Subprime Securities Downgraded

Popular Mortgage Servicing Inc., which serviced more than 10,500 loans for $915 million as of March 31, saw its residential primary servicer rating for subprime product downgraded by Fitch Ratings to RPS3 from RPS2-. Fitch cited the change in the financial condition of the ultimate parent — Popular Inc.

On July 2, Fitch announced various ratings actions on 712 subprime RMBS issued prior to 2005. The actions reflected Fitch’s analysis of expected default and loss from the collateral pool in addition to cash flow analysis of each class.

“The home price declines to date have resulted in negative equity for approximately 16 percent of the remaining performing borrowers in the 2004 vintage, and approximately 11 percent for all transactions prior to 2005,” the agency explained. “However, Fitch’s negative equity estimates are likely understated since they do not reflect any second liens or home equity lines of credit which may have been taken by the borrowers post-issuance.”

Another 543 subprime transactions from 2005 through 2008 also saw actions by Fitch.

As part of an ongoing review, Moody’s Investors Service said it downgraded the underlying rating of Cityscape Home Equity Loan Trust 1996-2, Class A-5.

Ten RAMP-RZ subprime transactions issued between 2005 and 2007 backed by loans with higher than average loan-to-value ratios saw 57 ratings downgraded by Moody’s.

Moody’s downgraded the following subprime classes as a result of recent deterioration relative to expected performance.

• $100 million in securities from ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE4;
• $85 million in tranches from MASTR Asset Backed Securities Trust 2006-HE3;
• $67 in classes of Soundview Home Loan Trust 2006-NLC; and
• $7 million in securities from Merrill Lynch Mortgage Investors Trust 2006-RM4.

A combination of factors that might include rising delinquency, higher loss severities and slower prepayments triggered the following downgrades by Moody’s.

• 133 ratings from eight J.P. Morgan Acquisition Trust transactions;
• 14 tranches issued by J.P. Morgan Mortgage Acquisition Trust 2007-HE1; and
• six securities issued by Bear Stearns Asset Backed Securities I Trust 2007-HE7.

Moody’s said it analyzed credit enhancement relative to updated collateral loss projections and found deterioration in recent collateral performance. Some of the most impacted transactions have exceeded performance triggers and released portions of credit enhancement. As a result, securities of the following subprime RMBS were downgraded.

• 130 securities from 25 transactions issued by Residential Asset Securities Corporation between 2002 and 2004;
• 98 securities from 22 First Franklin issuances from 2001 through 2004;
• 68 securities from 20 transactions issued by Asset Backed Securities Corporation from 2000 through 2004;
• 49 securities from 13 Option One deals securitized between 2001 and 2004;
• 42 securities from nine NovaStar RMBS closed in 2002, 2003 and 2004;
• 40 securities from 12 C-BASS Trust transactions from 2001 through 2004;
• 39 securities from 9 transactions issued by Centex Home Equity Loan Trust from 2002 to 2004;
• 38 securities from 10 transactions issued by Asset Backed Funding Corporation between 2001 and 2004;
• 33 securities from nine ARC deals closed between 2001 and 2004;
• 27 securities from eight IndyMac issuances from between 2000 and 2004;
• 22 securities from 4 transactions issued by SABR in 2004;
• 19 securities from nine ContiMortgage Home Equity Loan Trust deal closed from 1994 to 1997;
• 18 securities from 5 transactions issued by GE Capital between 1997 and 1999;
• 16 securities from Finance America Mortgage Loan Trust 2004-2 and 2004-3;
• 12 securities from six Aames transaction issued between 2001 and 2004;
• 11 securities from AMRESCO Res. Sec. Corp. Mtg. Loan Trust 97-3, Mtge. Loan Tr. 1998-3 and Mtge. Loan Trust 98-2;
• 11 securities from seven transactions issued by ABFS Mortgage Loan Trust in 2001, 2002 and 2003;
• 10 securities from Fieldstone Mortgage Investment Trust 2004-3, 2004-4 and 2004-5;
• nine securities from four 2003 and 2004 SURF transactions;
• seven securities from five AFC 1998, 1999 and 2000 RMBS;
• seven securities from People’s Choice Home Loan Securities Trust 2004-1 and 2004-2;
• seven securities from CPT Asset-Backed Certificates Trust 2004-EC1;
• five securities from Popular ABS Mortgage Pass-Through Trust 2004-5;
• four classes of Southern Pacific Secured Assets Corp 1998-01 and 1998-2;
• four securities from BankBoston Home Equity Loan Trust 1998-1 and 1998-2;
• three tranches of Sovereign Bank Home Equity Loan Trust 2000-1;
• three securities from four Salomon transactions in 2002 and 2003;
• three securities from six Metropolitan transactions securitized between 1998 and 2000;
• two securities from Conseco Finance Home Equity Loan Trust 2002-C;
• two securities from Ownit Mortgage Loan Trust 2004-1;
• two securities from MESA 2002-3 Global Issuance Co. and MESA 2003-1 Global Issuance Co.;
• two securities from EQCC Trust 2001-1F;
• one security from Provident Bank Home Equity Loan Trust 1999-3; and
• one security from IMC Home Equity Loan Trust 1998-7.