Standard & Poor's has placed 1,196 ratings on 129 U.S. residential mortgage-backed securities re-REMIC transactions on CreditWatch with negative implications until it finishes correcting its assessments of timely interest payments in some circumstances.
S&P said it is primarily placing the ratings of the resecuritized real estate mortgage investment conduit transactions on CreditWatch due to what it described as an incorrect analysis of timely interest payments in some transactions where interest is paid pro rata.
"The CreditWatch actions reflect our revised analysis of the expected interest payments, including consideration of the impact of pro rata allocation on interest among the senior and subordinate classes that use this payment priority," the rating agency said. "Previously, due to an error, we did not take these factors into consideration."
S&P added that it would resolve the CreditWatch placements when it finished further analytical testing and documentation reviews, where appropriate.
About two-thirds of the transactions affected were from 2010 and approximately one-quarter had been issued in 2009. Credit deterioration was the primary factor in the remaining affected deals, which date back as far as 2002.
The rating agency said the CreditWatch placements did not include classes that, in its opinion, have displayed sufficient credit enhancement to pay timely interest under its stress scenario to maintain their respective ratings.
The CreditWatch placements also did not include any classes with ratings below that of B- (sf) or that S&P expects to pay off in a relatively short period of time. The rating puts in the latter category those deals where the percentage of the original balance is below 5%.
