Servicing

Freddie Mac is improving its mortgage-backed securities disclosures on adjustable rate mortgage and interest-only loan products so that investors have more up-to-date information on the loan pools. "Expanding disclosure capabilities increases the transparency of our ARM Participation Certificates and contributes to investors' increased understanding of our securities," Freddie vice president Mark Hanson said. Currently, Freddie discloses the original weighted average remaining months to maturity (WARM) on newly issued ARM and ARM Giant PCs, but it is not updated. Starting in September, Freddie will update the WARM on a monthly basis so that investors will have the "most up-to-date information about the current state of the pool," vice president Phil Guth said. This updated or current WARM will reflect the fact that loans have dropped out of the pool due to refinancings and payoffs. Freddie also will disclose the original weighted average loan age, the original weighted average original loan term, the current weighted average loan age and the current weighted average original loan term. "These are all new fields for us," Mr. Guth said.

Irwin Financial Corporation, Columbus, Indiana, said it expects to report net impairment of about $27 million against its mortgage servicing rights for the second quarter.The pre-tax impairment charge reflects the difficulty of hedging MSRs under Irwin's accounting methods and a decline of about 60 basis points in the 10-year Treasury rate during the quarter, the company said. The continued flat yield curve in the bond market hampered option-based hedging as well, the company said. To reduce the risk of continued MSR impairment, Irwin said it sold servicing rights on $3.2 billion of home loans in bulk trades, resulting in a pre-tax gain on sale of about $7 million during the quarter. MSRs on another $1.6 billion of loans were sold on a flow basis. Irwin said its MSR portfolio would be about $20 billion after the sales, down from $29 billion a year earlier.

Moody's has downgraded three classes of GMAC Commercial Mortgage Securities Inc., series 1999-C2, while upgrading or affirming others. Class J's rating slipped to B1 from Ba3, class K's rating fell to Caa2 from B2 and class L's rating dropped to Ca from B3. Meanwhile, class B's rating rose to Aaa from Aa1, class C's rating climbed to Aa2 from A1, class D's rating jumped to Aa3 from A2, class E's rating got upgraded to Baa1 from Baa2 and class F's rating rose to Baa2 from Baa3. Other ratings were affirmed. Moody's can be found on the Web at http://www.moodys.com.

The rate of serious delinquencies on securitized home equity loans continued to decline in March, according to Moody's Investors Service.A high level of issuance, a robust housing market and low interest rates continued to support strong home equity performance, the rating agency said. In March, the proportion of home equity debt that was 60 or more days past due stood at 5.19%, down from 6.59% in March of 2004. The delinquency rate is at its lowest level in eight years, Moody's said. New issuance also remained strong, with the addition of $39.1 billion of new pools to Moody's home equity index composite. The volume of new pools being securitized in March was 20.8% higher than a year earlier.

Classes M2 and B of ABFC mortgage loan asset-backed certificates series 2001-AQ1 have been placed on review for possible downgrade by Moody's Investors Service.In addition, Moody's upgraded 25 classes from 11 deals originated by Ameriquest Mortgage Co. and placed two classes on review for possible upgrade. The negative rating actions were attributed to credit enhancement levels that are low given the projected losses on the underlying pools. "The transaction has taken losses, and pipeline loss could cause eventual erosion of the overcollateralization," Moody's said. The deal is backed by first-lien adjustable- and fixed-rate subprime mortgage loans.

The rating on class B of Delta Funding Home Equity Loan Trust 1999-3 has been lowered from CCC to D by Standard & Poor's Ratings Services.In addition, the ratings on five other classes from the same transaction were affirmed. The downgrade was attributed to a $32,642 principal writedown realized by the class during the June 2005 remittance period. Originally rated BBB-minus, the class was supported by excess spread and overcollateralization, which have been completely exhausted, S&P said. Monthly net realized losses exceeded monthly excess interest cash flow for most of the past 12 months. The collateral consists of 15- to 30-year, fixed- and adjustable-rate, first- and second-lien subprime mortgage loans secured by one- to four-family residential properties. S&P can be found online at http://www.standardandpoors.com.

SL Green Realty Corp., New York, has announced the issuance of $100 million of 30-year trust preferred securities in a private placement.The company said the securities will bear an interest rate of 5.61% for the first 10 years, and thereafter the rate will float at 125 basis points above the three-month London interbank offered rate. They are redeemable at par beginning in July 2010. The company can be found online at http://www.slgreen.com.

Seventeen classes of mezzanine and subordinated tranches from eight mortgage-backed securitizations issued by Credit Suisse First Boston Mortgage Securities Corp. have been placed under review for possible downgrade by Moody's Investors Service.The affected classes are as follows: series 2001-HE 8, class B; series 2001-HE 12, class M-2 and class B; series 2001-HE 16, class M-2 and class B; series 2001-HE 17, class M-2 and class B; series 2001-HE 20, class M-2 and class B; series 2001-HE 22, class M-2 and class B; series 2001-HE 25, class M-2 and class B; series 2001-HE 30, class M-2, class B, class M-F-2, and class B-F. In addition, Moody's has placed one subordinate tranche under review for possible upgrade. The pools consist of subprime, first-lien, adjustable- and fixed-rate loans. The negative actions were attributed to cumulative losses that exceeded original expectations, particularly as a result of higher-than-expected loss severities.

HomeBanc Corp., Atlanta, has announced the issuance of $50 million of trust preferred securities in a private placement through its newly formed Delaware statutory trust, HMB Capital Trust I.The company said the securities will bear an interest rate of 365 basis points above the three-month London interbank offered rate and will reset quarterly. They mature on June 30, 2035, and are callable by the company, in whole or in part, at par after five years. HomeBanc said it plans to use the net proceeds to leverage growth in its investment portfolio of adjustable-rate residential mortgages. The company can be found online at http://www.homebanc.com.

Two classes from one asset-backed transaction issued by Countrywide Home Loans Inc. have been downgraded by Moody's Investors Service, and four classes from two other deals have been placed under review for possible downgrade.Class BF-1 of CWABS Inc. asset-backed certificates series 2001-1 was downgraded from A3 to Baa3, and class BF-2 was downgraded from Baa2 to B1. The certificates placed on review were the MF-2 and BF classes of series 2000-1 and 2000-4. The negative rating actions were triggered by credit enhancement levels that "may be low" given the projected losses on the underlying pools, Moody's said. "The three transactions have taken significant losses, causing gradual erosion of the overcollateralization in the 2000-1 transaction and the gradual erosion of the corporate guaranty provided by Countrywide in the 2000-4 and 2001-1 transactions," the rating agency said. The deals are backed by first-lien adjustable- and fixed-rate subprime mortgage loans. Moody's can be found online at http://www.moodys.com.