Recent residential mortgage ratings actions
By SAM GARCIA
6/4/2002

Fitch Ratings affirmed PMI Mortgage Insurance Co.'s 'AA+' insurer financial strength rating, PMI Group, Inc.'s 'AA-' long-term and senior debt ratings and PMI Capital I's 'A+' capital securities rating. The Rating Outlook is Stable. The affirmation reflects PMI's good risk-based capitalization, strong competitive position, and favorable earnings performance. Partially offsetting these positives is an increased exposure to subprime quality loans, a continued movement towards higher levels of premium sharing arrangements with lender customers, and the capital strain associated with international expansion.

Moody's Investors Services rated Sequoia Mortgage Funding Company, Collateralized MBS Funding Bonds, Series 2002-A at 'Aaa'. The rating is based on the credit quality of the underlying mortgage pools, the credit enhancement available to protect the underlying securities from losses, and the credit enhancement available from excess spread, limited cross-collateralization, and overcollateralization in this transaction. The pool of seasoned jumbo adjustable rate mortgages (ARM's) to prime quality borrowers range in quality from average to below-average.

$204.5 million classes of Cendant Mortgage Capital LLC, CDMC Residential Mortgage Pass-Through Certificates (RMPTC's), Series 2002-3 were rated 'Aaa' to 'Ba3' by Moody's. The ratings are based on the expected performance of the jumbo mortgages, 3.00% credit enhancement provided by subordination of the mezzanine and subordinate certificates, the structural and legal protection in the transaction, and the ability of Cendant Mortgage Corporation as master servicer. Historical performance on Cendant nonconforming product has been strong and distinct vintage pools have had little to no losses. Owner-occupied dwellings represent 97% of the pool, and the original LTV is 73%.

Moody's rated $492.6 million of RMPTC's backed by jumbo loans and issued by Washington Mutual MSC (series 2002-MS3) at 'Aaa' to 'Ba3'. The ratings were based on the credit quality of the underlying mortgage loans, the credit support provided through subordination, the legal structure of the transaction, and WaMu's capability as a servicer of mortgage loans.

Another pool issued by WaMu, $930.9 million of RMBS, series 2002-AR5, saw classes rated at 'Aaa' to 'Ba2' by Moody's. The ratings on this pool of prime-quality jumbo hybrid ARM's were based on the credit support provided through subordination, the integrity of the cash flow, and the legal structure, as well as WaMu's capability as a servicer of mortgage loans.

Moody's rated $382.3 million in classes of CSFB RMPTC's, Series 2002-AR17, which is a securitization of seasoned Washington Mutual jumbo hybrid adjustable rate loans at 'Aaa' to 'Baa3'. The ratings are based on the credit support provided through subordination, the integrity of the cash flow, and the legal structure, as well as WaMu's capability as a servicer of mortgage loans.

Moody's assigned ratings of 'Aaa' to 'Ba2' to the senior and senior mezzanine certificates of the Structured Asset Mortgage Investments Inc.'s Series 2002-AR1 securitization, which includes loans originated by Bank of America, N.A. The pool of seasoned, jumbo, ARM and ARM hybrid loans is weaker than other recently originated Bank of America pools but benefits from nearly two years' seasoning. The weighted average FICO is 710, with no borrowers exceeding one thirty-day delinquency over the past year. In addition, LTV's have benefited from property appreciation.

$605 million classes of Structured Asset Securities Corporation Mortgage Loan Trust 2002-9 were rated at 'Aaa' to 'Baa3' by Moody's, based on the quality of the loans, adequacy of estimated cash flows, and both internal and external credit support. The weighted average original LTV is 66%, with nearly half the properties located in California. The loans were originated or acquired by Saxon (33%), Boston Company, (19%) and approximately 5% each by Chase Manhattan Mortgage, Countrywide Homes Inc., Residential Funding Corporation and Wells Fargo Home Mortgage, among others. Servicing will be done by GE Capital (33%), the Boston Company (19%), GMAC (17%) and Meritech (17%), all of which Moody's regards as capable servicers.

Classes of First Boston Mortgage Securities Corp. RMPTC's, Series 2002-AR13 were rated at 'Aaa' to 'Ba3' by Moody's based on the credit quality of the underlying loans, the credit support in the transaction and the legal structure of the transaction. Five groups for $524.3 million have weighted average FICO's ranging from 684 to 739, and weighted average LTV's from 67% to 82%. More than ninety percent of the properties are owner-occupied, with California seeing the biggest concentration of any state.

Moody's rated classes of Credit Suisse First Boston Mortgage Securities Corp. RMPTC's, Series 2002-10 at 'Aaa' to 'B3'. Two groups of loans totaling $600.5 million have weighted average LTV's of 75% & 80%, and weighted average FICO's of 684 & 672. Washington Mutual Mortgage Securities Corp., Greenpoint Mortgage Funding, Inc. will act as servicer while Olympus Servicing, L.P. will act as servicer and special servicer. Chase Manhattan Mortgage Corporation will act as master servicer.

Standard & Poor's (S&P) lowered its ratings on classes of Citicorp Mortgage Securities Inc.'s REMIC pass-through certificates, series 1990-5, reflecting the continuing deterioration in the performance of the mortgage pool. Recently, the spread account balance was reduced to $9,250. The spread account is the only remaining form of credit support, as the subordinate class had been previously completely eroded.

A class of Residential Funding Mortgage Securities I Inc., series 1992-J was lowered by S&P, reflecting the lowering of General Motors Acceptance Corp.'s senior long-term debt rating debt rating to triple-'B'-plus from single-'A', as this class of certificates is supported by a General Motors Acceptance Corp. guaranty.

Classes from several series of Securitized Asset Sales Inc.'s RMPTC's were raised and affirmed by S&P, reflecting an increase in credit quality. The series included are 1993-1, 1993-6, 1994-4, 1994-5, 1995-A,1995-2, 1995-3, 1995-4, 1995-5, 1995-6 and 1995-7.

S&P raised it ratings on classes of several series of Residential Funding Mortgage Securities I Inc.'s RMPTC's, reflecting at least four years of seasoning, the series' superior performance, and increased percentages of loss protection provided by remaining credit support (subordination). The affected series include 1993-S14, 1993-S16, 1993-S21, 1993-S22, 1993-S27, 1993-S45, 1993-S47, 1993-S49, 1994-S1, 1994-S2, 1994-S3, 1994-S7, 1994-S9, 1994-S11, 1994-S13, 1995-S1, 1996-S4, 1996-S7, 1996-S8, 1996-S10, 1996-S11, 1996-S13, 1996-S14, 1997-S4 , 1997-S5, 1997-S6, 1997-S13, 1997-S17, 1998-NS2, 1998-S1, 1998-S4, 1998-S7, 1998-S9, 1998-S14, 1998-S16, 1998-S18, 1998-S22, 1998-S25, 1998-S27 and 1998-S29.

Fitch upgraded it ratings on the following RMPTC's as a result of low delinquencies and losses, as well as increased credit support.

* Citicorp Mortgage Securities, Inc., series 1997-1, series 1997-3, series 1997-4, series 1997-5 and series 1997-7
* GE Capital Mortgage Services, Inc., REMIC, series 1997-2, series 1997-3, series 1997-4, series 1997-5, series 1997-6, series 1997-7, series 1997-8, series 1997-9, series 1997-10, series 1997-11, series 1997-12,
* Residential Funding Mortgage Securities I, Inc., series 1997-S1, series 1997-S7, series 1997-S8, series 1997-S9, series 1997-S12, series 1997-S13, series 1997-S14, series 1997-S15, series 1997-S17, series 1997-S19 and series 1997-S20
* Tryon Mortgage Funding, Inc., series 1997-1

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