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03 Sep 2002
MOODY'S RATES AMERIQUEST'S 2002-AR1 SUBPRIME MORTGAGE TRANSACTION Aaa
$839 Million of Asset-Backed Securities Rated.
New York, September 03, 2002 -- Moody's Investors Service has assigned a rating of Aaa to the Class A-1
and A-2 certificates in Ameriquest's Series 2002-AR1 securitization
of subprime fixed and adjustable-rate mortgages. In addition,
Moody's has assigned ratings ranging from Aa2 to Baa3 to the mezzanine
and subordinated classes of certificates issued in the transaction.
Moody's said that the credit quality of the loans backing the transaction,
which are 76% adjustable-rate mortgages (ARMs), is
weaker than the credit quality of the mortgage pool backing Ameriquest's
2002-2 transaction, which had about average credit quality.
The certificates are protected from losses by a combination of subordination,
overcollateralization and excess spread.
Nicolas Vassalli, a Moody's analyst, said that the loans backing
the certificates were originated through Ameriquest's wholesale channel
using underwriting guidelines that are slightly less stringent than those
used by Ameriquest's retail origination channel.
According to Vassalli, the credit quality of the mortgage pool is
slightly weaker than average because the ARM loans in the pool are weaker.
This is because the ARM pool has a relatively weak distribution of loan-to-value
(LTV) ratios. About 62% of the mortgages have an LTV ratio
above 80% and 8% have LTV ratios above 90%.
ARM pools typically have only about 40% of the mortgages in the
pool with LTVs above 80%. The weighted-average LTV
of 82% for Ameriquest's ARM pool is also slightly higher than the
80% average LTV for ARM pools.
The credit quality of the ARM borrowers is slightly better than average
as 69% of these borrowers had not allowed there prior mortgage
to become past due 30 or more days for a minimum of twelve months before
applying for a new loan with Ameriquest. The weighted-average
FICO score of 605 for the ARM pool is also slightly better than average,
which is about 595. About 48% of the ARM borrowers have
a FICO score below 600. Usually about 55% of borrowers in
ARM pools have below-600 FICO scores.
The credit quality of the FRM pool is similar to an average quality subprime
FRM pool. Although the LTV distribution is somewhat weaker than
average the pool benefits from relatively good borrower quality and there
are no second-lien mortgages included in the pool. The weighted-average
LTV for the FRM pool is 79%, with 52% of the mortgages
having an LTV greater than 80% and 8% above 90% LTV.
For FRM subprime pools generally, the weighted-average LTV
is about 76%, with only about 35% of the loans having
LTVs above 80%.
These higher LTV ratios are largely a result of improved borrower quality
in the pool as the maximum LTV ratio allowed typically increases as the
borrower's creditworthiness improves. About 82% of the FRM
borrowers fall into Ameriquest's top borrower quality category primarily
because they have made their past twelve mortgage payments on a timely
basis. Further, the weighted-average FICO score for
the FRM pool is 627, with 28% of the borrowers having FICO
scores below 600. This is slightly better than average.
The aggregate loan pool includes more purchase money mortgages than the
usual Ameriquest retail production. Purchase money mortgages are
often considered less risky than cashout refinancings because the market
value of the collateral has been established by a market sale rather than
a subjective appraisal. The ARM pool includes 22% purchase
money mortgages and the FRM pool has less than 10%.
Ameriquest Mortgage Company is a specialty finance company engaged in
originating, purchasing and selling sub-prime mortgage loans.
Ameriquest originates loans through more than 200 retail outlets,
primarily through telemarketing and direct mailing efforts, and
deals with more than 3000 approved brokers. Ameriquest, a
capable servicer of subprime mortgage loans, will act as primary
servicer for the loans in this transaction. Litton Loan Servicing
LP (SQ1) will act as special servicer for all loans delinquent 90 days
The complete rating actions are as follows:
Issuer: Ameriquest Mortgage Securities Inc.
Securities: Asset-Backed Pass-Through Certificates,
Originator and Master Servicer: Ameriquest Mortgage Company
$541,475,000, variable rate, Class A-1,
$134,085,000, variable rate, Class A-2,
$58,745,000, variable rate, Class M-1,
$44,058,000, variable rate, Class M-2,
$37,764,000, variable rate, Class M-3,
$8,392,000, variable rate, Class M-4,
Additional information, including a New Issue Report, will
be available on http://www.moodys.com.
Structured Finance Group
Moody's Investors Service
Nicolas P. Vassalli
Structured Finance Group
Moody's Investors Service
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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