Subprime Mortgages

Subprime rankings and stock data:
Subprime Lenders	Subprime Servicers
Subprime Subservicers	Alt-A Lenders
Defunct Mortgage Firms and Units

Morgan Stanley B&C Pass-Thru Downgraded May 8, 2008

Class B-2 of Morgan Stanley mortgage pass-through certificates series 2002-AM3 has been downgraded from CC/DR2 to C/DR4 by Fitch Ratings. Fitch also affirmed the ratings on five other classes in the transaction and removed class A-2 from Rating Watch Negative. The collateral consists of fixed- and adjustable-rate subprime mortgages.

Fitch Downgrades Subprime-Backed CDOs May 8, 2008

Fitch Ratings has downgraded 30 classes of notes from eight collateralized debt obligations backed primarily or partly by subprime residential mortgage-backed securities. The affected securities are: seven classes issued by Jupiter High-Grade CDO III Ltd.; five classes issued by Davis Square Funding III Ltd.; four classes issued by Pacific Bay CDO Ltd.; four classes issued by South Coast Funding II Ltd.; three classes issued by South Coast Funding VI Ltd.; three classes issued by Grenadier Funding Ltd.; three classes issued by Davis Square Funding II Inc.; and one class issued by Millstone Funding Ltd. Fitch attributed the downgrades to "significant collateral deterioration" in the portfolios' subprime RMBS and, in some cases, alternative-A RMBS, commercial MBS, prime MBS, and structured finance CDOs with underlying exposure to subprime RMBS.

3 MSR Deals Out for Bids May 8, 2008

Three large portfolios of mortgage servicing rights have just been put out for bidding. Interactive Mortgage Advisors, Denver, is selling servicing rights on a $5.5 billion portfolio of subprime mortgage loans. The two-part offering includes both primary and master servicing rights on the portfolio. The portfolio has an average loan size of $160,686; an average weighted interest rate of 8.523%; an average weighted servicing fee of 45.3 basis points; and a total 30-day-plus delinquency rate of 19.6%. Bids are due May 28. Separately, IMA is also taking master and primary servicing bids on alternative-A and subprime deals involving $5.0 billion and $3.9 billion, respectively. The portfolios have similar characteristics to the previous one. Bids are due May 28. Also separately, the Prestwick Mortgage Group, Alexandria, Va., is brokering the sale of monthly flow servicing rights on an estimated $5 million per month of Fannie Mae loans. The seller desires to start deliveries in July. Bids are due May 21.

Countrywide's Subprime Delinquencies at 36% May 8, 2008

At the end of March, 36% of subprime mortgages being serviced by Countrywide Financial Corp. were in some stage of delinquency, according to a recent public filing by the company. Countrywide services roughly $100 billion in subprime mortgages, which means that nearly $36 billion worth of loans are at risk of going into foreclosure. According to the Quarterly Data Report, Countrywide is the nation's largest subprime servicer. The 90-day-plus late ratio on the portfolio is 21.04%. A year ago the 90-day rate was 7.82%. Countrywide is being sold to Bank of America, and the sale is expected to close by the end of the third quarter. The company, based in Calabasas, Calif., can be found on the Web at http://www.countrywide.com.

Subprime-Backed CDOs Downgraded May 7, 2008

Fitch Ratings has downgraded 12 classes of notes from three collateralized debt obligations backed partly by subprime residential mortgage-backed securities. The affected securities are: six classes issued by Coronado CDO Ltd.; three classes issued by Blue Heron Funding VI Ltd.; and three classes issued by Blue Heron Funding VII Ltd. Fitch attributed the downgrades to "significant collateral deterioration" in the portfolios' subprime RMBS and, in some cases, alternative-A RMBS and structured finance CDOs with underlying exposure to subprime RMBS.

Applications Climb May 7, 2008

The Market Composite Index, an overall measure of mortgage applications, rose from 567.0 to 655.4 on a seasonally adjusted basis during the week ended May 2, according to the Mortgage Bankers Association's Weekly Mortgage Applications Survey.

MBA Mortgage Application Survey (Seasonally Adjusted Index Levels)
	Wk Ended May 2	Wk Ended April 25
Market Composite	655.4	567.0
Purchase Index	381.3	340.1
4-Wk Moving Avg	365.1	365.9
Refinance Index	2273.8	1905.2
4-Wk Moving Avg	2332.8	2445.6
Source: Mortgage Bankers Association

On an unadjusted basis, applications increased 15.9% on the week and were down 4.4% from the level recorded a year earlier. The Purchase Index rose from 340.1 to 381.3 on a seasonally adjusted basis, while the Refinance Index climbed from 1905.2 to 2273.8. Refinancings represented 47.1% of total applications, up from 45.7% the previous week, while adjustable-rate mortgages accounted for 6.8%, the MBA said. The average contract interest rate for 30-year fixed-rate mortgages fell from 6.01% to 5.91%, and points (including the origination fee) decreased from 1.26 to 1.12 for loans with 80% loan-to-value ratios, the association reported. The MBA can be found online at http://www.mortgagebankers.org.

Fannie Takes $2.2B 1Q Loss May 6, 2008

Fannie Mae has reported a $2.2 billion loss for the first quarter, down from a $3.6 billion loss in the fourth quarter, and said it plans to raise $6 billion in additional capital through offerings of common and preferred stock. The mortgage giant said its also plans to introduce a refinancing option for "underwater" borrowers that allows borrowers with Fannie-owned loans to refinance up to 120% of the property's current value. Fannie Mae's net revenue rose by $700 million in the first quarter to $3.8 billion, but that was offset by fair-value losses and $3.2 billion in credit-related expenses. The government-sponsored enterprise said 43% of its credit losses stem from its $310.5 billion alternative-A mortgage loan portfolio. Fannie also recognized a $1.1 billion loss on its investments in private-label securities backed by alt-A and subprime mortgages. Separately, the Office of Federal Housing Enterprise Oversight has agreed to lower Fannie's capital surplus requirement from 20% to 15% as a result of the stock offering. The regulator also lifted a 2006 consent order Fannie signed in 2006. The GSE can be found online at http://www.fanniemae.com.

Fitch Downgrades More Subprime Classes May 5, 2008

Fifty additional classes of subprime mortgage-backed securities were downgraded by Fitch Ratings on May 2. Fitch also affirmed the ratings on classes with outstanding balances of more than $1.3 billion. The securities affected by the latest downgrades were: 22 classes from eight issues by Merrill Lynch Mortgage Investors; 15 classes from 10 issues by Asset Backed Funding Corp.; eight classes from three issues by Specialty Underwriting and Residential Finance; and five classes from four issues by Countrywide (CWABS).

Fitch Downgrades Subprime-Backed CDOs May 5, 2008

Fitch Ratings has downgraded 91 classes of notes from 17 collateralized debt obligations backed partly by subprime residential mortgage-backed securities. Among the affected securities are: 10 classes of notes issued by Duke Funding High Grade III Ltd.; eight classes issued by Monterey CDO Ltd./LLC; eight classes issued by Dalton CDO Ltd.; eight classes issued by Orient Point CDO Ltd.; seven classes issued by Kleros Preferred Funding II Ltd.; six classes issued by ABS CDO II Ltd./LLC; six classes issued by Bernoulli High Grade CDO I Ltd./Inc.; six classes issued by Broderick CDO 1 Ltd.; six classes issued by Ipswich Street CDO Ltd./LLC; six classes issued by Fort Sheridan ABS CDO Ltd.; five classes issued by Duke Funding X CDO Ltd./Corp.; four classes issued by C-BASS CBO XIV Ltd.; three classes issued by Benazzi CDO 2005-1 Ltd.; three classes issued by TORO ABS CDO I Ltd.; one class issued by Salisbury International Investments Ltd.; and one class issued by Marathon Structured Funding I LLC. Fitch attributed the downgrades to "significant collateral deterioration" in the portfolios' subprime RMBS and, in most cases, alternative-A RMBS and structured finance CDOs with underlying exposure to subprime RMBS. the rating agency can be found online at http://www.fitchratings.com.

FBR: BoA May Face $30B in Hits on CFC Deal May 5, 2008

A new research report by Friedman Billings Ramsey predicts that if Bank of America moves forward with its purchase of Countrywide Financial Corp., it may face $30 billion in loan writedowns once the deal closes. FBR's advice to BoA is to "completely walk away" from the deal. Late last week BoA filed an amended S-4 with the Securities and Exchange Commission, noting that there is no assurance that any of Countrywide's debt will be redeemed, assumed, or guaranteed. The filing prompted Standard & Poor's to downgrade Countrywide's debt to junk status, from BBB-plus/A-2 to BB-plus/B. (Roughly 25% of Countrywide's subprime servicing portfolio is delinquent.) FBR also says it believes that BoA will soon renegotiate the purchase price down to $2 or less per share from $7. Countrywide's spokesman could not be reached for comment by MortgageWire's deadline.