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ARCHIVE | Criteria | Structured Finance | RMBS: Standard & Poor's Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For Transactions Issued In 2005, 2006, And 2007 Jul 09
Standard & Poors, July 2009
Abstract
1. Standard & Poor's Ratings Services is refining its methodology and assumptions for estimating projected losses for U.S. residential mortgage-backed securities (RMBS) transactions backed by subprime and Alternative-A (Alt-A) collateral issued in 2005, 2006, and 2007. We are publishing this article to help market participants better understand our approach to reviewing these RMBS transactions. This article addresses the 'credit quality of the securitized assets' principles discussed in 'Principles-Based Rating Methodology For Global Structured Finance Securities,' which we published May 29, 2007. 2. Standard & Poor's revised methodology and assumptions for estimating projected losses for U.S. RMBS transactions backed by subprime and Alt-A collateral include the following points: When available, we will apply transaction-specific loss severities. In the absence of these,...
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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