Fitch Downgrades 2 & Affirms 4 RMBS Ratings from SARM 2004-11.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 downgraded two and affirmed four classes of Structured Adjustable Rate Mortgage This article is about the US mortgage type. For an international perspective, see Variable rate mortgage. An adjustable rate mortgage (ARM) is a mortgage loan where the interest rate on the note is periodically adjusted based on an index. Loan Trust (SARM SARM Saskatchewan Association of Rural Municipalities SARM Selective Androgen Receptor Modulator SARM Department for Standardization, Metrology and Certification (Armenia) SARM Set Asynchronous Response Mode (HDLC) ) residential mortgage-backed certificates, as follows: Series 2004-11 --Class A affirmed at 'AAA'; --Class B1 affirmed at 'AAA'; --Class B2 affirmed at 'AA'; --Class B3 affirmed at 'BBB'; --Class B4 downgraded to 'B' from 'BB'; --Class B5 downgraded to 'C/DR5' from 'CC/DR3'. The affirmations on the above classes reflect adequate relationships of 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 (CE) to future loss expectations and affect approximately $30.04 million of outstanding certificates. The negative rating action taken on classes B4 and B5 affect approximately $1.15 million of outstanding certificates and reflects deterioration in the relationship between CE and expected losses. March 2007 remittance information indicates that 5.12% of the pool is currently over 90 days delinquent of which 1.62% is currently in REO reo Noun NZ a language [Maori] (Real estate owned Real Estate Owned Property owned by a lender - usually a bank - after an unsuccessful sale at a foreclosure auction. This is common because most of the properties up for sale at these auctions are worth less than the total amount owed to the bank: the minimum bid in most ) and 3.50% in Foreclosure (FC). Class B4 currently has 1.52% ($475,069) of credit support remaining (originally 1.05% or $2,578,951). Class B5 currently has no credit support remaining (originally 0.50% or $1,229,951) and has experienced a write-down of $266,453. Monthly losses have averaged $143,530 for the past three months. Cumulative losses as a percent of the original collateral balance are 0.24%. The mortgage loans were originated by various banks and other mortgage lending institutions. The largest percentage of originations were those made by Aurora Loan Services Inc. (approximately 57.08% of the mortgage pool at closing). The mortgage loans were acquired by Lehman Brothers Holdings Inc. The transaction consists of adjustable rate, conventional, fully amortizing mortgage loans, substantially all of which have original terms to stated maturity of 30 years. The mortgage loans provide for an interest rate adjustment of every six-month or one-month period, based on the six-month LIBOR LIBOR See: London Interbank Offered Rate LIBOR See London interbank offered rate (LIBOR). index or the one-month LIBOR index. Approximately 93.66% of the mortgage loans at closing provide for interest-only payments and have an interest-only period for the first five to 10 years after origination. The mortgage loans are master serviced by Aurora Loan Services, Inc., which is rated 'RMS1-' by Fitch. SARM 2004-11 is seasoned 32 months and the pool factor (current principal balance as a percentage of original) is 13%. Further information regarding current delinquency, loss and credit enhancement statistics is available on the Fitch Ratings web site at www.fitchratings.com. Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site at www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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