(The following was released by the rating agency)
-- Since July 15, 2011, we have placed our ratings on 744
structured finance transactions on CreditWatch negative due to
exposure to the sovereign credit risk of the U.S.
-- We lowered our long-term credit rating on the U.S. to
AA+/negative outlook and removed it from CreditWatch negative on
Aug. 5. We affirmed the short-term rating on the U.S. at 'A-1+'
and removed it from CreditWatch negative. The transfer and
convertibility assessment of the U.S. remains at 'AAA'.
-- We will review each structured finance transaction with
ratings placed on CreditWatch negative, as well as any
additional transactions we expect may be affected, and take
rating actions as we deem appropriate. Pending completion of our
review, we expect that our ratings on some of these transactions
will remain on CreditWatch negative.
NEW YORK (Standard & Poor's) Aug. 8, 2011--Standard & Poor's
Ratings Services today stated that its ratings on 744 structured
finance transactions (the affected transactions) remain on
CreditWatch negative following the lowering of the long-term
credit rating on the United States of America to 'AA+' with a
negative outlook from 'AAA' and the removal of the long-term and
short-term ratings from CreditWatch negative. The rating actions
also included the affirmation of the 'A-1+' short-term rating on
the United States of America. The transfer and convertibility
assessment of the U.S remains at 'AAA' (see "United States of
America Long-Term Rating Lowered To 'AA+' On Political Risks And
Rising Debt Burden; Outlook Negative," published Aug. 5, 2011).
We previously placed the ratings assigned to the securities
from 744 structured finance transactions on CreditWatch negative
due to potential exposure to the sovereign credit rating of the
U.S. Following the sovereign downgrade, we will review the
affected transactions, as well as any additional transactions we
expect may be affected, and take rating actions we view as
appropriate. For the complete list of] affected structured
finance transactions, please see "Structured Finance Ratings On
CreditWatch Negative Following U.S. Sovereign Downgrade,"
available on the Global Credit Portal, at
www.globalcreditportal.com, and on www.standardandpoors.com.
We expect to lower the ratings on most of the affected
transactions to a level no higher than the sovereign rating on
the U.S. A general overview of the expected impact of the
sovereign rating action is presented below:
-- Principal protected notes: We expect to lower the
ratings on principal protected notes backed by U.S. government
obligations (e.g., a Treasury strip) to a level equal to the
-- Defeased securities: We expect to lower the ratings on
most defeased securities linked to the U.S. sovereign rating to
a level equal to the sovereign rating. The affected transactions
are mainly tobacco securitizations and letter of credit-backed
issues. We would reassign outlooks as appropriate on certain
tobacco securitization transactions for which we had previously
assigned outlooks (see "79 Ratings On 15 Defeased Tobacco
Securitizations Affirmed, Outlooks Revised To Negative On USA
Sovereign Outlook Change," published April 21, 2011).
-- Transactions with defeased loan collateral: Certain
transactions, including commercial mortgage-backed securities
(CMBS) transactions that have defeased loan collateral, will be
evaluated based on each rated security's degree of reliance on
U.S. government obligations and the availability of other
sources of credit support.
-- Linked ratings: We expect to lower the ratings on
transactions with ratings directly or in part linked to the
sovereign rating of the U.S., such as structured finance
securities guaranteed or securities collateralized by loans
guaranteed by the U.S., a government-related entity or a
government agency (e.g., FFELP, NCUA, Fannie Mae, Freddie Mac,
SBA, etc.), to a level equal to the sovereign rating (see
"Ratings On Select GREs And FDIC- And NCUA-Guaranteed Debt
Lowered After Sovereign Downgrade," published Aug. 8, 2011).
However, there may be transactions that have other sources of
credit support sufficient to maintain the current ratings.
-- Eligible investments: We are not taking rating actions
on any transactions with eligible investments that have exposure
to U.S. government obligations.
-- Ratings linked to financial institutions: If the
sovereign rating action leads to subsequent rating actions on
financial institutions, we expect certain structured finance
transactions with ratings linked to those financial institutions
may be affected.
-- New issuance: Under our criteria, if warranted, we can
continue to rate new structured finance transactions higher than
the sovereign rating.
We expect to complete our review of a significant portion of
the affected transactions within the next few days. Please note
that the number of transactions cited in our July 15, 2011,
press release overstated the number of affected referenced and
repackaged securities (RRS) transactions by five. The correct
number of affected transactions with ratings placed on
CreditWatch on July 15, 2011, is 599, as reflected in the list
published in conjunction with that article. Our ratings on some
affected transactions may also be on CreditWatch due to factors
not related to the sovereign credit risk and may remain on
CreditWatch after we resolve the sovereign-related CreditWatch
placements. We will resolve these CreditWatch placements after
we review the specific nonsovereign-related factors. We expect
to issue rating action press releases for the affected
transactions in each asset class as we complete our review.
RELATED CRITERIA AND RESEARCH
-- United States of America Long-Term Rating Lowered To
'AA+' On Political Risks And Rising Debt Burden; Outlook
Negative, published Aug. 5, 2011.
-- 604 Structured Finance Ratings Put On CreditWatch
Negative Following U.S. Sovereign CreditWatch Placement,
published July 15, 2011.
-- Ratings On An 136 Additional Structured Finance
Transactions Put On Watch Neg After U.S. Sovereign Watch
Placement, published July 21, 2011.
-- Ratings On An Additional 20 U.S. RMBS Classes Put On
Watch Neg After U.S. Sovereign Watch Placement, published July
-- What If Analysis: The Potential Impact To Structured
Finance Securities Of The U.S. Debt Ceiling Standoff, published
July 21, 2011.
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings:
Methodology And Assumptions, published June 14, 2011.
-- Weighing Country Risk In Our Criteria For Asset-Backed
Securities, published April 11, 2006.