Various Ratings Actions Taken On 12 RMBS Non-Qualified Mortgage Transactions

We reviewed 117 ratings from 12 U.S. RMBS non-QM transactions. Of the 117 ratings, we upgraded 34, affirmed 45, and placed 38 on CreditWatch with negative implications. The rating actions reflect transaction-specific performance or structural characteristics (or both) and their potential effects on the individual classes. ENGLEWOOD (S&P Global Ratings) Nov. 27, 2024--S&P Global Ratings today completed its review of the ratings on 117 classes from 12 U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 34 upgrades and 45 affirmations, and 38 ratings were placed on CreditWatch with negative implications (see ratings list). These CreditWatch negative placements are related to missed interest payments. For each transaction, we performed a credit analysis using updated loan-level information, from which we determined

...- We reviewed 117 ratings from 12 U.S. RMBS non-QM transactions. - Of the 117 ratings, we upgraded 34, affirmed 45, and placed 38 on CreditWatch with negative implications. - The rating actions reflect transaction-specific performance or structural characteristics (or both) and their potential effects on the individual classes. ENGLEWOOD (S&P Global Ratings) Nov. 27, 2024--S&P Global Ratings today completed its review of the ratings on 117 classes from 12 U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 34 upgrades and 45 affirmations, and 38 ratings were placed on CreditWatch with negative implications (see ratings list). These CreditWatch negative placements are related to missed interest payments. For each transaction, we performed a credit analysis using updated loan-level information, from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. In addition, we used the same mortgage operational...

Ratings Action