| New Issuances Holding Down HEL Delinquencies
Recent subprime RMBS ratings activity Septmber 10, 2003 By PATRICK CROWLEY |
| Home equity loans stayed strong during the first quarter, according to a leading tracker of subprime lending performance. In its just-released Home Equity Index Composite (HEIC) Moody’s Investors Services found that home equity loans underlying asset-backed securities, or ABS, once again put performed well. “The rate of serious delinquencies, which includes loans that are at least 60 days past due or in foreclosure, bankruptcy or REO, remained low in the first quarter of 2003,” said Moody’s analysts Julia Tung and Henry Engelken, authors of the report. The pair attributes low first quarter delinquencies to continued high home equity issuance volumes as high volumes boost performances because new, unseasoned pools added to the subindex have low losses early in their lives. The strength of 2002 vintage subprime mortgage pools also played a factor. “Because subprime mortgage issuance was very heavy in 2002, these pools have a major impact on the overall index, compromising 36% of the index balance in March,” the analysts said.Moody’s has rated ‘Aaa’ the $401 million senior investor certificates issued by Structured Asset Securities Corp. 2003-20 based on the issues credit quality and level of subordination. The mortgage loans backing the series are first lien, Alternative “A” and jumbo quality loans. The loans are broken into three pools of 30- and 15-year amortizing fixed-rate mortgage loans with weighted loan to value (LTV) ratios of 53% to 64% and weighted-average FICO scores of 734 to 751.
The $712.4 million senior investor certificates issued series 2003-3 issued by New Century Home Equity Loan Trust have been rated ‘Aaa’ by Moody’s due to quality of collateral, subordination levels, overcollateralization and excess spread. The subprime quality loans backing the issue are first lien, adjustable-rate mortgage loans with a weighted-average LTV of 81% and a weighted-average FICO score of 600. Ratings on three classes from RFMSI Series 2001-S28 Trust and series 2002-S2 Trust have been raised by Standard & Poor’s Rating Services (S&P). Also, the ‘AAA’ ratings have been raised on the senior classes. Both series have experienced no realized losses and have very low delinquency levels. The mortgage pools consists of prime, 15-year fixed-rate conventional mortgage loans secured by first liens on one- to four-family residential properties. Asset-Backed Securities Corp. Home Equity Loan Trust $451.1 million Series 2003-HE5 Classes A1, A2-A, A2-B and A-IO have been rated ‘AAA by Fitch Ratings reflecting level of subordination, excess interest and overcollateralization. The pool consists of closed-end, first and second lien fixed-rate and adjustable-rate mortgage loans with a weighted average original LTV of 79.34% and a weighted average FICO score of 598. Fitch has also rated MASTR Alternative Loan Trust 2003-6 classes 1-A-1, 2-A-1, 3-A-1 through 3-A-3, 4-A-1, 15-A-X, 30-A-X, 15-PO, 30-PO and A-R – which total $352.8 million – ‘AAA’. The ratings are based on level of subordination, credit enhancement and quality of the collateral. The trust consists of four cross-collateralized groups of 2,167 conventional, fully amortizing 15- to 30-year fixed-rate mortgage loans secured by first liens on one- to four-family residential properties. The weighted average original LTV of the pools is 67.32% while the four classes carry original LTVs ranging from 54.92% to 72.48%. Washington Mutual’s $679.2 million MSC Mortgage Pass-Through Certificates Series 2003-AR3 securitization of Alt-A mortgage loans have been rated from ‘Aa2′ to Baa2’ by Moody’s due to credit enhancement and other factors. A pool of 30-year, adjustable-rate mortgage loans secured by first liens is backing the issue. Moody’s said the pool has a low weighted-average LTV of 75% and a high weighted-average FICO score of 713. Fitch has rated the following classes of Home Equity Asset Trust’s $550 million series 2003-5 as follows: Classes A-1, A-2, A-IO-1 and R, ‘AAA’; Class M-1, ‘AA’; Class M-3, ‘A-‘; Class B-1, ‘BBB+’, Class B-2, ‘BBB’; and Class B-3, ‘BBB-‘. Level of subordination, monthly excess interest, target collateralization and credit enhancement led to the ratings. The fixed and adjustable rate loans have weighted original LTVs of 80.56% to 80.81%. |
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Patrick Crowley is a political reporter and columnist and former business writer for The Cincinnati Enquirer. Email Patrick at: pcrowley@enquirer.com |
