CHICAGO, May 23 /PRNewswire/ -- Duff & Phelps Credit Rating Co. (DCR) has
upgraded the ratings of the Class C certificate in the First Boston Mortgage
Securities Corp., Multifamily Mortgage Pass-Through Certificates, Series 1993-
3 from 'BB' (Double-B) to 'AAA' (Triple-A).
The following chart shows the original ratings, ratings as of the last
action and the current ratings as of May 23, 2000:
Original DCR Rating as of DCR Rating as of
Class Rating Last Rating Action(1) May 23, 2000
A-1 'AAA' (Triple-A) 'AA+' (Double-A-Plus) Retired
B-1 'AAA' (Triple-A) 'AA-' (Double-A-Minus) Retired
C 'BBB' (Triple-B) 'BB' (Double-B) 'A' (Triple-A)
D NR (Not Rated) NR (Not Rated) NR (Not Rated)
A-2 (2)'AAA' (Triple-A) ' AA+' (Double-A-Plus) Retired
B-2 (2)'AAA' (Triple-A) 'AA-' (Double-A-Minus) Retired
1 DCR last downgraded this transaction on June 16,1995.
2 Notional classes
The upgrade is in response to increased subordination at Class C, the fact
that the total certificate balance has paid down by 93 percent and the
moderate delinquency history for the transaction. The following chart compares
subordination at issuance and subordination as of April 2000:
Subordination Subordination
Class at Issuance as of April 2000
A-1 25.0 percent N/A
A-2 15.0 percent N/A
A-3 3.4 percent 43.0 percent
A-4 N/A N/A
A-2 Notional N/A
B-2 Notional N/A
DCR also analyzed the current pool relative to the pool at underwriting.
The pool size has decreased from 35 to six loans. All loans are secured by
multifamily properties located in California.
DCR reviewed updated loan-specific information for the pool, including an
historical analysis of 1998 and 1999 net operating income (NOI), which was
available for all six loans. The weighted-average DSCR was 1.42 times. At
issuance, these six loans carried a weighted-average DSCR of 1.52 times. The
decrease in DSCR can be attributed to the fact that five of the six remaining
loans are adjustable rate mortgages. The weighted-average coupon for the six
loans has increased from 7.67 percent to 9.13 percent.
DCR has concerns over one loan located in San Bernadino, Calif., which
comprises 11.6 percent of the current pool. This loan has shown a decline in
DSCR of 39 percent since issuance and it also underwent a modification by the
servicer. The loan is scheduled to mature in September 2000. In order to
address the balloon risk associated with this loan, DCR assumed it would
default with various loss severity assumptions. In the most severe stress
scenario, which assumed a 75 percent loss severity, the resulting credit
enhancement levels on Class C were still significantly higher than what was
required at issuance.
DCR will continue to monitor the transaction's performance. Updated
performance statistics for the transaction are available on DCR's Web site at
http://www.dcrco.com. For additional information, please contact one of the
persons listed below.
SOURCE Duff & Phelps Credit Rating Co.
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Related links:
http://www.dcrco.com
CONTACT:
Erin E. Stafford, 312-606-2308, or Mary
MacNeill, 212-908-0785, both DCR.
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