Servicing

Class B-5 of Banc of America Funding Corp. mortgage pass-through certificates, series 2002-1, has been downgraded from BBB to CCC by Fitch Ratings and assigned a Distressed Recovery rating of DR1.In addition, Fitch affirmed the ratings on five other classes in the transaction. The downgrade was attributed to a deterioration in the relationship between credit enhancement and loss expectations.

Andrew Davidson & Co., New York, has announced the introduction of the Loan Dynamics Model, which projects delinquency, default, and loss severity as well as prepayment on nonagency mortgage loans.AD&Co said the new model addresses "the mounting needs of firms that issue or invest in credit-sensitive mortgages and related securities" like alternative-A, high loan-to-value, and subprime loans. Andrew Davidson, president of the firm, said that while prepayment models have become "quite sophisticated" over the past 20 years, credit modeling has not advanced to the same level. "Our new Loan Dynamics Model provides a unified framework for analyzing and modeling the prepayment and default characteristics of a loan," he said. "The Loan Dynamics Model incorporates the best features of traditional roll-rate models and discrete choice models." AD&Co said it will unveil the new product Jan. 29 at the American Securitization Forum Conference in Las Vegas. The company can be found online at http://www.ad-co.com.

IndyMac Bancorp, Pasadena, Calif., has lowered its earnings guidance for the fourth quarter of 2006 by about 28%.IndyMac said it now expects to earn $0.97 per share for the fourth quarter, down from previous guidance of $1.30 to $1.40. In a letter to shareholders, IndyMac chairman and chief executive Michael Perry attributed the shortfall to higher-than-expected credit costs, a lower interest margin, and a lower return on servicing rights and interest-only securities. He said IndyMac still expects to report EPS for 2006 that is about 9% higher than that of the year before, however. In morning trading on Jan. 16 after the announcement, IndyMac's stock price declined by more than 7%. The company can be found online at http://www.indymacbank.com.

The mortgage originations of Wells Fargo Home Mortgage, Des Moines, Iowa, totaled $398 billion in 2006, up 9% from the level recorded in 2005, according to Wells Fargo & Co., San Francisco.In addition, the owned mortgage servicing portfolio stood at a record $1.37 trillion as of Dec. 31, 2006, up 38% from that of a year earlier, Wells Fargo reported. (Wells Fargo Home Mortgage is part of Wells Fargo's community banking segment.) "The past year has been a very challenging year for the mortgage industry with the flat to inverted yield curve and a slowdown in the housing sector," said Mark Oman, senior executive vice president in the Wells Home and Consumer Finance Group. "Despite this environment, we continued our long track record of growing our mortgage servicing businesses at double-digit rates, which provides opportunities to cross-sell and retain these customers." Wells Fargo & Co. reported record net income of $8.48 billion ($2.49 per share) for 2006, up 11% from that of a year earlier. The company can be found online at http://www.wellsfargo.com.

Acting Pennsylvania Banking Secretary Victoria A. Reider has sent a letter alerting the commonwealth's mortgage companies about new guidelines outlining acceptable conduct for the state's 3,000 lenders and brokers.The new guidelines are part of an effort to protect consumers looking for home loans, the department said. They offer examples and definitions of practices considered dishonest, fraudulent, illegal, unfair, unethical, negligent, or incompetent. Companies that fail to conform to the new guidelines could face suspension, revocation, or nonrenewal of their licenses. The Department of Banking said it is also crafting regulations and seeking legislative reforms to better protect consumers. The changes mirror recommendations outlined in a 2005 report to the General Assembly, "Losing the American Dream: A Report on Residential Mortgage Foreclosures and Abusive Lending Practices in Pennsylvania."

Class B5 of Structured Adjustable Rate Mortgage Loan Trust residential mortgage-backed certificates, series 2004-11, has been downgraded from B to CC/DR3 and removed from Rating Watch Negative by Fitch Ratings.Fitch also upgraded two classes and affirmed the ratings on three others in the transaction. The downgrade was attributed to a deterioration in the relationship between credit enhancement and expected losses. The transaction consists of adjustable-rate conventional mortgage loans.

Two classes of Terwin RMBS Trust securities have been downgraded by Fitch Ratings.Class B-5 of series 2005-5SL has been downgraded from BB to CCC and removed from Rating Watch Negative, and class B-7PI of series 2005-7SL has been downgraded from BB to B. In addition, the downgraded B-5 class has been assigned a Distressed Recovery rating of DR2, and class B-6 of series 2005-7SL has been placed on Rating Watch Negative. Fitch also affirmed the ratings on 18 other classes in the two transactions. The negative rating actions were based on declines in overcollateralization stemming from losses and "a reduction in the dollar amount of excess spread due to much faster-than-expected prepayments and rising interest rates," Fitch said. The collateral for the transaction is fixed-rate subprime loans secured by second-lien mortgages on residential properties.

Two classes of Structured Asset Security Corp. residential mortgage-backed certificates have been downgraded by Fitch Ratings.Class B4 of series 2005-S1 was downgraded from CC/DR4 to C/DR5, and class B2 of series 2005-S2 was downgraded from BB to B and removed from Rating Watch Negative. Fitch also placed class B3 of series 2005-S1 on Rating Watch Negative and affirmed the ratings on 23 classes in the two SASCO transactions. The downgrades were attributed to a deterioration in the relationship between credit enhancement and expected losses. The pool consists of fixed-rate, fully amortizing and balloon, second-lien residential mortgage loans.

Seven classes of Structured Asset Investment Loan Trust residential mortgage-backed certificates have been downgraded by Fitch Ratings.The downgrades were as follows: series 2003-BC8, class M4, from BBB-plus to BBB, class M5, from BBB to BB, and class B, from BBB-minus to BB-minus; and series 2003-BC12, class M4, from BBB-plus to BBB, class M5, from BBB to BB-plus, class M6, from BBB-minus to BB-plus, and class B, from BB to B. In addition, Fitch affirmed the ratings on 13 classes from the two SAIL transactions. The rating agency attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses due to higher-than-expected delinquencies and losses and to a shortfall in overcollateralization. The pool consists of fixed- and adjustable-rate, fully amortizing and balloon, first- and second-lien residential mortgage loans.

Seven classes from three issues of CDC Mortgage Capital Trust mortgage pass-through certificates have been downgraded by Fitch Ratings.The downgrades were as follows: series 2002-HE3, class M2, from A to BBB, and class B1, from B-plus to CC; series 2003-HE1, class M3, from A to BBB-plus, class B1, from BB-plus to B-plus, and class B2, from B-plus to C; and series 2003-HE2, class B2, from BB-plus to BB, and class B3, from BB-minus to B-plus. In addition, Fitch affirmed the ratings on seven classes from the three CDC deals and assigned Distressed Recovery ratings of DR3 to class B1 of series 2002-HE3 and DR6 to class B2 of series 2003-HE1. The rating agency attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses. The pools consist of fixed- and adjustable-rate subprime mortgages on one- to four-family residential properties. Fitch can be found online at http://www.fitchratings.com.