Mortgage Daily

Published On: October 16, 2003
S&P Cuts Ratings on 2002 Mfg Housing Issues

Recent subprime mortgage RMBS ratings news

October 16, 2003

By PATRICK CROWLEY

The poor performance of manufactured housing contracts has led to Standard & Poor’s Ratings Services (S&P) to lower ratings on 16 classes from three Oakwood Mortgage Investors Inc. manufactured housing transactions issues in 2002. The classes were removed from CreditWatch with negative implications, where they have they been since December of 2002. With pool factors ranging from 82% to 90%, cumulative net loss rates are trending higher than originally expected, S&P said. Also, total delinquency levels have steadily increased during the past few months and repossession inventory rates remain high, the agency said.“Furthermore, since Oakwood has transitioned toward a wholesale liquidation strategy after suspending its manufactured home repossession-refinance business in November 2002 (following its bankruptcy filing) recovery rates on liquidated collateral have plummeted, with cumulative recovery rates on the three transactions currently ranging between 17.5% and 24%,” S&P said in a statement. Ratings were affirmed on Class A-1 and Class A-IO certificates based on sequential pay structures and credit support.

IndyMac MBS Inc. Residential Asset Securitization Trust (RAST) 2003-A12 $172.2 million residential mortgage pass-through certificates have been rated ‘AAA’ by Fitch Ratings. Covered are the class A certificates — classes A1 through A-3, A-X, A-R and PO. The ratings reflect the level of subordination, credit enhancement and strength of collateral. The pool consists of fixed-rate, fully amortizing, first lien, one- to four-family residential mortgage loans with a weighted average loan-to-value (LTV) ratio of 58.97% and a weighted average FICO score of 717.

Fitch has also assigned a ‘AAA’ rating to the $608.7 million mortgage pass-through certificates series 2003-30 issued by Structured Asset Securities Corp. Rated were classes 1-A1- through 1-A5, 1-AP, 2-A1, 2-A2, 2-A2, 3-A1 through 3-A6, 3-AP, AX, PAX and R certificates. The ratings were based on total credit enhancement and level of subordination. The loans were broken into three groups with weighted average original LTV ratios of 63.76%, 62.02% and 66.09%.

The senior certificates in Bear Stearns Asset Backed Securities Trust 2003-AC4, a $861.7 million securitization of fixed rate, Alt/A mortgage loans, have been rated ‘Aaa’ by Moody’s Investors Services. Ratings ranging from ‘Aa2’ to ‘Baa2’ have been assigned to the mezzanine and subordinated certificates. In a ratings report Moody’s said the credit quality of the fixed-rated residential mortgages is “average for Alt/A.” Ratings were based on quality of collateral, credit enhancement, level of subordination, excess spread and overcollateralization. The loan pool of 30-year fixed-rate Alt/A mortgage loans carries an average LTV of 75.37%.

A rating of ‘Aaa’ was assigned by Moody’s to Wells Fargo Mortgage Backed Securities $258.8 million 2003-I trust. Moody’s said the credit quality of the aggregate pools is “strong, though slightly weaker that other Wells Fargo 30-year adjustable interest-rate mortgage loans.” Ratings were based on the historical and expected performance of the above-average quality adjustable rate 30-year jumbo loans, and level of subordination. The pool does have a higher weighted average LTV ratio of 66% compared to 63% in 2003-H and a weighted average FICO score of 736.

Moody’s also rated ‘Aaa’ the $255.3 million senior investor certificates issued by Structured Asset Securities Corp. 2003-S1. The subordinate certificates were given ratings of ‘Aa2’ to ‘Baa3’. Collateral quality, excess spread and level of subordination drove the ratings. The mortgage loans backing the certificates are second-lien, subprime quality loans with a weighted average LTV of 97% and a weighted average FICO score of 672.


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

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