| And the Heavy Weighted Average Champion is…
Recent residential MBS ratings actions May 13, 2003 By PATRICK CROWLEY |
| The senior certificates in Credit Suisse First Boston Mortgage Securities Corp. $1.1 billion mortgage-backed pass-through certificates series 2003-8 have been rated ‘Aaa’ by Moody’s Investors Service. Ratings from ‘A3’ to ‘Ba3’ have been assigned to Groups I through VI mezzanine and subordinated tranches. The ratings reflect the quality of the collateral and the level of subordination. The groups have weighted average loan-to-values (LTVs) ranging from 58.9% to 81.8% and weighted average coupons (WACs) ranging from 5.82% to 7.82%.Fitch Ratings has upgraded the Class B CWMBS (IndyMac) Inc. residential mortgage-backed certificates series 1994-X from ‘AA’ to ‘AAA’ and affirmed five other classes of series 1994-X and 1994-L with ratings of ‘AAA’ to ‘B’. Two classes — Class B3 and of series 1994-X and Class B3 of series 1994-L — were removed from a Rating Watch Negative list by Fitch. The ratings are based on low delinquencies and losses and increased credit support.
Several classes of Nomura Asset Acceptance Corp.’s Alternative Loan Trust $210 million mortgage pass-through certificates series 2003-A1 have been assigned an ‘AAA’ rating by Fitch. Those classes are A-1 through A-7, A-I0 and A-PO. Fitch has also rated Class M ‘AA’, Class B-1 ‘A’, Class B-2 ‘BBB’ Class B-3 ‘BB’ and Class B-4 ‘B’. The ratings reflect level of subordination and collateral strength. The weighted average current LTV is 74.30%. Standard & Poor’s (S&P) has raised its ratings on three classes of GE Capital Mortgage Services Inc. series 1998-10 and 1998-11 – Class 2-B2, 3-B1 and 3-B@- and affirmed at ‘AAA’ the remaining classes in the series. The ratings reflect credit support percentages, no cumulative losses and strong collateral balances. The $1.3 billion in WaMu Mortgage’s pass through senior certificates series 2003-AR4 securitization of prime-quality jumbo hybrid adjustable rate loans have been rated ‘Aaa’ by Moody’s. Moody’s has also issued the following ratings in the series: Class B-1, ‘Aa2’; Class B-2, ‘A2’; Class B-3, ‘Baa2’; Class B-4, ‘Ba2’ and Class B-5, ‘B2’. The ratings reflect level of subordination and integrity of cash flow. The loans have LTV values ranging from 62% to 67% and FICO scores ranging from 748 to 720. The classes of Morgan Stanley Capital Inc. Trust 2003-NC4 $743 million mortgage pass-through certificates have been rated by Fitch. Four classes – A-1, A-2, A-3 and A-4 – have been rated ‘AAA’. The other classes are rated as follows: Class M-1, ‘A’; Class M-3, ‘A-‘; Class B-1, ‘BBB+’; Class B-2, ‘BBB’; and Class B-3, ‘BBB-‘. The ratings reflect issue’s level of subordination and level of credit enhancement. The weighted average LTV is 79.25%. Twenty-nine classes of Cendant Mortgage Corp. residential mortgage-backed certificates have been upgraded and affirmed by Fitch. The series covered by new ratings are in 2000-3, 2000-5, 2000-6, 2000-7, 2000-8 and 2000-9. Fitch said the actions reflect low delinquencies and increased credit support. Fitch has upgraded five classes and affirmed five additional classes of Capstead Mortgage pass-through certificates series 1997-2. The actions were taken because of low delinquencies and losses as well as increased credit support. Because of increased credit support as well as low delinquencies and losses Fitch has upgraded two and affirmed three classes of Salomon Mortgage Loan Trust residential mortgage-pass through certificates Series 2000-BoA1. Growth in the Residential Mortgage Backed Securities market will continue but the rate of growth cannot continue for much longer, according to panelists at this year’s S&Ps Structured Finance Seminar in Orlando, Fla. During the first quarter of this year issuance activity increased for the fifth straight quarter, rising 42% over the first quarter of 2000. Fueling the growth are historically low interest rates and refinancing activity, the panelists said. “It is unusual to have such a significant drop in interest rates and appreciation of real estate prices simultaneously,” said Rod Dubitsky, director of Mortgage ABS Research at Credit Suisse First Boston. “I do not believe we will continue to see those same conditions going forward. Volume will still be strong, but not as strong as we have seen.” UBS Warburg executive director Thomas Zimmerman said it has been “difficult to sort out exactly whether the explosion in volume over the past few years is because of the decline in rates or from a broadening of the product in the subprime market. It may also be because of the general credit decline by consumers in the United States that has pushed them back into the subprime area.” |
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Patrick Crowley is a political reporter and columnist and former business writer for The Cincinnati Enquirer. Email Patrick at: pcrowley@enquirer.com |
