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Criteria | Structured Finance | RMBS: Revised Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans Incorporated Into LEVELS Version 7.3 Jun 11

  • ID: 2165176
  • June 2011
  • Region: United States
  • Standard & Poors
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Abstract
These criteria apply to U.S RMBS issued after 2008 backed by prime, Alt-A, and subprime loans. These criteria partially supersede "Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10, 2009. Standard & Poor's has incorporated its revised RMBS assumptions into LEVELS 7.3 with regard to a few distinct areas: employment, income, and principal and interest asset verification (asset verification); and loan seasoning. These revisions include the following: Updates to the foreclosure frequency factors for the revised documentation types; Updates to the assumptions for the documentation types based on the effects of loan seasoning; Changes to the various codes and definitions of the documentation types, including mapping guidance for seasoned loans; The inclusion of fields...

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