OREANDA-NEWS. Nippon Standard & Poor's K. K. (NSP) today said it has affirmed its 'AAA (sf)' ratings on the class A-1 and A-2 senior trust certificates issued under the SMBC Residential Mortgage Trust Certificates No. 26 residential mortgage-backed securities (RMBS) transaction and its 'AAA' rating on the bonds that SMBC 26 RMBS Special Purpose Co. issued (see list below).

Today's affirmations reflect our views on the following:We assume a foreclosure frequency for the mortgage loans currently outstanding of about 2.0% under our base-case scenario and about 16.8% under a stress scenario consistent with our 'AAA' rating. We also assume a loss severity rate for defaulted loans of about 49% under our 'AAA' stress scenario. Progress in the redemption of principal on the rated senior trust certificates has improved the transaction's credit enhancement levels. We believe the current credit enhancement available for the trust certificates is sufficient to cover various risks, such as credit risk, under our 'AAA' stress scenario. The interest payments, principal repayments, and maintenance costs on the bonds issued by the special-purpose company mirror the cash flows of the class A-1 senior trust certificates, and our rating on the bonds is linked to our rating on the class A-1 senior trust certificates. The SMBC Residential Mortgage Trust Certificates No. 26 transaction is an RMBS transaction ultimately backed by a pool of housing loan receivables that Sumitomo Mitsui Banking Corp. originated. The class A-1 senior trust certificates of SMBC Residential Mortgage Trust Certificates No. 26 back the bonds that SMBC 26 RMBS Special Purpose Co. issued. In addition, the transaction lacks updated loan-by-loan data in the surveillance period.