Fitch has taken rating action on the following Bear Stearns Asset Backed Securities (BSABS) series 2005-2 mortgage pass-through certificates:
-- Class A affirmed at 'AAA';
-- Class M-1 affirmed at 'AA';
-- Class M-2 affirmed at 'A';
-- Class M-3 affirmed at 'A-';
-- Class M-4 affirmed at 'BBB+';
-- Class M-5 affirmed at 'BBB';
-- Class M-6 affirmed at 'BBB-';
-- Class M-7 rated at 'BB', is placed on Rating Watch Negative.
The initial mortgage pool consisted of fixed- and adjustable-rate mortgage loans secured by first and second liens on one- to four-family residential properties, with an aggregate principal balance of $350,275,180. As of the cut-off date, May 1, 2005, the mortgage loans had a weighted average combined loan-to-value ratio (CLTV) of 87.45%, weighted average coupon (WAC) of 8.140%, weighted average remaining term to maturity (WAM) of 312 months and an average principal balance of $94,008. Single-family properties account for 72.70% of the mortgage pool, two- to four-family properties 10.21%, and condos 4.60%. Approximately 91.90% of the properties were owner occupied. The three largest state concentrations were California (22.69%), Florida (6.43%), New York (5.61%). Additionally, the collateral pool consisted of 14% second lien loans, had a weighted average seasoning of 17 months, and had a 5% delinquency rate at issuance.
Bear Stearns Asset Backed Securities I LLC deposited the loans into the trust, which issued the certificates, representing beneficial ownership in the trust. LaSalle Bank, National Association will act as trustee. EMC Mortgage Corporation., rated 'RPS1' by Fitch, is the master servicer for this transaction.
The affirmations reflect a stable relationship of credit enhancement (CE) to expected losses, and affect approximately $205.97 million in outstanding certificates.
The class M-7 placed on Rating Watch Negative (RWN), affecting approximately $10.158 million in outstanding certificates, reflects deterioration in the relationship between excess spread and monthly losses. Due to faster-than-expected prepayments, the dollar amount of excess spread has been less than expected and has not been sufficient to build the overcollateralization (OC) to its target amount. Currently, the OC amount is $3,986,392 and its target is $9,982,843. The trust suffered a relatively large loss of approximately $1.5 million in the May distribution month which caused a significant decline in OC. Fitch will closely monitor delinquency, excess spread and monthly loss trends in the coming months to determine whether to affirm or downgrade the bond.
As of the June distribution date, the pool factor (current collateral balance as percentage of initial) is approximately 63%, and the transaction is 13 months seasoned. The amount of collateral in the 60+ delinquency buckets is approximately 12.9% (with a majority in the 90+ and foreclosure buckets), and cumulative losses are approximately 1.05%. The six month average Conditional Prepayment and Loss Severity Rates are approximately 32% and 52%, respectively.
For further information regarding collateral attributes and relevant transaction and market statistics please visit the Fitch Ratings website at www.fitchratings.com.