Cagamas MBS Bhd (CMBS 2004-1) - 2013

MARC has affirmed the AAA rating of Cagamas MBS Berhad’s (Cagamas MBS) asset-backed fixed rate serial bonds of RM1,555.0 million (CMBS 2004-1) with a stable outlook. The rating action affects the remaining RM345.0 million Series 4 bonds issued under CMBS 2004-1.

Cagamas MBS, a wholly-owned subsidiary of Cagamas Holdings Berhad (Cagamas Holdings), is a special purpose vehicle incorporated solely for the issuance of mortgage-backed securities via the securitisation of government staff housing loans (GSHL) under Islamic and conventional principles. The pool of underlying assets of CMBS 2004-1 (Portfolio 2004-1) mainly consists of mortgage loans granted to eligible government pensioners. Direct deduction from monthly pensions from eligible pensioners to service the mortgage instalments and satisfactory administration of transaction servicing partially mitigate risks of non-timely repayment of CMBS 2004-1.

Based on Cagamas MBS’s quarterly servicer report for Portfolio 2004-1 dated January 21, 2013, the aggregate outstanding principal of mortgage loans, repurchased mortgages and defaulted mortgages totaled RM462.4 million. The transaction benefits from credit enhancement of 231.3% after taking into account the portfolio’s net cash balance of RM335.5 million. The cumulative default rate of the portfolio which has a weighted average seasoning of 18.8 years remained low at 0.42% of the initial pool balance after 33 quarters of performance, compared to MARC’s expected cumulative default rate of 7.01%. The quarterly default rates of portfolio CMBS 2004-1 have been on a downward trend. The majority of defaults experienced by the pool have been the result of delays in reconciliation of repayment of mortgage loans by the borrowers, update of eligibility status of the borrower upon cessation of repayment and insurance claims processing for deceased borrowers. Total delinquent mortgages (defined as one month or more but less than or equal to nine months in arrears) decreased by 1.9% quarter-on-quarter; this represented 1.64% of the initial pool balance as of January 21, 2013. 

Cagamas MBS’ cash and permitted investments of RM335.5 million as of January 21, 2013 covers 97.3% of the final tranche of Series 4 due in October 20, 2014.

The stable outlook is premised on the stable performance of portfolio CMBS 2004-1 and high levels of overcollateralisation.
 
Strengths