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Recent subprime RMBS ratings actions

June 16, 2003


Fitch Ratings has assigned the following ratings to CWMBS Inc.’s mortgage pass-through certificates CHL Mortgage Pass-Through Trust 2003-24: Classes A-1 through A-17, $486 million, ‘AAA’; Class M, $6.5 million, ‘AA’; Class B-1, $3 million, ‘A’; Class B-2, $1.75 million, ‘BBB’; Class B-3, $1 million, ‘BB’; and Class B-4, $750,000, ‘B’. The ratings reflect level of subordination, credit enhancement and collateral. The certificates are in a pool of conventional, fully amortizing 20- to 30-year fixed-rate mortgage loans secured by first liens on one- to four-family residential properties. The pool has an approximate weighted-averaged original loan-to-value (LTV) of 68.98% and a weighted average FICO credit score of approximately 745.Ace Asset-Backed $445.360 million certificates Pass-Through Series 2003-FM1 have been assigned ratings by Fitch ranging from ‘AAA to ‘BBB’. The ratings reflect level of subordination, monthly excess interest and initial collateralization. The pools consist of first and second lien fixed-rate and adjustable rate mortgage loans that carry average weighted LTVs that range from 81.10% to 73.64%.

The $697.9 million multi-class mortgage pass through certificates series 2003-6 issued by ABN AMRO Mortgage Corp. have been rated by Fitch from ‘AAA’ to ‘B’ based on level of subordination and underlying collateral. The pool consists of 30-year and 15-year mortgage loans separated into two pools that have original LTV’s of 68.30% and 60.14%, weighted average coupons (WACs) of 5.926% for the 30-year loans and 5.256% for the 15-year loans and FICO scores of 740 for the 30-year loans and 746 for the 15-year loans.

Fitch has assigned ratings ranging from ‘AAA’ to ‘BBB-‘ to classes of the $675 million CDC Mortgage Pass-Through Certificates series 2003-HE2 reflecting level of subordination, monthly excess interest and initial overcollateralization. The mortgage loan pool consists of first and second lien fixed-rate and adjustable-rate mortgage loans with an original LTV of 80.34%.

Chase Funding Mortgage‘s $297.50 million Group II Loan Asset-Backed Certificates series 2003-2 have been rated ‘AAA’ by Fitch, which has also assigned ratings of ‘AA’, ‘A’ and ‘BBB’ to the subordinate certificates. The pool consists of adjustable-rate mortgage loans with a weighted average coupon of 7.51% and an original LTV of 76.71%. The $366 million Group I Class A senior certificates have been rated ‘AAA’ with the subordinate certificates rated at ‘AA’, ‘A’ and ‘BBB’. Group I has a weighted average LTV of 74.34% and a WAC of 7.23%. The collateral pool consists of fixed- and adjustable-rate collateral totaling $602 million. The ratings reflect level of subordination, initial credit enhancement and excess interest.

A rating of ‘AAA’ has been assigned to A-1, A-2A and A-2B certificates issued under GSAMP Trust’s $351.7 million mortgage pass-through certificates series 2003-HE1. Fitch has also rated Class M-1 (‘AA’), Class M-2 (‘A+’), Class M-3 ‘A-‘), Class B-1 (‘BBB’) and Class B-2 (‘BBB-‘). The ratings reflect credit enhancement, monthly excess interest and initial overcollateralization. The subprime mortgage pool consists of closed-end, first-lien, fixed-rate and adjustable-rate mortgage loans with original combined LTV ratios of 79.45% and 78.61%.

Moody’s Investors Service has assigned ratings of ‘Baa2’ to the Class M4 and M5 investor certificates and ‘Baa3’ to this Class B investor certificates in the $1.1 billion Structured Asset Investment Loan Trust 2003-BC3 securitization of subprime mortgage loans. Ratings are based mainly on the deep loan-level mortgage insurance coverage provided by Mortgage Guaranty Insurance Corp. and Radian as well as credit enhancement, excess spread and overcollateralization.

The Class I-F1 and Class II-A1 certificates issued in the $280 million EquiFirst Mortgage Loan Trust 2003-1 transaction have been rated ‘Aaa’ by Moody’s. A pool of fixed- and adjustable-rate, first-lien mortgage loans backs the certificates. Credit protection is provided by overcollateralization and the subordination of junior certificates. The fixed-rate pool has a weighted average LTV of 91% and a high incidence (68%) of cash-out loans. The adjustable-rate mortgage pool has a weighted average LTV of 93% and a high incidence (59%) of cash out loans.

WaMu Mortgage’s $1.5 billion pass-through certificates series 2003 AR5 securitization of prime-quality jumbo hybrid adjustable rate loans have been rated ‘Aaa’ by Moody’s. The following ratings were also assigned: ‘Aa2’ to Class B-1; ‘A2’ to Class B-2; ‘Baa2’ to Class B-3; ‘Ba2’ to Class B-4; and ‘B2’ to Class B-5. The ratings are based on subordination and integrity of cash flow. The pool has weighted average FICO scores of 748-724 and LTV ratios of 63% and 67%.

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

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