OREANDA-NEWS. S&P Global Ratings today completed its review of 18 U. S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2006. The review yielded 31 upgrades, four downgrades (including one to 'D (sf)'), 43 affirmations, and 11 withdrawals.

The transactions in this review are backed by a mix of fixed - and adjustable-rate Alternative-A, negative amortization, re-performing, and outside-the-guidelines mortgage loan collateral.

Subordination and/or bond insurance provide credit support for the reviewed transactions. With respect to insured obligations, where we maintain a rating on the bond insurer that is lower than what we would rate the class without bond insurance, or where the bond insurer is not rated, we relied solely on the underlying collateral's credit quality and the transaction structure to derive the rating on the class. As discussed in our criteria, "The Interaction Of Bond Insurance And Credit Ratings", published Aug. 24, 2009, the rating on a bond-insured obligation will be the higher of the rating on the bond insurer and the rating of the underlying obligation, without considering the potential credit enhancement from the bond insurance.

Of the classes reviewed, the following are insured by an insurance provider that is currently rated by S&P Global Ratings:Structured Asset Securities Corp. 2004-9XS class I-A5 ('A (sf)') and class 1-A6 ('A+ (sf)'), insured by MBIA Insurance Corp. ('CCC'); andDeutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4 class A-4A ('AA (sf)') and class A5 ('AA (sf)'), insured by Assured Guaranty Municipal Corp. ('AA').Of the transactions reviewed, there were also four other classes that were insured by a rated insurance provider when the deal was originated, but S&P Global Ratings has subsequently withdrawn the rating on the insurance provider of those classes.

ANALYTICAL CONSIDERATIONSWe incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics, or both, and their potential effects on certain classes.

UPGRADESThe projected credit support for the affected classes is sufficient to cover our projected losses at these rating levels. The upgrades reflect one or more of the following:Improvement of underlying collateral;An increase in credit support;Expected short duration;Decrease in delinquencies; and/orRising conditional prepayment rates (CPRs).DOWNGRADESAll of the classes we downgraded already had speculative-grade ratings (of 'BB+' (sf) or lower). The downgrades reflect our belief that our projected credit support for the affected classes will be insufficient to cover our remaining projected losses for the related transactions at a higher rating. The downgrades also reflect one or more of the following:Deteriorated collateral performance;Decreased credit enhancement available to the classes; and/orObserved principal write-downs. We lowered the rating on class M2 from Structured Asset Securities Corp. Mortgage Loan Trust 2006-GEL4 to 'D (sf)' from 'CC (sf)' due to principal write-downs incurred by the class.

WITHDRAWALSWe withdrew our ratings on 10 classes from Structured Adjustable Rate Mortgage Loan Trust Series 2005-4 due to the small number of loans remaining in the related pool. Once a pool has declined to a de minimis amount, we believe that tail risk cannot be addressed because the high degree of credit instability is incompatible with any rating level.

We withdrew our rating on class A-IO1 from Structured Adjustable Rate Mortgage Loan Trust Series 2005-5 due to the application of our interest-only (IO) criteria, which state that we will maintain the rating on an IO class until the ratings on all of the classes that the IO security references, in the determination of its notional balance, are either lowered to below 'AA-' or have been retired (see "Global Methodology For Rating Interest-Only Securities, published April 15, 2010). Reference classes A-1, A-2, and A-3 paid down in full in May 2016.

AFFIRMATIONSFor certain transactions, we considered specific performance characteristics that, in our view, could add volatility to our loss assumptions and, in turn, to the ratings suggested by our cash flow projections. In these circumstances, we affirmed, rather than raised, our ratings on those classes to promote ratings stability. In general, the bonds that were affected reflect:Historical interest shortfalls;Low priority of principal payments;Significant growth in the delinquency pipeline;Low subordination; and/orTail risk. Of the 43 affirmed ratings, 15 are investment-grade (rated 'BBB-' sf or higher), and 28 are speculative-grade. The affirmations of classes rated above 'CCC (sf)' reflect the classes' relatively senior positions in payment priority and our opinion that our projected credit support is sufficient to cover our projected losses at those rating levels.

ECONOMIC OUTLOOKWhen determining a U. S. RMBS collateral pool's relative credit quality, our loss expectations stem, to a certain extent, from our view of how the loans will behave under various economic conditions. S&P Global Ratings' baseline macroeconomic outlook assumptions for variables that we believe could affect residential mortgage performance are as follows:An overall unemployment rate of 4.8% in 2016;Real GDP growth of 2.0% for 2016;The inflation rate will be 2.2% in 2016; andThe 30-year fixed mortgage rate will average about 3.7% in 2016.Our outlook for RMBS is stable. Although we view overall housing fundamentals positively, we believe RMBS fundamentals still hinge on additional factors, such as the ultimate fate of modified loans, the propensity of servicers to advance on delinquent loans, and liquidation timelines.

Under our baseline economic assumptions, we expect RMBS collateral quality to improve. However, if the U. S. economy were to become stressed in line with S&P Global Ratings' downside forecast, we believe that U. S. RMBS credit quality would weaken. Our downside scenario reflects the following key assumptions:Total unemployment will tick up to 4.9% for 2016;Downward pressure causes GDP growth to fall to 1.8% in 2016;Home price momentum slows as potential buyers are not able to purchase property; andWhile the 30-year fixed mortgage rate remains a low 3.7% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.