Just Passing Through

Recent RMBS ratings actions

April 18, 2003

By PATRICK CROWLEY

A rating of ‘Aaa’ was assigned to GMAC Mortgage Corporation’s $634.6 million term note series 2003-HE2 home equity securitization by Moody’s. The rating reflects a financial guaranty insurance policy from Financial Guaranty Insurance Co. and a combination of excess spread and overcollateralization.

Wells Fargo Mortgage Backed Securities 2003-2 Trust $691.3 million senior certificates have been assigned a ‘Aaa’ rating by Moody’s, reflecting the level of subordination, and the historical and expected performance of the above-average quality fixed rate 15 year jumbo mortgage loans. The pool had low California concentration at 38%. The original LTV was 55%.

Moody’s has assigned a ‘Aaa’ rating to Residential Funding Corp.’s 2003-RZ2 $325 million senior certificates and ratings from ‘Aa2’ to ‘Baa2’ to the mezzanine classes. The rating reflects a certificate guaranty insurance policy from Ambac Assurance Corp., the credit quality of the underlying mortgage loans and the credit enhancement provided through subordination, excess spread and overcollateralization. The weighted-average LTV was about 102.3%.

The senior certificates of Countrywide Home Loans’ $526.1 million mortgage pass-through trust series 2003-HYB2 senior certificates securitization of prime-quality, hybrid adjustable-rate mortgage loans were rated ‘Aaa’ by Moody’s. Moody’s also assigned ratings ranging from ‘Aa2’ to ‘Baa2’ to the subordinate certificates. The ratings are based on the fact that the credit quality of the loans underlying the transaction is better than average for adjustable-rate prime quality mortgages, as well as the level of subordination and cash flow.

Morgan Stanley Dean Witter’s $696.6 million Capital I Trust Series 2003-NC3 Class A-2 and Class A-3 certificates were rated ‘Aaa’ by Moody’s. Ratings ranging from ‘Aa2’ to ‘Baa2’ were assigned to the mezzanine and subordinate certificates. The ratings reflect the due diligence performed by Morgan Stanley and third parties that reduced the uncertainty associated with property valuation and exceptions to underwriting guidelines that affect the credit quality of loan pools. The weighted-average combined LTV ratio was 79%.

Due to transactions of better than average quality for the 30-year jumbo loans backing the senior certificates in Countrywide’s $301.1 million CHL 2003-7 securitization, Moody’s has assigned a rating of ‘Aaa.’ Ratings are also based on the level of subordination, the credit quality of the collateral pool and the transaction’s structure. The weighted average LTV was 70% with mortgage insurance coverage on substantially all loans with LTVs greater than 80%. At least 95% of the properties were single-family homes. Countrywide’s previous pools have experienced low losses and delinquencies.

Moody’s has assigned ratings of ‘Aa2’ to ‘B2’ to certain mezzanine and subordinate classes of the $23 million Fannie Mae REMIC Trust 2003-W4 mortgage pass-through certificates issued by the Federal National Mortgage Association. The transaction consists of the securitization of Federal Housing Administration (FHA)-insured and Veterans Administration (VA) guaranteed performing loans. The ratings are based on the level of subordination, the credit quality of the underlying loans and the insurance provided by the FHA and the guarantee proved by the VA.

A rating of ‘AAA’ to ‘B’ was assigned to the mortgage pass-through certificate in PNC Mortgage Securities Corp.’s series 2001-1 Group I, II and III by Fitch Ratings, reflecting low delinquencies and losses and increased credit support.

Due to low delinquencies and losses as well as increased credit support Fitch has assigned and affirmed ratings of ‘AAA’ to ‘B’ to Merrill Lynch Mortgage Loans Inc. mortgage pass-through certificate series 2001-S01.

Patrick Crowley is a political reporter and columnist and former business writer for The Cincinnati Enquirer.