Investor Information
Analyst Communications/PresentationsStatement
Statement on FSA's U.S. Subprime RMBS Exposure
July 03, 2007
FSA's total insured net par exposure directly to the U.S. subprime residential mortgage market was $4.7 billion at March 31, 2007, representing 1.2% of FSA's total net par outstanding of $391.2 billion. The underlying internal credit ratings of FSA's subprime RMBS portfolio were Triple-A 91.6%, Double-A 1.3%, Single-A 1.4%, Triple-B 4.2% and non-investment grade 1.5% at March 31, 2007, with the non-investment grade exposure concentrated in a handful of very seasoned legacy transactions.
Recent market focus has been on subprime originations in 2006 and, to some extent, 2005. FSA's vintage years 2005 and 2006 RMBS subprime originations represent $1.2 billion of net par outstanding and the underlying ratings on these transactions were Triple-A 90.6%, Double-A 0.6%, Single-A 2.5% and Triple-B 6.3%.
In the subprime RMBS sector, FSA's top five servicers account for 80.2% of servicing in this sector.
| Top Five Servicers | Servicer Ratings S&P / Moody's / Fitch |
|---|---|
| Option One | Strong, Watch Neg/SQ2+/RPS1 |
| Countrywide | Strong, Stable/SQ1/RPS1 |
| Ameriquest | Strong, WatchNeg/SQ2+,Possible |
| Downgrade/RPS3+,WatchNeg | |
| Ocwen | Strong, Watch Negative/SQ2-/RPS2 |
| JP Morgan Chase (Chase Home | Strong, Stable/SQ1/RPS1 |
| Finance, LLC as subservicer |
FSA's indirect exposure to subprime 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 subprime RMBS portfolio is currently performing well, with significant first-loss protection embedded in each individual transaction.