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Plenty of Upgrades

Plenty of Upgrades

Recent RMBS ratings activity

August 4, 2003


Upgrades dominated the domestic residential mortgage backed securities (RMBS) market during the second quarter of 2003, according to a Standard & Poor’s Ratings Services (S&P) most recent Structured Finance Ratings Roundup Quarterly report. Rating upgrades of transactions backed by prime residential mortgage collateral outnumbered upgrades 67 to one. S&P said there were 301-performance-related upgrades, 13 performance-rated downgrades and seven guarantor-related downgrades in the U.S. RMBS market.Transactions backed by prime residential mortgage collateral experienced the largest number of raised ratings, followed by deals backed by home equity, S&P reported. Of the prime upgrades 155 went to Residential Mortgage Securities I Inc., which “greatly exceeds the number of upgrades to any other issuer,” S&P said in a statement on the release of the report. “As was the case for prime collateral in the second quarter of 2002, stability continues to be evident for the sector, as a comparable volume of transactions backed by prime collateral (106) were affected by ratings changes,” Ernestine Warner, a director in S&P’s Structured Finance Surveillance Group, said in a statement.

Fitch Ratings has upgraded 18, affirmed 22 and placed on rating watch negative two classes of PNC Mortgage Securities Corp. mortgage pass-through certificates. The ratings range from ‘AAA’ to ‘C’ and are based on low delinquencies and losses as well as increased credit support.

The $762 million investor certificates in Thornburg Mortgage Securities Trust 2003-3 securitization of prime mortgage loans have been rated by Moody’s Investor’s Service. Classes A-1, A-2, A-3, A-4 and R are rated ‘Aaa’ while ratings ranging from ‘Aa2’ to ‘B2’ have been assigned to the mezzanine and subordinate classes. Moody’s said the ratings are based on Thornburg’s “rigorous underwriting guidelines.”

Fitch has upgraded 11 classes while reaffirming 31 additional classes of GE Capital Mortgage Services mortgage pass-through certificates with ratings ranging from ‘AAA’ to ‘B’ due to low delinquencies and losses and increased credit support.

Nineteen classes of Cendant Mortgage Corp. residential mortgage-backed securities have been upgraded while 28 classes have been affirmed in ratings action accounted by Fitch. The ratings cover series 2000-2, -4, -10 and -11 and reflect low delinquencies and losses as well as increased credit support.

A rating of ‘Aaa’ has been assigned by Moody’s to the $344.2 million senior investor certificates of mortgage pass-through certificates MLMI Series 2003-A-3 based on expected performance of the mortgage loans, credit enhancement and level of subordination. The loans have what Moody’s described as “good” FICO scores of 726 and original LTV of 64%.

Several series of Structured Asset Securities Corp.’s residential mortgage-backed have been rated by Fitch – 21 have been upgraded, 12 were affirmed and one — series 1998-11 Pool 1 Class 1-B4 rated ‘BB’ — has been placed on Rating Watch Negative. The ratings range from ‘AAA’ to ‘C’ and cover series 1998-5, -10, -11, -ALS1 and -ALS2. The actions reflect low delinquencies and losses and increased credit support.

Fitch has affirmed 1 classes of Mellon Residential Funding Corp.’s mortgage pass-through certificates series 1999-TBC1, -TBC2, -and TBC3 with ratings ranging from ‘AAA’ to ‘BB+’ because of increased credit support and low losses and delinquencies.

Fifty-five classes of Chase Mortgage Finance Trust mortgage pass-through certificates have been upgraded and 40 have been affirmed by Fitch due to low delinquencies and losses as well as increased credit support. Ratings range from ‘AAA’ to ‘BB-‘. Covered in the ratings were these series: 1999-AS1, -S1, -S2, – S3, – S4-, S5-, S6, -S7, -S9, -S10, -S11, -S12, – S13, – S14 and -S15.

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

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