Investor Information
Analyst Communications/PresentationsStatement
Statement on FSA's U.S. Sub-Prime RMBS Exposure
March 7, 2007
FSA's total insured net par exposure to the U.S. sub-prime residential mortgage market was $4.9 billion at December 31, 2006, representing 1.3% of FSA's total net par outstanding of $376.5 billion. The underlying internal credit ratings of FSA's sub-prime RMBS portfolio were Triple-A 93.1%, Double-A 1.2%, Single-A 1.1%, Triple-B 3.1% and non-investment grade 1.5% at December 31, 2006, with the non-investment grade exposure concentrated in a handful of very seasoned legacy transactions.
Recent market focus has been on sub-prime originations in 2006 and, to some extent, 2005. FSA's vintage years 2005 and 2006 RMBS sub-prime originations represent $1.3 billion of net par outstanding and the underlying ratings on these transactions were Triple-A 89.1%, with the balance rated Triple-B.
In the sub-prime RMBS sector, FSA's top five servicers account for 67.6% of servicing in this sector.
| Top Five Servicers | Servicer Ratings S&P / Moody's / Fitch |
|---|---|
| Ameriquest | Strong, Stable/SQ2+/RPS2+ |
| Ocwen | Strong, Watch Negative/SQ2-/RPS2 |
| Countrywide | Strong, Stable/SQ1/RPS1 |
| SPS | Average, Positive/SQ2-/RPS2 |
| Washington Mutual | Above Average, Stable/SQ2/RPS2+ |
FSA exposure to sub-prime RMBS through its CDO sector is less than 0.02% of FSA's total net par outstanding, and almost all of this exposure is to transactions with Super Triple-A underlying credit quality.
As indicated by the ratings above, outside of the handful of legacy exposures, FSA's sub-prime RMBS portfolio is currently performing well, with significant first-loss protection embedded in each individual transaction.
Updated March 13, 2007