Australian And New Zealand RMBS Criteria Released, With Limited Impact On Outstanding Ratings

This month, Standard & Poor’s updated its methodology and assumptions for analysing credit risk associated with collateral backing Australian and New Zealand residential mortgage-backed securities (RMBS). These criteria, which apply immediately to all new and existing Australian and New Zealand RMBS backed by prime, subprime, and nonconforming mortgages, includes some changes from the criteria proposed in last year’s Request For Comment process. The changes followed consideration of feedback from market participants and aim to further enhance global criteria consistency and rating comparability.

Following the release of the updated criteria, Standard & Poor’s affirmed its ratings on 704 Australian RMBS and placed 58 tranches on CreditWatch; 20 New Zealand RMBS tranches were affirmed, with 17 placed on CreditWatch. All CreditWatch placements are scheduled to be resolved by March 2012 after further cash flow analysis under various stress scenarios.

To view the criteria, see “Australian RMBS Rating Methodology And Assumptions” (published Sept. 1, 2011: http://www.standardandpoors.com/prot/ratings/articles/en/au/?articleType=HTML&assetID=1245319354281) and “New Zealand RMBS Rating Methodology And Assumptions” (Sept. 14, 2011: http://www.standardandpoors.com/prot/ratings/articles/en/au/?articleType=HTML&assetID=1245320420832).

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