OREANDA-NEWS. Nippon Standard & Poor's K. K. (NSP) today said it has assigned its 'AAA (sf)' ratings to the ?90 billion class A1, A2, and alpha senior trust certificates issued under the SMBC Residential Mortgage Trust Certificates No. 32 transaction due July 2053. A pool of housing loan receivables that Sumitomo Mitsui Banking Corp. (SMBC) originated and transferred to a trust created with Sumitomo Mitsui Trust Bank Ltd. backs the trust certificates. No loan-by-loan data updates will be provided during the surveillance period of this transaction.

The ratings reflect our views on the following factors. We assume a foreclosure frequency for the mortgage loans outstanding of about 23.3% under our 'AAA' stress scenario and 2.9% under our base-case scenario. In addition, we assume a loss severity rate for defaulted receivables of about 49% under our 'AAA' stress scenario. Adequate overcollateralization of 7.2% and excess spread will mitigate risks, including the credit risk of the underlying loan receivables. Our cash flow analysis based on the foreclosure frequency and loss severity rate assumptions indicates that, under the stress level sized for our 'AAA' rating, interest payments and principal repayments on the trust certificates would be made without any delay. Setoff risk is monitored on a monthly basis, and the transaction's structure requires additional entrustments upon the occurrence of certain events. The structure also requires additional fund transfers from excess interest if setoff risk grows beyond the levels estimated at the event.