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Recent RMBS ratings actions

April 30, 2003

By PATRICK CROWLEY

Changes fueled by new regulations and advances in technology are coming to the residential mortgage-backed securities market, Standard & Poor’s Rating Services (S&P) says in a new report. According to the report, the changes and advances sweeping the RMBS market are: City and state regulations on predatory and abusive lending; advances in alternative valuation modeling to keep pace with refinancing; and the continued standardization of collateral quality characteristics in ratings analysis.Fitch Ratings has assigned a ‘AAA’ rating to the $249.12 million Mortgage loan Asset Backed Certificates Series 2003-1 class A1 and notional Class A-10 issued by Aegis Asset Backed Securities Trust. The rating reflects the 14.05% initial credit enhancement provided by the 5.75% class M1, the 4.25% class M2 and the 3% class IB. The weighted average original loan-to-value (LTV) is 82.82% with 76% of the loans with loan to values over 60% have lender paid insurance.

Due to low delinquencies and losses as well as increased credit support, Fitch has upgraded the following residential mortgage-backed securities: Bank of America Mortgage Securities Inc., mortgage pass-through certificates, series 2001-4, series 2001-8 and series 2002-5; Residential Accredit Loans Inc., mortgage pass-through certificates, series 2001-QS3 and series 2001-QS5; Countrywide Home Loans Inc. mortgage pass-through certificates, series 1998-18, Pool I and series 1998-18, Pool II and mortgage pass-through trust 1998-20 and trust 2001-6; Residential Funding Mortgage Securities I Inc., mortgage-pass through certificates series 1998-S31, series 2001-S22, series 2001-S23, series 2001-S24 and series 2001-S9; Citicorp Mortgage Securities Inc. REMIC pass-through certificates series 2001-6 and series 1999-3; GMAC Mortgage Corp., GMACM Mortgage Loan Trust 1999-J1; MSDW Mortgage pass-through certificates series 2002-WL1; GE Capital Mortgage Services Inc. REMIC mortgage-pass through certificates, series 1999-3; Norwest Asset Securities Corp. mortgage pass-through certificates series 1998-24, 1998-29, 1999-18; Wells Fargo Mortgage Backed Securities 2001-21 Trust mortgage pass-through certificates series 2001-23 and series 2001-26.

The ratings of 13 classes from seven series of mortgage pass-through certificates issued by Housing Securities Inc. have been raised by S&P while the ratings of all other publicly rated classes issued by Housing Securities Inc. have been affirmed. The ratings reflect increased percentages of loss protection provided by remaining credit support. Ratings were raised on series 1991-8, 1991-17, 1992-9, 1992-SL1, 1994-1 and 1994-2 and affirmed on 1992-NB1, 1993-D, 1993-H, 1994-1, 1994-2, 1994-3 and 1995-B.

Fitch has assigned a rating of ‘A’ to Mellon Residential Funding Corp.’s mortgage pass-through certificates series 1999-TBC2 $1.4 million class B5 certificates reflecting the strengthened credit quality of the underlying mortgage pool, the collateral’s seasoning and the better than anticipated performance evidenced by zero losses and delinquencies and an increase in credit support. As of the March 25. 2003 distribution date the credit enhancement of the class B% has increased from 0.25% initially to 1.13% currently.

The senior certificates in Countrywide Home Loan’s $467.48 million 2003-13 (Alt Trust 2003-5T2) securitization of prime-quality mortgages have been assigned ‘Aaa’ by Moody’s Investors Services. The ratings are based on the credit quality of the collateral pool and credit enhancement provided by subordination. The aggregate pool also benefits from mortgage insurance coverage on all loans with loan-to-values greater than 80%. Countrywide’s previous pools have experienced low losses and delinquencies.

Countrywide’s $677 million CHL 2003-11 senior certificates have been rated ‘Aaa’ by Moody’s, reflecting the better-than-average quality of the 30-year jumbo loans backing the transaction, level of subordination and the deal’s structure. The pool has a weighted average LTV of 70% and mortgage insurance coverage of substantially all loans with LTV’s greater than 80%.

Wachovia Bank National Association’s securitization of the $1.1 billion home equity lines of credit WASI 2003-HE1 have been rated ‘Aaa’ by Moody’s primarily due to an insurance policy from Financial Guaranty Insurance Co. The weighted-average combined LTV ratio is 77.7%. The investment grade notes are backed by a pool of primarily adjustable-rate, first- and second-lien home equity revolving credit line agreements and secured by mortgages or deeds of trust on residential properties.

Fitch has placed a ‘Aaa’ rating on the $338.5 million senior certificates in Chase Funding Mortgage Loan Asset-Backed Certificates series 2003-2 Group I class A. Also, Fitch rated the $12.03 million Group I class IM-1 ‘AA’, the $9.25 million Group I class IM-2 ‘A’ and $8.33 million Group I class IB ‘BBB’. The average original LTV ratio is 73.19% and the weighted average coupon is 7.60%. Fitch also assigned ratings in the Group II Class: ‘AAA’ to the $463.75 million Group II Class A; ‘AA’ to the $27.83 million Group II class IIM-1; ‘A’ to the $21.20 million Group 2 Class IIM-2; and ‘BBB’ to the $13.78 million Group II class IIB. Ratings reflect level of subordination, credit enhancement and benefit of excess interest. The original LTV in Group I is 73.19% and in Group II is 76.90%.

S&P says in a new report that upgrades comprised most of the country’s Residential Mortgage Backed Securities during the first quarter. According to S&P’s Structured Finance Global Ratings Roundup Quarterly report there were 128 performance-related upgrades, six performance-related downgrades and 21 guarantor-related downgrades. “The prime sector’s strong performance continues to showcase the stability of prime collateral, evidenced by the consistency of rating activity over the course of the past few years,” said Ernestine Warner, a director of S&P’s Structured Finance Surveillance group. “As was the case in previous quarters, all of the upgrades in the prime sector reflected collateral performance.”


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

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