Not something I usually watch but in my midnight reading last night I saw a slew of MBS downgrades from Fitch. I don’t know if this is more or less than normal, it just caught my eye.
“As of the December 2006 distribution, series 2002-HE3 has suffered a cumulative loss of 2.47% of its original balance. The overcollateralization (OC) has been eroded completely and the B-2 bond ($1,316,098 outstanding) has suffered a write down of $469,770 to date. The average monthly excess spread for the past three months has been approximately $56,611 and the average monthly losses for the same period have been $421,896. This has led to an average monthly reduction in credit enhancement of $365,285 for the past three months. The 90+ delinquencies represent 27.51% of the current mortgage pool balance. This number includes foreclosures and real estate owned (REO) of 7.34% and 4.69%, respectively.
The cumulative loss for the 2003-HE1 transaction is 1.61% of its original balance. The OC is $810,336 (1.40% of current balance) versus a target of $3,302,846 (OC floor of 0.50% of original balance and 5.71% of current balance) and is expected to get reduced further in the coming months as losses exceed available excess spread. The average monthly excess spread for the past three months has been approximately $85,221 and the average monthly losses for the same period have been $435,831. This has led to an average monthly reduction in credit enhancement of $350,610 for the past three months. As a result, OC is expected to be fully exhausted in the next three months and the B-2 bond ($2,342,538 outstanding) is then expected to start taking losses. The 90+ delinquencies represent 21.81% of the current mortgage pool balance. Included in this number are foreclosures and REO of 4.19% and 6.60%, respectively.
The cumulative loss for the series 2003-HE2 is 1.21% of its original balance. The OC is currently at $2,627,637 (3.52% of current balance) versus a target of $3,428,136 (OC floor of 0.50% of original balance and 4.59% of current balance) and is expected to shrink further as losses exceed excess spread in the coming months. The B-3 bond ($1,620,610 outstanding) currently benefits from 3.52% CE in the form of OC. The average monthly excess spread for the past three months has been approximately $108,712 and the average monthly losses for the same period have been $360,995. This has led to an average monthly reduction in credit enhancement of $252,283 for the past three months. The 90+ delinquencies represent 28.83% of the current mortgage pool balance. Included in this number are foreclosures and REO of 6.98% and 5.46%, respectively.
The underlying collateral for the transactions listed above consists of 30 year fixed- and adjustable-rate mortgage loans secured by first and second liens on one- to four-family residential properties extended to subprime borrowers. As of the December 2006 distribution, the pools are seasoned from a range of 43 months (series 2003-HE2) to 49 months (series 2002-HE3). The pool factors (current principal balance as a percentage of original balance) for series 2002-HE3, 2003-HE1 and 2003-HE2 are 7.31%, 8.76% and 10.90%, respectively. The servicer for series 2002-HE3 is Select Portfolio Servicing, Inc. and the servicer for the series 2003-HE1 and 2003-HE2 is Ocwen Loan Servicing, LLC. (both rated ‘RPS2’ by Fitch, for Subprime transactions). ”