MOODY'S RATES GREENWICH RESECURITIZATION Baa3
New York, 09-15-98 -- Moody's Investors Service has assigned ratings ranging from Baa3 to B2 to the certificates issued in Greenwich Capital Acceptance Inc., Resecuritization Mortgage Trust, Series 1998-A MBS securitization. The certificates represent interests in eight first loss, subordinate B-pieces issued from the 1992 vintage of Prudential Home Mortgage Corporation's (PHMC) MBS transactions. The mortgage pools underlying these transactions have experienced average to above-average performance to date.
Moody's analyst Rod Dubitsky explained that the rating actions were based primarily on the level of credit enhancement provided by subordination in the Series 1998-A deal. Dubitsky noted that the pro rata allocation of principal paydowns weakens the support from subordination relative to traditional sequential pay structures. In a pro rata structure, subordinate classes receive a proportionate share of all principal paydowns, thus reducing the dollar amount of subordination. Partially offsetting this risk is a lockout feature which reallocates principal payments to the senior classes in the event that the relative level of any of the subordinate classes falls below the original level at issuance.
The underlying certificates in the PHMC transactions are backed by pools of fixed-rate, first-lien jumbo residential mortgages to A-quality borrowers. On aggregate, the underlying mortgage pools have a California concentration of 51%. The average mortgage loan balance is $189,000 with a WAC of 8.6%. Forty-nine percent of the loans have been originated under a limited/alternative documentation program.
Cumulative losses on the various PHMC transactions average around 30 basis points. This is representative of average to above-average performance. Additionally, the twelve month moving average of monthly losses is on a downward trend. However, while the pools have paid down substantially, the WAC is high relative to today's mortgage rate environment. This indicates some level of adverse selection, which may have a negative impact on future performance.
The servicing of the loans will be performed by Citicorp Mortgage Inc.
The complete rating actions are as follows:
Issuer: Greenwich Capital Acceptance, Inc.
$13,544,000 var rate Class B1 Trust Certs, Ser 1998-A, rated Baa3
$3,300,000 var rate Class B2 Trust Certs, Ser 1998-A, rated Ba2
$4,200,000 var rate Class B3 Trust Certs, Ser 1998-A, rated B2
$4,000,000 var rate Class B4 Trust Certs, Ser 1998-A, NR
$258.32 var rate Class B1-R Trust Certs, Ser 1998-A, rated Baa3
The certificates were sold in a privately negotiated transaction without registration under the 1933 Act. The issuance was designed to permit resale under Rule 144A.
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