S&P release Q2 trends for RMBS.

ACCORDING TO A REPORT BY NEW YORK-BASED Standard & Poor's (S&P) Ratings Services, Trends in U.S. Residential Mortgage Products: Second-Quarter 2003 LTV Ratios, FICO[R] Scores and Credit Support Levels, S&P rated 87 prime residential mortgage-backed securities (RMBS) transactions in second-quarter 2003, an increase of five deals from the 82 deals rated in the first quarter. The average FICO score for these pools was 730.98, a decrease of approximately 1.75 from the first-quarter average of 732.74.

S&P also notes that the appetite of prime borrowers for hybrid adjustable-rate loans (adjustable-rate loans that have initial fixed-rate periods of three to 10 years) along with the appeal of traditional adjustable rate mortgage (ARM) loans to take further advantage of the current interest rate environment is evidenced by the continued strength of their securitizations. In the second quarter, S&P rated 26 such transactions. This trend is expected to continue throughout 2003.

In the alternative-A (alt-A) category, the second quarter FICO scores for the 30 year, fixed rate pools ranged from a high of 725 to a low of about 675 versus the first quarter's 737 and 675, respectively. The loan-to value (LTV) ratios among these pools ranged from a low of about 68 percent to a high of approximately 80 percent. AAA credit enhancement levels for these pools ranged from 3.25 percent to 9.50 percent.

Standard & Poor's rated 55 subprime mortgage transactions totaling approximately $43.80 billion during second-quarter 2003 compared with 37 transactions worth more than $31.80 billion in first-quarter 2003. The average FICO score for the fixed-rate mortgage pools of the subprime issuers remained steady at 629 in second quarter 2003.

Finally, the closed-end seconds (CES) less-than-100-percent-combined-loan-to-value (CLTV) second quarter 2003 securitization volume of $2.78 billion increased by 19 percent from second-quarter 2002's volume of $2.33 billion. The slight increase in volume was due to two first-time issuers, Terwin Capital LLC and Compass Bank, entering the CES securitization marketplace.

S&P also notes that the two most popular structures for closed-end, second-lien products currently are the shifting-interest senior subordinate, excess spread and overcollateralization structure, and the hybrid structure combining senior subordination features while using a pool insurance policy.