On the heels of an announcement to start February that saw $139 billion of subprime residential mortgage-backed securities put on negative watch by Fitch Ratings, the agency has been busy slashing the ratings of nearly every large RMBS deal issued in 2006. The latest series of cuts was announced late Monday, with 10 Ameriquest and Argent-originated subprime deals affected. Total downgrades were an eye-popping $8.1 billion, while affirmations totalled just $1.6 billion, Fitch said in a press statement. $4.3 billion remains on negative rating watch, even after downgrades to numerous ‘AAA’ rated tranches. The downgrades here are noteworthy for two reasons: one, because the vast majority of downgrades came on Argent-originated deals — Argent was the wholesale counterpart to Ameriquest’s retail origination business. Many in the industry have noted the brokered subprime deals have suffered significantly worse performance relative to direct originations. Two, because more than a few senior bondholders are going to be forced to mark their holdings to market, what with the number of former ‘AAA’-rated bonds taking a hit:
Ameriquest Mortgage Securities 2006-R1: 17.8 percent of borrowers are 60+ days delinquent. Ameriquest Mortgage Securities 2006-R2: 16.99 percent of borrowers are 60+ days delinquent. Argent Securities 2006-M1: The most senior ‘AAA’ tranche was cut to ‘BBB’; 60+ day delinquencies are at 30.69 percent. Argent Securities 2006-M2: The most senior ‘AAA’ tranche was cut to ‘A’; 60+ day delinquencies are at 28.82 percent. Argent Securities 2006-M3: The most senior ‘AAA’ tranche was cut to ‘A’; 60+ day delinquencies are at 26.10 percent. Argent Securities 2006-W1: 28.5 percent of borrowers are 60+ days delinquent. Argent Securities 2006-W2: The most senior ‘AAA’ tranche was cut to ‘A’; 60+ day delinquencies are at 28.69 percent. Argent Securities 2006-W3: The most senior ‘AAA’ tranche was cut to ‘A’; 60+ days delinquencies are at 33.81 percent. Argent Securities 2006-W4: The most senior ‘AAA’ tranche was cut to ‘AA’; 60+ day delinquencies are at 33.61 percent. Argent Securities 2006-W5: The most senior ‘AAA’ tranche was cut to ‘A’; 60+ day delinquencies are at 33.07 percent.
