Issues Mostly Resolved for RMBS Issuers, Servicers

Recent subprime RMBS ratings news

January 5, 2004

By PATRICK CROWLEY

“Issuers have provided protective measures to significantly reduce transaction risk and investor assignee liability from predatory lending,” Fitch senior director Tom Albertson said in a statement, “while changes in servicing practices and strengthening of control by servicers will help stem the spread of predatory servicing.”

Ratings ranging from ‘AAA’ to ‘BBB-‘ have been assigned by Fitch to classes of the $1.04 billion Merrill Lynch Mortgage Investors Series 2003-OPT1. The ratings reflect credit enhancement, initial overcollateralization and monthly excess interest. Approximately 66.48% of the loans are adjustable-rate mortgage loans with the remainder fixed rate loans. The weighted average loan rate is approximately 7.48%.

Banc of America Alternative Loan Trust $505.1 million 2003-10 mortgage pass-through certificates have been rated from ‘AAA’ to ‘B’ by Fitch reflecting level of subordination and underlying collateral among other factors. The weighted average original loan to value (LTV) ratios range from 60.05% to 83.47% and the weighted average FICO scores range from 719 to 737.

And Fitch has also assigned ratings ranging from ‘AAA’ to ‘BBB-‘ to the $1.33 billion Argent Securities Inc. certificates series 2003-W8, a move that reflects credit enhancement, subordination levels, excess interest and initial overcollateralization. The mortgage pool of closed-end, first lien subprime mortgage loans has a weighted average original LTV of 84.43%.

Downgrades were given by Moody’s Investors Services to 15 classes of mezzanine and subordinated classes from 12 mortgage transactions issued by ContiMortgage Home Equity Loan Trust from 1997 to 1999. The action was taken because the credit enhancement levels for the classes are insufficient to maintain their ratings, Moody’s analyst Navneet Agarwal said in a statement. The pools backing the classes have experienced higher-than-expected losses. And in July of 2000 Fairbanks Capital Corp. acquired the servicing platform and servicing rights of all the ContiMortgage transactions from its financially troubled parent, ContiFinancial. In May Moody’s downgraded Fairbanks’ ratings for Primary Servicer and Special Servicer of residential subprime mortgage loans from SQ1 “strong” to SQ4 “below average.”

Better than average credit quality led to an ‘Aaa’ rating from Moody’s of the $181.7 million in senior certificates issued in RALI Series 2003-QS20 Trust, GMAC’s securitization of 15-year, fixed-rate Alternative-A (ALT-A) residential mortgage loans. The pool’s weighted-average FICO score of 722 is relatively high for the Alt-A product, Moody’s said in a statement. The weighted-average LTV of 66% is consistent with the 15-year Alt-A product.

Moody’s has also rated ‘AAA’ and ‘Aa2’ the classes in the $830.4 million mortgage pass-through certificates.