Servicing

Countrywide Financial Corp., the nation's largest servicer (with a market share of almost 17%), says its foreclosure rate almost doubled in January from that of a year earlier, according to new figures released Friday. At Jan. 31, 1.5% of the loans in its massive $1.48 trillion servicing portfolio ($21.8 billion) had entered the foreclosure process, a 92% increase from the level of a year earlier. Moreover, 7.5% of loans serviced by Countrywide were 30 days or more late. A year ago the ratio stood at 4.3%. Countrywide would not provide separate figures for subprime foreclosures, lumping all its servicing into one number. As for originations, Countrywide funded $21.8 billion in residential loans during January, a 41% decline from the level of a year earlier. Countrywide, which is being sold to Bank of America, saw its wholesale fundings plunge by 65%. Retail production was off 26%, with correspondent purchases falling 38%. Retail originations totaled $9.4 billion and wholesale just $2.5 billion, with correspondent coming in at $9.8 billion. The company also saw its commercial production plunge to just $50 million, a stunning 92% decline from the same month last year.

Two classes of subprime certificates issued by Aames Mortgage Trust have been downgraded by Moody's Investors Service, and nine classes have been placed on review for possible downgrade. Class M-2 of Aames Mortgage Trust 2002-1 has been downgraded from Baa1 to Baa2, and class B has been downgraded from B1 to Caa2. The securities placed under review are classes M-6, M-7, M-8, and M-9 of Aames Mortgage Investment Trust 2004-1 and classes M-5, M-6, M-7, M-8, and M-9 of Aames Mortgage Investment Trust 2005-1. The actions were based on an analysis of the credit enhancement provided by subordination, overcollateralization, and excess spread relative to expected losses, Moody's said.

Eighteen tranches from four deals issued by Fieldstone Mortgage Investment Trust in 2004 and 2005 have been downgraded and placed under review for possible downgrade by Moody's Investors Service. The actions were based on "the analysis of the credit enhancement provided by subordination, overcollateralization, and excess spread relative to expected losses," Moody's said. The transactions are backed primarily by first-lien adjustable subprime mortgage loans originated by Fieldstone Mortgage Co.

Twenty-six classes totaling $1.2 billion from two subprime issues of Ace pass-through certificates have been downgraded by Fitch Ratings. In addition, Fitch affirmed the ratings on Ace classes totaling $250 million. The downgrades were based on changes to Fitch's subprime loss forecasting assumptions that the rating agency says "better capture the deteriorating performance of pools from 2007, 2006, and late 2005 with regard to continued poor loan performance and home price weakness." The collateral for the transactions, both issued in 2006, consists of first-lien subprime mortgage loans.

Thirty-five certificates from seven deals issued by First Franklin Mortgage Loan Trust have been downgraded by Moody's Investors Service, and nine certificates have been placed on review for possible downgrade. The actions were based on complete or near-complete erosion of overcollateralization, "leaving some of the more subordinate certificates exposed to future losses and many of the tranches sequentially above them in a weaker position," Moody's said. Most of the collateral consists of mortgage loans with high loan-to-value ratios. Moody's can be found online at http://www.moodys.com.

Forty-two classes totaling $785 million from seven subprime issues of Credit Suisse First Boston Mortgage Securities Corp. mortgage pass-through certificates have been downgraded by Fitch Ratings. In addition, Fitch placed three classes on Rating Watch Negative, removed two classes from Rating Watch Negative, and affirmed the ratings on 21 CSFB classes. The downgrades were based on deterioration in the relationship between credit enhancement and expected losses, Fitch said. The collateral for the transactions consists of second-lien subprime mortgage loans.

Nearly 100 classes -- totaling $2.1 billion -- from nine subprime issues of C-BASS Mortgage Loan Asset-Backed pass-through certificates have been downgraded by Fitch Ratings. In addition, Fitch affirmed the ratings on C-BASS classes totaling $1.8 billion. The downgrades were based on changes to Fitch's subprime loss forecasting assumptions that it says "better capture the deteriorating performance of pools from 2007, 2006, and late 2005 with regard to continued poor loan performance and home price weakness." The collateral for the transactions, all issued in 2006, consists of first-lien subprime mortgage loans. The rating agency can be found on the Web at http://www.fitchratings.com.

UBS took a net loss equal to about $11.28 billion for the fourth quarter due to almost $14 billion of residential mortgage-related writedowns that largely matched an earlier earnings estimate by the company. "While most of our businesses continued to be very profitable, the sudden and serious deterioration in the U.S. housing market, in combination with our large exposure in subprime mortgage-related securities and derivatives, has driven us into loss," said Marcel Rohner, UBS chief executive officer. The company's residential mortgage-related losses consisted of $10.8 billion related to U.S. subprime loans, $2.0 billion related to U.S. alternative-A loans, and $871 million related to bond insurer credit protection on U.S. residential mortgage-backed security collateralized debt obligations.

Twenty-five classes from six subprime issues of Merrill Lynch Mortgage Investors mortgage pass-through certificates have been downgraded by Fitch Ratings. Fitch also affirmed the ratings on eight classes from the six transactions. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.

Sixty-two classes from 11 subprime issues of SACO mortgage pass-through certificates have been downgraded by Fitch Ratings. Fitch also affirmed the ratings on 33 classes from the SACO transactions. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.