Recent subprime RMBS ratings actions

July 31, 2003

By PATRICK CROWLEY

The $1.1 billion Banc of America Mortgage Securities Inc. Series 2003-F have been rated as follows by Fitch Ratings: Classes 1-A-1, 1-A-2, 1-A-R, 1-A-LR, 2-A-1 through 2-A-7, 3-A-1 and A-P senior certificates, ‘AAA’; B-1, ‘AA’; Class B-2, ‘A’; Class B-3, ‘BBB’; Class B-4, ‘BB’; and Class B-5, ‘B’. The rating reflect levels of subordination and underlying mortgage collateral. The loans consist of hybrid adjustable-rate mortgages (ARMs) with original LTV’s ranging from 65.99% to 63.85% and FICO scores of 736, 737 and 738. None of the mortgage loans are “high cost” loans as defined under any local, state or federal laws.

Fitch has assigned the following ratings to ABN AMRO Mortgage Corp.’s multi-class mortgage pass-through certificates series 2003-8: Classes A-1 through A-34, A-X, A-P and R ($493.7 million) ‘AAA’; Class M ($6.1 million) ‘AA’; Class B-1 ($3.3 million) ‘A-‘; Class B-2 ($1.3 million) ‘BBB-‘; Class B-3 ($709,322) ‘BB’; and Class B-4 ($759,987) ‘B’. The ratings reflect levels of subordination, credit enhancement and underlying collateral. The pool consists of 30-year fixed-rate mortgage loans secured by one-to four-family residential properties with a weighted average LTV of approximately 67.25%, a weighted average coupon of 5.86% and a weighted average FICO score of 743.

Fremont Home Loan Trust $936.473 million asset-backed securities series 2003-2 have been rated by Fitch. Classes A-1 and A-2 are rated ‘AAA’; Classes M-1 ‘AA’; Class M-2 ‘A’; Class M-3 ‘A-‘; Class M-4 ‘BBB+’; and Class M-5 ‘BBB’. The ratings reflect total credit enhancement, initial overcollateralization and quality of the loans. The loans in Group 1 consist of first lien adjustable-rate and fixed-rate, closed end, conforming mortgage loans with a weighted average original LTV of 80.67%. Group II consists of first lien adjustable-rate and first and second lien fixed-rate conforming and nonconforming mortgage loans with a weighted average original LTV of 81.66%.

Fitch has rated various classes of CWMBS Inc.’s $308.4 million mortgage pass-through certificates CHL Mortgage Pass-Through Trust 2003-28: Classes A-1 through A-13, PO and A-R ‘AAA’; 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, credit enhancement and underlying mortgage collateral. The pool consists of fully amortizing 20- to 30-year fixed-rate mortgage loans secured by first liens on one- to four-family residential properties with a weighted average LTV of 67.57% and a weighted average FICO score of 744.

The senior certificates issued in Washington Mutual’s $731.3 million MSC Mortgage Pass-Through Certificates Series 2003-AR2 securitization of Alt-A Mortgage loans have been rated ‘Aaa’ by Moody’s based on credit enhancement provided by subordination and other factors. The loan pool consists mainly of 30-year, adjustable-rate mortgage loans secured by first liens and made to high-credit-quality borrowers. Moody’s said Group I loans carry a “high” weighted-average FICO score of approximately 708 and a “relatively low” weighted average LTV of 75% while Group II also has a “high” weighted average FICO score of approximately 712 and a “relatively low” weighted average LTV of 75%.

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