OREANDA-NEWS. S&P Global Ratings today completed its review of 47 classes from 14 U. S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2010. The review yielded various upgrades, downgrades, affirmations, and withdrawals. We removed one of the lowered ratings from CreditWatch, where it was placed with negative implications on April 29, 2016.

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, class A3 ('AA (sf)') from American Home Mortgage Assets Trust 2007-4 is insured by Assured Guaranty Municipal Corp. ('AA'). The reviewed transactions also have four other classes that benefitted from a rated insurance provider at the time of deal origination, but for which S&P Global Ratings has subsequently withdrawn the rating on the insurance provider.

ANALYSISAnalytical 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.

UPGRADESWe raised our ratings on 15 classes, including 12 ratings that were raised three or more notches. Our projected credit support for the affected classes is sufficient to cover our projected losses for these rating levels. The upgrades reflect one or more of the following:Improved collateral performance/delinquency trends;Increased credit support relative to our projected losses; and/orThe class' expected short duration. DOWNGRADESWe lowered our ratings on three classes, all of which were lowered by one notch. Two of the lowered ratings remained at an investment-grade level, while the remaining downgraded class already had a speculative-grade rating. The downgrades reflect our belief that our projected credit support for the affected classes will be insufficient to cover our projected losses for the related transactions at a higher rating. The downgrades reflect one or more of the following:Deteriorated credit performance trends; and/orObserved interest shortfalls. Interest ShortfallsWe previously placed the rating on class I-A3 from BCAP LLC 2010-RR2 Trust on CreditWatch negative on April 29, 2016 (see "Various Rating Actions Taken On 11 U. S. RMBS Re-REMIC Transactions," April 29, 2016) to reflect reported interest shortfalls and inconsistency in the trustee reporting during recent remittance periods. Today, we downgraded this rating, and removed it from CreditWatch negative, based on these interest shortfalls pursuant to our interest shortfall criteria (see "Structured Finance Temporary Interest Shortfall Methodology," Dec. 15, 2015), which designate a maximum potential rating (MPR) to this class.

AFFIRMATIONSWe affirmed our ratings on 14 classes in the 'AAA' through 'B' rating categories. These affirmations reflect our opinion that our projected credit support on these classes remained relatively consistent with our prior projections and is sufficient to cover our projected losses for those rating scenarios.

For 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. When our model recommended an upgrade, we either limited the extent of our upgrade or affirmed our ratings on those classes to account for this uncertainty and promote ratings stability. In general, these classes have one or more of the following characteristics that limit any potential upgrade:Insufficient subordination, overcollateralization, or both;Delinquency trends;Historical interest shortfalls;Low priority in principal payments; and/orSignificant growth in observed loss severities. In addition, some of the transactions have failed their delinquency triggers, resulting in reduced--or a complete stop of--unscheduled principal payments to their subordinate classes. However, these transactions allow for unscheduled principal payments to resume to the subordinate classes if the delinquency triggers begin passing again. This would result in eroding the credit support available for the more senior classes. Therefore, we affirmed our ratings on certain classes in these transactions even though these classes may have passed at higher rating scenarios.

The ratings affirmed at 'CCC (sf)' or 'CC (sf)' reflect our belief that our projected credit support will remain insufficient to cover our 'B' expected case projected losses for these classes. Pursuant to "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012, the 'CCC (sf)' affirmations reflect our view that these classes are still vulnerable to defaulting, and the 'CC (sf)' affirmations reflect our view that these classes remain virtually certain to default.

WITHDRAWALSWe withdrew our ratings on classes M-II-2 and M-II-3 from RAMP Series 2002-RS1 Trust because the related pool has a small number of loans remaining. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level.

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.