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08 Oct 2009
New York, October 08, 2009 -- Moody's Investors Service has downgraded 15 subordinate tranches from
six Fannie Mae FHA - VA deals issued from 2001 to 2003 due to higher
expected pool losses in relation to available credit enhancement for the
bonds. These bonds are not guaranteed by Fannie Mae.
The collateral backing these transactions consists primarily of first-lien,
fixed and adjustable rate, mortgage loans guaranteed by the FHA
or the VA (typically 80% FHA and 20% VA.) As economic
conditions have deteriorated; performance of these loans have worsened
with serious delinquencies (that is, loans more than 60 days past
due, in foreclosure or held for sale) as a percentage of current
balance increasing from 34.5% 12 months ago, to 38.2%
as of Sep 2009 for the subject deals.
Moody's expects loss levels on FHA-VA pools to rise as the general
level of remaining delinquencies remain elevated and loss severities increase.
Due to the FHA - VA guarantee, loss severities on these pools
have been historically low at 2.0%-4.0%.
However, with recent house price depreciation and increase in foreclosure
costs and timelines, future loss severities on these pools are expected
to be higher. Moody's now expects loss severities on FHA loans
originated before 2004 to average 5.0%. Loss severities
on VA loans are expected to average 20%. For details regarding
Moody's approach to estimating losses on FHA - VA pools originated
from 2002 till 2007, please refer to the methodology publication
"FHA - VA RMBS Loss Projection Methodology: July 2009" available
Loss estimates are subject to variability and are sensitive to assumptions
used; as a result, realized losses could ultimately turn out
higher or lower than our current expectations. Moody's will continue
to evaluate performance data as it becomes available and will assess the
pattern of potential future defaults and adjust loss expectations accordingly
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-level
loss expectations relative to current level of credit enhancement.
Moody's took into account credit enhancement provided by seniority,
cross-collateralization, time tranching, and other
structural features within the priority of payments.
Further information on Moody's analysis of this transaction is available
on www.moodys.com. In addition, Moody's publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
Other methodologies and factors that may have been considered in the process
of monitoring this issue can also be found at www.moodys.com
in the Credit Policy & Methodologies directory in the Rating Methodologies
Issuer: Fannie Mae REMIC Trust 2001-W3
Cl. B-4, Downgraded to Ca; previously on Oct
31, 2001 Assigned B2
Issuer: Fannie Mae REMIC Trust 2002-W1
Cl. B-3, Downgraded to B1; previously on Mar
28, 2002 Assigned Ba2
Cl. B-4, Downgraded to C; previously on Mar 28,
2002 Assigned B2
Issuer: Fannie Mae REMIC Trust 2002-W6
Cl. B-2, Downgraded to Ba3; previously on Jul
31, 2002 Assigned Baa2
Issuer: Fannie Mae REMIC Trust 2003-W1
Cl. B-2, Downgraded to Ba1; previously on Mar
24, 2003 Assigned Baa2
Cl. B-3, Downgraded to Ca; previously on Mar
24, 2003 Assigned Ba2
Cl. B-4, Downgraded to C; previously on Mar 24,
2003 Assigned B2
Issuer: Fannie Mae REMIC Trust 2003-W10
Cl. 1B-1, Downgraded to Baa2; previously on Jul
17, 2003 Assigned A1
Cl. 1B-2, Downgraded to B1; previously on Jul
17, 2003 Assigned Baa2
Cl. 1B-3, Downgraded to Ca; previously on Jul
17, 2003 Assigned Ba2
Cl. 1B-4, Downgraded to C; previously on Jul
17, 2003 Assigned B2
Issuer: Fannie Mae REMIC Trust 2003-W4
Cl. IB-1, Downgraded to Baa2; previously on Apr
16, 2003 Assigned A2
Cl. IB-2, Downgraded to B1; previously on Apr
16, 2003 Assigned Baa2
Cl. IB-3, Downgraded to Ca; previously on Apr
16, 2003 Assigned Ba2
Cl. IB-4, Downgraded to C; previously on Apr
16, 2003 Assigned B2
A list of these actions including CUSIP identifiers may be found at:
For more information please see www.moodys.com.
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's downgrades $44 mn of non-guaranteed RMBS bonds issued by Fannie Mae FHA - VA
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
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