 | NEW YORK (Standard & Poor's) May 1, 2008--After reviewing and analyzing the
performance data available for U.S. closed-end second-lien (CES) mortgage
loans and the related residential mortgage-backed securities (RMBS), Standard
& Poor's Ratings Services believes that this market segment does not allow for
a meaningful analysis of new issuance and securitization.
The magnitude of our recent rating actions and projected losses on the
2007 U.S. CES vintage transactions reflect an unprecedented level of loan
performance deterioration. As a result, we will not rate any new U.S. RMBS CES
transactions or any transactions that contain CES mortgage loans.
Standard & Poor's surveillance methodology and assumptions for U.S. RMBS
CES transactions are based on transaction-specific credit performance in terms
of actual cumulative losses and delinquencies, together with projected losses
for outstanding issues. We will continue to apply our current
performance-based surveillance methodology to outstanding U.S. RMBS CES. We
will evaluate any proposed re-REMIC transactions that may consist partly of
CES on a case-by-case basis.
This press release clarifies our rating methodology for U.S. CES under
the "credit quality of the securitized assets" principle discussed in
"Principles-Based Rating Methodology For Global Structured Finance
Securities," published May 29, 2007.
RELATED PUBLICATIONS
The following articles are available on RatingsDirect. The criteria
articles are also available on Standard & Poor's Web site at
www.standardandpoors.com. In the left navigation bar, select Ratings and then
Policies, Criteria & Definitions. The articles are located under the Criteria
tab:
-- "Principles-Based Rating Methodology For Global Structured Finance
Securities," published May 29, 2007;
-- "418 Closed-End Second-Lien RMBS Classes Downgraded; Revised Rating
Assumptions Announced," published July 19, 2007;
-- "How Standard & Poor's Is Revising Its Loss Curves For U.S. Closed-End
Second-Lien RMBS," published Dec. 20, 2007;
-- "Standard & Poor's Enhances LEVELS® 6.1 Model," published Nov. 9,
2007; and
-- "184 Closed-End 2nd-Lien '07 RMBS Ratings Lowered; Some Off Watch Neg,
24 On Watch Neg," published April 24, 2008.
These criteria represent the specific application of fundamental
principles that define credit risk and ratings opinions. Their use is
determined by the issuer-specific or issue-specific attributes as well as
Standard & Poor's assessment of the credit and, if applicable, structural
risks for a given issuer or issue rating. Methodology and assumptions may
change from time to time as a result of market and economic conditions,
issue-specific or issuer-specific factors, or new empirical evidence that
would affect our credit judgment.
Standard & Poor's, a division of The McGraw-Hill Companies (NYSE:MHP), is
the world's foremost provider of financial market intelligence, including
independent credit ratings, indices, risk evaluation, investment research, and
data. With approximately 8,500 employees, including wholly owned affiliates,
located in 23 countries, Standard & Poor's is an essential part of the world's
financial infrastructure and has played a leading role for more than 140 years
in providing investors with the independent benchmarks they need to feel more
confident about their investment and financial decisions. For more
information, visit www.standardandpoors.com.
|
