interest shortfalls;Priority of principal payments;Proportion of reperforming loans in the pool;Tail risk; andAvailable subordination.

Rating Actions Please see the ratings list for the rationales for 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. A vast majority of the classes whose ratings were raised by three or more notches have the benefit of increased credit support.

These classes have benefitted from the failure of performance triggers and/or reduced subordinate class principal distribution amounts, which has built credit support for these classes as a percent of their respective deal balance. Ultimately, we believe these classes have credit support that is sufficient to withstand projected losses at higher rating levels. On July 29, 2014, a settlement was reached in the litigation regarding the alleged breach of certain representations and warranties in the governing agreements of 330 JPMorgan Chase & Co. legacy residential mortgage-backed securities trusts, including JPMorgan Mortgage Trust 2007-A1. On Jan. 25, 2018, it received approximately $4.69 million in settlement funds.

These funds were allocated to pay principal on senior classes and to reimburse prior write-downs on class B-1, increasing its balance and ultimately increasing credit support for the senior classes. As a result, we raised the ratings on a majority of the senior classes as we believe the additional credit support is sufficient to withstand losses at higher rating levels.

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