OREANDA-NEWS. S&P Global Ratings today completed its review of 85 classes from 11 U. S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2007. The review yielded seven upgrades, 11 downgrades, 49 affirmations, and 18 withdrawals. The transactions in this review are backed by a mix of fixed - and adjustable-rate prime jumbo and reperforming mortgage loans, which are secured primarily by first liens on one - to four-family residential properties.

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 I-A-6 ('BBB+ (sf)') from Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS8 Trust is insured by MBIA Insurance Corp. ('CCC').

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.

UPGRADESThe upgrades include six 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 durationThe upgrade on class 3-A1 from Structured Asset Securities Corp. series 2003-29 reflects a decrease in our projected losses and our belief that our projected credit support for the affected class will be sufficient to cover our revised projected losses at this rating level. We have decreased our projected losses because there have been fewer reported delinquencies during the most recent performance periods compared with previous review dates. There were no delinquent loans in August 2016, down from 7.12% of the collateral a year ago.

DOWNGRADESWe lowered our ratings on two classes to speculative-grade ('BB+' or lower) from investment-grade ('BBB-' or higher). Three ratings remain at an investment-grade level, while the other six downgraded classes already had speculative-grade ratings. Two ratings were lowered three or more notches. 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 :Deteriorated credit performance trends; and/orTail risk. The downgrades on classes 4-A1, 4-A2, 4-A4, and 4-A5 to 'BB (sf)' from 'BB+ (sf)' from Structured Asset Securities Corp. Trust 2005-17 reflect the increase in our projected losses and our belief that the projected credit support for the affected classes will be insufficient to cover the projected losses we applied at the previous rating levels. The increase in our projected losses is due to higher reported delinquencies during the most recent performance periods compared with previous reviews. Total delinquencies increased to 10.35% as of July 2016 from 5.62% in August 2015.

Tail RiskStructured Asset Securities Corp. series 2003-29 is backed by a small pool of mortgage loans. We believe pools with less than 100 loans remaining create an increased risk of credit instability because a liquidation and subsequent loss on one loan, or a small number of loans, at the tail end of a transaction's life may have a disproportionate impact on a given RMBS tranche's remaining credit support. We refer to this as "tail risk."

We addressed this tail risk by conducting a loan-level analysis that assesses this risk, as set forth in our tail risk criteria (see "U. S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," published March 2, 2016). In April 2016, the liquidation and losses incurred on a small number of loans negatively affected the composition of the remaining loan population and resulted in a significant decrease on the credit support of classes 1-A1 and 1-AP. Consequently, we lowered our rating on these classes to 'B+ (sf)' from 'AA - (sf)' per our tail risk criteria.

AFFIRMATIONSWe affirmed our ratings on 39 classes in the 'AAA' through 'B' rating categories. These affirmations reflect our opinion that our projected credit support on these classes remains 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 potentially 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 base-case projected losses for these classes. Per "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published 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 18 classes from Structured Asset Securities Corp. series 2002-11A and WaMu Mortgage Pass-Through Certificates Series 2003-S2 Trust because the related pools have 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.