Nippon Standard & Poor's K.K. expects to assign its preliminary 'AAA (sf)' ratings to SMBC's -57.0 billion Class A-1/A-2 Residential Mortgage Trust Certificates No. 23 (hereafter collectively referred to as "the senior trust certificates"), due February 2049, and its preliminary 'AAA' rating to SMBC 23 RMBS Special Purpose Co.'s -29.5 billion bonds ("tokutei shasai"), due March 2049. The preliminary ratings reflect our opinion on the likelihood of the full and timely payment of interest and the ultimate full repayment of principal by the transaction's legal final maturity date. The preliminary ratings are based on the following factors. We assume a cumulative default frequency of about 16.5% and a recovery rate of about 33% for the loan receivables, with a stress...
Companies mentioned in this report are: SMBC Residential Mortgage Trust Certificates No. 23,SMBC 23 RMBS Special Purpose Co.
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