Fitch Affirms $2.7B and Downgrades $399.9MM from 18 AMSI Subprime Transactions

2008-05-01 23:46:06 -

- Fitch Ratings has taken the following rating actions on 18 Ameriquest Mortgage Securities Inc. (AMSI) mortgage pass-through certificate transactions. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are. Affirmations total $2.7 billion and downgrades total $399.9 million. Additionally, $13.3 million was placed on Rating Watch Negative.

Series 2003-1

--$92.4 million class M-1 affirmed at 'AA';

--$15.2 million class M-2 downgraded to 'B' from 'BBB';

--$5.0 million class MF-3 downgraded to 'CC/DR4' from 'CCC/DR2';

--$9.4 million class MV-3 downgraded to 'CC/DR4' from 'CCC/DR2';

--$0.4 million class M-4 revised to 'C/DR6' from 'C/DR5'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 22.10%;

--Realized Losses to date (% of Original Balance): 2.44%.

Series 2003-2

--$23.4 million class M-1 affirmed at 'AA';

--$3.4 million class M-2 rated 'BBB', placed on Rating Watch Negative;

--$3.9 million class M-3 remains at 'C/DR2';

--$0.3 million class M-4 remains at 'C/DR6'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 25.56%;

--Realized Losses to date (% of Original Balance): 2.46%.

Series 2003-6

--$26.1 million class M-1 affirmed at 'AAA';

--$72.0 million class M-2 affirmed at 'AA-';

--$24.0 million class M-3 affirmed at 'A+';

--$24.0 million class M-4 affirmed at 'A';

--$20.0 million class M-5 downgraded to 'B' from 'BBB-';

--$12.3 million class M-6 revised to 'C/DR5' from 'C/DR4'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 18.29%;

--Realized Losses to date (% of Original Balance): 2.28%.

Series 2003-8

--$52.4 million class AF-4 affirmed at 'AAA';

--$67.9 million class AF-5 affirmed at 'AAA';

--$20.7 million class AV-1 affirmed at 'AAA';

--$2.3 million class AV-2 affirmed at 'AAA';

--$119.8 million class M-1 affirmed at 'AA+';

--$30.2 million class M-2 affirmed at 'A+';

--$10.8 million class M-3 affirmed at 'A-';

--$9.9 million class M-4 rated 'BBB+', placed on Rating Watch Negative;

--$10.3 million class M-5 affirmed at 'B';

--$4.0 million class MF-6 downgraded to 'CC/DR4' from 'B-/DR2';

--$4.4 million class MV-6 downgraded to 'CC/DR4' from 'B-/DR2'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 15.36%;

--Realized Losses to date (% of Original Balance): 2.03%.

Series 2003-10

--$29.3 million class AF-5 affirmed at 'AAA';

--$22.0 million class AF-6 affirmed at 'AAA';

--$84.7 million class AV-1 affirmed at 'AAA';

--$0.8 million class AV-2 affirmed at 'AAA';

--$53.9 million class M-1 affirmed at 'AA';

--$21.6 million class M-2 affirmed at 'A';

--$4.8 million class M-3 affirmed at 'A-';

--$5.3 million class M-4 affirmed at 'BBB+';

--$4.8 million class M-5 affirmed at 'BBB';

--$3.9 million class MF-6 affirmed at 'B';

--$1.8 million class MV-6 affirmed at 'B'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 8.62%;

--Realized Losses to date (% of Original Balance): 1.54%.

Series 2003-11

--$16.1 million class AF-5 affirmed at 'AAA';

--$21.1 million class AF-6 affirmed at 'AAA';

--$37.6 million class AV-1 affirmed at 'AAA';

--$10.4 million class AV-2 affirmed at 'AAA';

--$15.8 million class AV-4 affirmed at 'AAA';

--$112.1 million class M-1 affirmed at 'AA';

--$40.6 million class M-2 affirmed at 'A';

--$3.2 million class M-3 affirmed at 'A-';

--$4.9 million class M-3B affirmed at 'A-';

--$5.8 million class M-4B affirmed at 'BBB+';

--$6.9 million class M-5 affirmed at 'BB+';

--$8.7 million class M-6 affirmed at 'B-/DR1'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 15.65%;

--Realized Losses to date (% of Original Balance): 1.92%.

Series 2003-12

--$9.5 million class AF affirmed at 'AAA';

--$26.3 million class AV-1 affirmed at 'AAA';

--$45.0 million class M-1 affirmed at 'AA';

--$20.6 million class M-2 affirmed at 'A';

--$2.9 million class M-3 affirmed at 'A-';

--$3.3 million class M-4 affirmed at 'BBB+';

--$2.9 million class M-5 affirmed at 'B';

--$3.0 million class M-6 affirmed at 'B-/DR1'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 15.12%;

--Realized Losses to date (% of Original Balance): 1.91%.

Series 2003-AR2

--$49.0 million class M-1 affirmed at 'AA';

--$7.4 million class M-2 downgraded to 'B' from 'BB+';

--$4.8 million class M-3 downgraded to 'C/DR4' from 'CCC';

--$0.0 million class M-4 revised to 'C/DR6' from 'C/DR5'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 24.65%;

--Realized Losses to date (% of Original Balance): 1.68%.

Series 2003-AR3

--$32.8 million class M-2 affirmed at 'AA';

--$17.0 million class M-3 affirmed at 'AA-';

--$17.0 million class M-4 affirmed at 'A+';

--$17.0 million class M-5 downgraded to 'BBB-' from 'A';

--$17.0 million class M-6 downgraded to 'B' from 'BB'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co.;

--60+ day Delinquency: 23.72%;

--Realized Losses to date (% of Original Balance): 1.39%.

Series 2004-IA1

--$7.0 million class M-1 affirmed at 'AA+';

--$10.6 million class M-2 affirmed at 'AA';

--$3.3 million class M-3 affirmed at 'AA-';

--$6.9 million class M-4 affirmed at 'A';

--$2.8 million class M-5 affirmed at 'A-';

--$2.7 million class M-6 affirmed at 'BBB+';

--$1.8 million class M-7 affirmed at 'BBB';

--$0.8 million class M-8 affirmed at 'BBB-';

--$0.2 million class M-9 affirmed at 'BB+'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 19.73%;

--Realized Losses to date (% of Original Balance): 0.68%.

Series 2004-R1

--$70.7 million class A-1A affirmed at 'AAA';

--$7.9 million class A-1B affirmed at 'AAA';

--$20.3 million class A-2 affirmed at 'AAA';

--$35.8 million class M-1 affirmed at 'AA+';

--$32.5 million class M-2 affirmed at 'AA';

--$13.0 million class M-3 affirmed at 'AA-';

--$7.5 million class M-4 affirmed at 'A+';

--$4.3 million class M-5 affirmed at 'A';

--$4.3 million class M-6 affirmed at 'A-';

--$4.3 million class M-7 affirmed at 'BBB+';

--$4.3 million class M-8 affirmed at 'BBB';

--$4.8 million class M-9 affirmed at 'BB';

--$2.9 million class M-10 affirmed at 'B-/DR1'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 16.40%;

--Realized Losses to date (% of Original Balance): 1.06%.

Series 2004-R2

--$44.2 million class A-1A affirmed at 'AAA';

--$4.9 million class A-1B affirmed at 'AAA';

--$32.4 million class A-4 affirmed at 'AAA';

--$20.0 million class M-1 affirmed at 'AA+';

--$18.0 million class M-2 affirmed at 'AA';

--$9.1 million class M-3 affirmed at 'AA-';

--$4.5 million class M-4 affirmed at 'A+';

--$3.8 million class M-5 affirmed at 'A';

--$3.5 million class M-6 affirmed at 'A-';

--$3.7 million class M-7 affirmed at 'BBB+';

--$3.7 million class M-8 downgraded to 'B' from 'BB'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 19.40%;

--Realized Losses to date (% of Original Balance): 1.55%.

Series 2004-R3

--$50.9 million class A-1A affirmed at 'AAA';

--$5.7 million class A-1B affirmed at 'AAA';

--$16.2 million class A-4 affirmed at 'AAA';

--$67.5 million class M-1 affirmed at 'AA';

--$46.5 million class M-2 affirmed at 'A';

--$2.1 million class M-3 affirmed at 'A-';

--$5.5 million class M-4 affirmed at 'BBB+';

--$5.0 million class M-5 affirmed at 'BBB';

--$5.4 million class M-6 affirmed at 'BB+';

--$6.8 million class M-7 revised to 'B-/DR2' from 'B-/DR1'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 18.47%;

--Realized Losses to date (% of Original Balance): 2.68%.

Series 2004-R4

--$59.7 million class M-1 affirmed at 'AA';

--$44.0 million class M-2 affirmed at 'A-';

--$10.0 million class M-3 affirmed at 'BB+';

--$12.5 million class M-4 downgraded to 'B' from 'BB';

--$3.6 million class M-5 downgraded to 'C/DR5' from 'B';

--$4.0 million class M-6 downgraded to 'C/DR6' from 'CCC/DR1'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 27.92%;

--Realized Losses to date (% of Original Balance): 2.96%.

Series 2004-R5

--$18.9 million class A-1A affirmed at 'AAA';

--$2.1 million class A-1B affirmed at 'AAA';

--$57.5 million class M-1 affirmed at 'AA';

--$47.5 million class M-2 downgraded to 'BBB+' from 'A';

--$9.1 million class M-3 downgraded to 'BBB' from 'A-';

--$3.8 million class M-4 downgraded to 'BB+' from 'BBB';

--$2.8 million class M-5 downgraded to 'BB-' from 'BB';

--$2.7 million class M-6 affirmed at 'B';

--$3.6 million class M-7 remains at 'C/DR5'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 25.51%;

--Realized Losses to date (% of Original Balance): 1.99%.

Series 2004-R9

--$50.5 million class A-1 affirmed at 'AAA';

--$6.6 million class A-4 affirmed at 'AAA';

--$25.0 million class M-1 affirmed at 'AA+';

--$24.0 million class M-2 affirmed at 'AA';

--$17.5 million class M-3 affirmed at 'AA-';

--$16.0 million class M-4 downgraded to 'BBB+' from 'A';

--$7.5 million class M-5 downgraded to 'BBB-' from 'A-';

--$7.5 million class M-6 downgraded to 'BB+' from 'BBB+';

--$6.8 million class M-7 downgraded to 'BB' from 'BBB';

--$3.0 million class M-8 downgraded to 'BB-' from 'BBB-';

--$2.1 million class M-9 downgraded to 'B' from 'BB+'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 28.75%;

--Realized Losses to date (% of Original Balance): 1.33%.

Series 2004-R11

--$142.4 million class A-1 affirmed at 'AAA';

--$26.6 million class A-2 affirmed at 'AAA';

--$63.8 million class M-1 affirmed at 'AA+';

--$32.2 million class M-2 downgraded to 'A' from 'AA';

--$16.5 million class M-3 downgraded to 'A-' from 'AA-';

--$15.0 million class M-4 downgraded to 'BBB+' from 'A+';

--$9.2 million class M-5 downgraded to 'BBB' from 'A';

--$5.3 million class M-6 downgraded to 'BBB-' from 'A-';

--$3.3 million class M-7 downgraded to 'BB+' from 'BBB+';

--$2.3 million class M-8 downgraded to 'BB' from 'BBB';

--$4.0 million class M-9 downgraded to 'BB-' from 'BBB-';

--$4.0 million class M-10 downgraded to 'C/DR5' from 'CCC/DR1'.

Deal Summary

--Originators: Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 23.24%;

--Realized Losses to date (% of Original Balance): 1.07%.

Series 2004-R12

--$156.5 million class A-1 affirmed at 'AAA';

--$36.8 million class A-4 affirmed at 'AAA';

--$63.8 million class M-1 affirmed at 'AA+';

--$32.2 million class M-2 affirmed at 'AA';

--$16.5 million class M-3 downgraded to 'A-' from 'AA-';

--$15.0 million class M-4 downgraded to 'BBB+' from 'A+';

--$12.8 million class M-5 downgraded to 'BBB' from 'A';

--$11.4 million class M-6 downgraded to 'BBB-' from 'A-';

--$3.7 million class M-7 downgraded to 'BB+' from 'BBB+';

--$2.6 million class M-8 downgraded to 'BB' from 'BBB';

--$4.4 million class M-9 downgraded to 'BB-' from 'BBB-';

--$3.9 million class M-10 downgraded to 'B' from 'BB+'.

Deal Summary

--Originators: 100% Ameriquest Mortgage Co. and Town & Country Credit Co.;

--60+ day Delinquency: 23.89%;

--Realized Losses to date (% of Original Balance): 0.93%.

Additional details are available in the following research, available at www.fitchratings.com

--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007).

All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.

Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

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