Fitch Downgrades 1 & Affirms 3 Classes of IndyMac ABS HE 2000-B.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. has affirmed and taken rating action on the following IndyMac ABS (Automatic Backup System) See backup program. , Inc. Home Equity issue: Series SPMD SPMD - single processor/multiple data 2000-B group 2: -- Class AV-1 affirmed at 'AAA'; -- Class MV-1 affirmed at 'AA'; -- Class MV-2 affirmed at 'A'; -- Class BV downgraded to 'CCC' from 'BB'. The affirmations on $20,915,092 (89.13% of total certificates outstanding) of the above classes reflect credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing consistent with future loss expectations. The negative rating action on class BV ($2,549,844 outstanding, 10.87% of total certificates outstanding) is the result of poor collateral performance and the deterioration de·te·ri·o·ra·tion n. The process or condition of becoming worse. of asset quality beyond original expectations. Portfolio performance is, in part, suffering from adverse selection. IndyMac SPMD 2000-B group 2, with 13.85% of the original collateral remaining, contained 6.7% manufactured housing Manufactured housing (also known as prefab housing) is a type of housing unit that is largely assembled in factories and then transported to sites of use. In the United States, the term "manufactured home" specifically refers to a house built entirely in a protected (MH) collateral at closing (7/28/2000), and, as of September 2004, the percentage of MH has increased to 20.21%. To date, MH loans have exhibited very high historical loss severities, causing Fitch to have concerns regarding the adequacy of enhancement in this deal, especially with regard to class BV. MH has been responsible for 42.78% of total losses to date in this transaction. As of the Sept. 27 distribution, this transaction has $714,360 of overcollateralization (OC), compared with the OC target of $967,172. The six- and 12-month average gross losses are $203,343 and $210,096, respectively, versus current monthly excess spread before losses of $91,213, which has resulted in the regular monthly depletion of OC. The group 1 and group 2 mortgage pools within the SPMD 2000-B transaction are not cross-collateralized, so any excess spread generated within group 1 is not available to offset losses in group 2. However, the deal was structured with mortgage insurance (MI). Currently, approximately 36% of the mortgage pool has MI down to 80% loan to value, which will serve to somewhat mitigate the overall loss numbers. Fitch will continue to closely monitor this deal. Further information regarding delinquencies, losses, and credit enhancement is available on the Fitch Ratings web site at 'www.fitchratings.com'. |
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