4 classes of LB Mortgage Trust certs afmd; off S&PWatch.NEW YORK--(BUSINESS WIRE)--S&P CreditWire 6/12/97--Standard & Poor's Structured Finance Ratings Group today has affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. its ratings on four classes of LB Mortgage Trust's (LB) series 1990-3 certificates and has removed them from CreditWatch. The ratings on LB's series 1991-3 certificates also have been affirmed. Concurrently, ratings on six classes of LB series 1991-1 certificates have been withdrawn due to full principal repayment (see below for list of ratings). The 1990-3 certificates were placed on CreditWatch with negative implications in May 1995, along with 443 other pool insured mortgage-backed issues. The May 1995 CreditWatch action resulted from industry-reported shortfalls in pool insurance, which resulted from denial or reductions in claim payments made by some insurers in connection with excessive wear and tear, delinquent delinquent 1) adj. not paid in full amount or on time. 2) n. short for an underage violator of the law as in juvenile delinquent. DELINQUENT, civil law. He who has been guilty of some crime, offence or failure of duty. taxes, restoration, and the payment of deductibles (i.e., non-covered losses). None of the 1990-3 certificates have suffered losses due to the above referenced industry reported shortfalls. The factors leading Standard & Poor's to remove the LB series 1990-3 certificates ratings from CreditWatch include (i) seven years of mortgage seasoning and (ii) established servicing capabilities. The double-'A' rating affirmation of the series 1990-3 certificates was based upon low principal balances, along with (i) high loss protection percentages and (ii) current support levels, which comfortably exceed Standard & Poor's double-'A' stress-case loss expectations. A mortgage pool insurance policy provided by General Electric Mortgage Insurance Corp. (GEMICO; triple-'A' claims-paying ability) provides current stop-loss coverage of $4.462 million, which represents a 40.84% loss coverage percentage for the affirmed certificates. This coverage level is roughly 8.17 times (x) the original double-'A' coverage percentage of 5.00%. Application of Standard & Poor's double-'A' stress-case surveillance methodology results in a forecasted loss protection percentage even greater than 8.17x original. These significantly increased credit support percentages result from pool insurance stop-loss amounts growing as a percentage of collateral balances as mortgage principal is retired. The secured mortgage pool backing the affirmed series 1990-3 certificates has experienced high rates of principal prepayment Prepayment 1. The payment of a debt obligation prior to its due date. 2. The excess payment over a scheduled debt repayment amount. Notes: 1. Examples include deferred expenses such as rent and early loan repayments. 2. , and the balance remaining is only 6.14% of the cut-off cut-off Anesthesiology The point at which elongation of the carbon chain of the 1-alkanol family of anesthetics results in a precipitous drop in the anesthetic potential of these agents–eg, at > 12 carbons in length, there is little anesthetic activity, principal balance. The double-'A' rating affirmation of the series 1991-3 certificates was effected through first-loss subordinated credit support of $5.273 million. This subordinate bond balance provides 25.20% in credit support to the affirmed certificates, which is approximately 2.96x Standard & Poor's originally required double-'A' loss coverage percentage of 8.50%. The series 1991-3 payment and support structure employs shifting-interest senior subordination. The structure is designed to increase the percentage of loss protection as issue principal is retired. This is partially achieved by applying 100% of principal prepayments Prepayments Payments made in excess of scheduled mortgage principal repayments. to the senior certificates (double-'A') until August 2001 (10 years from cut-off). Beginning in August 2001, the subordinate certificates will receive a gradually increasing percentage of principal prepayments, provided (i) the average 60+ day delinquency delinquency Criminal behaviour carried out by a juvenile. Young males make up the bulk of the delinquent population (about 80% in the U.S.) in all countries in which the behaviour is reported. rate over the previous 12 months does not exceed 2%, and (ii) losses do not exceed 30% of the original subordinate bond balance in 2001, 35% in 2002, 40% in 2003, 45% in 2004, and 50% in 2005. The poor performance of the mortgage pool backing series 1990-3, which carried an original weighted average coupon Weighted average Coupon The weighted average of the gross interest rates of mortgages underlying a pool as of the pool issue date; the balance of each mortgage is used as the weighting factor. of 10.94%, is the likely result of adverse selection. Only 6.14% of this 30-year fixed rate pool's original principal remains, roughly seven years after origination. This is an indication of high rates of voluntary prepayment, where more credit worthy obligors likely refinanced their loans to take advantage of a lower interest rate environment. The roughly 48 obligors currently remaining in the pool were most likely not strong candidates for refinancing Refinancing An extension and/or increase in amount of existing debt. due to lesser borrower credit quality. The current total 30 to 89 day delinquency rate is 4.82% and an additional 16.49% is 90+ days delinquent (including foreclosure foreclosure Legal proceeding by which a borrower's rights to a mortgaged property may be extinguished if the borrower fails to live up to the obligations agreed to in the loan contract. and REO reo Noun NZ a language [Maori] ). The total delinquency rate has been fairly consistent over the last 12 months, generally fluctuating fluc·tu·ate v. fluc·tu·at·ed, fluc·tu·at·ing, fluc·tu·ates v.intr. 1. To vary irregularly. See Synonyms at swing. 2. To rise and fall in or as if in waves; undulate. v. between 19% and 23%. Declining property values in California played a major role in generating the $4.420 million in total 1990-3 realized losses Realized Loss A loss recognized when assets are sold for a price lower than the original purchase price. Notes: A portion of the realized loss may be applied against a capital gain or realized profit to reduce taxes. , which represents approximately 2.48% of the original pool balance. Approximately 92% of the original pool balance was secured by properties located in California. The high percentage of seriously delinquent loans in this pool (16.5%) suggests additional REO liquidations may be forthcoming in the near term. Over the last eight months, however, three secured properties have been liquidated DAMAGES, LIQUIDATED, contracts. When the parties to a contract stipulate for the payment of a certain sum, as a satisfaction fixed and agreed upon by them, for the not doing of certain things particularly mentioned in the agreement, the sum so fixed upon is called liquidated damages. (q.v. , all resulting in zero losses. A combination of mortgage seasoning and a generally rebounding California real estate market could potentially continue to limit losses upon liquidation The collection of assets belonging to a debtor to be applied to the discharge of his or her outstanding debts. A type of proceeding pursuant to federal Bankruptcy . Based upon Standard & Poor's double-'A' stress case, it has been determined that the affirmed 1990-3 certificates are well fortified fortified (fôrt  ´fīd),adj containing additives more potent than the principal ingredient. to comfortably withstand a double-'A' loss environment without suffering principal losses. Collateral backing series 1991-3 affirmed certificates consists of a 30-year floating-rate mortgage pool indexed to the one-month 11th district Cost of Funds Index A Cost of Funds Index or COFI is a regional average of interest expenses incurred by financial institutions, which in turn is used as a base for calculating variable rate loans. (COFI COFI Cost of Funds Index COFI Council Of Forest Industries (Canada) COFI Community Organizing and Family Issues COFI Checkout and Fault Isolation COFI Coder/Decoder Filter (electrical engineering) ). The mortgages have not prepaid pre·pay tr.v. pre·paid, pre·pay·ing, pre·pays To pay or pay for beforehand. pre·pay  ment n. at
rates observed in the previously discussed pool; 30% of the balance
remains, roughly six years after origination. These borrowers benefited
from the declining interest rate environment, as COFI declined by as
much as 350 basis points from the rate prevalent at cut-off. COFI
currently hovers around 233 basis points below its level at cut-off.
Total delinquencies over the last year generally range between 8% and
14%, with serious delinquencies averaging about 5.6%. Losses of $1.076
million represent 1.51% of the original pool balance. Based upon
Standard & Poor's double-'A' stress case, it has been
determined that the affirmed 1991-3 certificates are well fortified to
comfortably withstand a double-'A' loss environment without
suffering principal losses.Having purchased the original master servicer, Ryland Mortgage Co., Norwest Bank Minnesota, N.A. currently serves as master servicer for the loans backing affirmed certificates. --- CreditWire -0-
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
Series Class Balance ($) Rating
1990-3 A 5,205,728.77 AA
B 5,367,998.45 AA
C 103,498.08 AA
D 247,697.90 AA
OUTSTANDING RATINGS AFFIRMED
Series Class Balance ($) Rating
1991-3 A-1 15,650,777.91 AA
A-2 1,210.41 AA
OUTSTANDING RATINGS WITHDRAWN
Rating
Series Class To From
1991-1 A-1 N.R. AAr
A-2 N.R. AAr
A-3 N.R. AAr
S-3 N.R. AAr
X-1 N.R. AAr
X-2 N.R. AAr
CONTACT: Arthur Bolden II, 212/208-5273 |
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