GMAC-RFC found itself in a bit of a hotspot earlier this month following its announcement of data reporting errors in respect to four RMBS deals it services from the RMAC series of RMBS deals (see ASR 11/14/05). Despite this, Standard & Poor's affirmed the four GMAC-RFC transactions - RMAC 2004-NSP4, RMAC 2005-NS1, RMAC 2005-NSP2, and RMAC 2005-NS3 - placed under review for data inaccuracies.
The agency said it re-ran its cashflow analysis based on the corrected data and found that credit enhancement is sufficient to maintain the ratings on all classes of notes in these transactions. The specific concern related to the basis risk between certain loans and the liabilities, but S&P's stress analysis showed just a marginal reduction in excess spread from re-modeling the deals, explained Dresdner Kleinwort Wasserstein analysts. S&P noted that even on the 2005-NS1, where 21.7% of the pool was mislabeled, the negative impact on excess spread over the life of the transaction was a manageable six basis points.