Recent residential mortgage ratings actions
By SAM GARCIA
5/6/2002

Fitch Ratings said residential mortgage-backed securities with significant exposure to California are not suffering the debilitating losses of the early 1990's, but transactions with a high concentration of California mortgages still carry a stigma among investors despite improved rating processes and the overall evolution of the securitization process over the last decade. "The overheated housing markets started sliding shortly after California began its recession in 1990 as home prices decreased and borrowers defaulted, intensifying losses accumulated on deals collateralized primarily by California properties," said Ryan Nohrenberg, Associate Director, Fitch. "Developments within the market over the last decade have compensated any risk associated with a heavy concentration of California mortgages, so much so that California's improved RMBS credit performance in the late 1990s is greater than that of the U.S. market overall." Fitch expressed concern over 'hot' markets, such as Santa Clara County.

Moody's Investor Service rated 13 classes of GMAC's Series 2002-J3 securitization at 'Aaa' based on the credit quality of the underlying loans, the credit support provided through subordination of the mezzanine and subordinate certificates, the transaction's cash flow & legal structures, and GMAC's ability as servicer of the loans. The pool consists of 15-year jumbo loans.

The senior certificates of Wells Fargo Mortgage Backed Securities 2002-7 Trust were rated at 'Aaa' by Moody's based on the historical and expected performance of the loans and the level of subordination. The pool was divided into to groups of 30-year fixed rate jumbo loans. The first group of mostly owner-occupied loans has a weighted average FICO of 727 and a weighted average original loan-to-value (LTV) of 68 percent. The second group includes relocation loans with a weighted average FICO of 735 and a weighted average original LTV of 77%. Moody's said Wells Fargo has strong underwriting and monitoring procedures to assure consistent loan quality originated through affiliates or third parties.

Classes of Bayview Financial Revolving Asset Trust 2002-B were rated at 'Aaa' to 'Baa2' by Moody's based on the credit quality of the initial loan pool, initial overcollateralization, the loan-specific credit support provided by mortgage insurance, and certain recourse servicing arrangements, as well as the overall viability of the structure of the transaction. The notes are initially backed by $192M of seasoned mortgage loans and $158M of Prime-1 rated commercial paper, which can vary over time. Moody's said that this type of revolving loan deal "is typically riskier than a term mortgage deal due to the potential for a drift in credit quality as loans are exchanged." The credit quality of the initial loan pool falls between that of an 'Alt-A' pool and subprime pool of fixed-rate mortgage loans. The pool also benefits from seasoning, low LTV's, good recent payment histories, and relatively high FICO scores.

Moody's rated classes of Countrywide Home Loan's 2002-7 securitization at 'Aaa' to 'Baa2' based on the credit quality of the collateral pool, credit enhancement provided by subordination, the legal structure of the transaction and Countrywide's ability as the servicer of the loans. The first lien, 30-year adjustable rate mortgages (ARM's) includes originations from Wells Fargo, First Horizon and Countrywide. The $522.9 million pool of loans benefits from higher credit scores and lower weighted average LTV's.

Approximately $546 million classes of First Horizon, Series 2002-2 jumbo mortgage securitization were rated at 'Aaa' by Moody's. The ratings are based primarily on the credit enhancement provided through subordination and reflect the quality of the collateral and structure of the transaction. The first of two pools within the transaction includes 15-year loans with a weighted average LTV of 59% and a weighted average FICO credit score of 740. The second pool includes 30-year loans with a weighted average LTV of 70% and a weighted-average FICO credit score of 735.

Classes of Thornburg Mortgage Securities Trust 2002-1 securitization were rated at 'Aaa' to 'Baa2' by Moody's based primarily on Thornburg's rigorous underwriting guidelines and diligent review of virtually all of the mortgage loans that appear in its securitizations. Wells Fargo Bank Minnesota, NA is master servicer. The certificates are 30% bulk purchase, 53% correspondent and 17% retail, and all loans were underwritten to Thornburg's guidelines.

The residential mortgage pass-through certificates (RMPTC's) of Credit Suisse First Boston Mortgage Securities Corp. (CSFB), series 2002-AR8 were rated 'Aaa' to 'Ba3' by Moody's. Approximately $367.2 million was rated. Chase Manhattan Mortgage Corporation will act as Master Servicer.

Fitch upgraded three classes of C-BASS CBO Ltd, reflecting the increase in the credit enhancement, the excess interest available to service the interest payments, the steady improvement in the weighted-average rating factor from almost 30.0 at closing to 29.4 as of Feb. 28, 2002 and the pay down of the CBO of approximately 16% as of March 31, 2002. The ratings also reflect the overall improvement in the profile of the underlying collateral pool, including the residential mortgage-backed securities , which represent approximately 70% of the pool.

Classes of Bank of America Mortgage Securities Inc. (BoAMSI), series 2002-4 RMPTC's were rated at 'AAA' to 'BBB' by Fitch. Subordination levels, underlying collateral quality, the confidence in the integrity of the legal and financial structure of the transaction, and Bank of America Mortgage Inc.'s capabilities as servicer were cited by Fitch in its ratings. Two groups of fixed rate loans with terms ranging from 180 months to 360 months have weighted average original LTV's of 67.3% and 58.1%, and WAC's of 6.961% and 6.654%. About half the loans are in California.

The RMPTC's of BoA, series 2002-5 were rated at 'AAA' to 'BBB' by Fitch, reflecting the level of subordination, the quality of the underlying collateral, the capabilities of Bank of America Mortgage, Inc. as servicer and Fitch's confidence in the integrity of the legal and financial structure of the transaction. The seasoned fixed rat loans backing the transaction has maturities ranging from 240 to 360 months. The weighted average original LTV is 73.7%, and the weight average coupon is 7.347%.

Classes of Sequoia Mortgage Trust 6, $509.7 million collateralized mortgage bonds were rated at 'AAA' to 'BBB' by Fitch, reflecting the level of subordination, the quality of the underlying collateral, the soundness of the legal and financial structure and the capabilities of Morgan Stanley Dean Witter Credit Corporation as servicer of the loans. The fixed and adjustable rate loans have a weighted average original LTV of 68.5% and a WAC of 3.686%. All of the mortgage loans have been acquired by Redwood Trust from Morgan Stanley Deal Witter Credit Corporation.

Fitch rated classes of ABN AMRO Mortgage Corporation's multiclass RMPTC's, series 2002-4 at 'AAA' to 'BBB', reflecting the subordination levels, the high quality of the underlying collateral, the integrity of the legal and financial structures and the servicing capabilities of ABN AMRO. The pool of fixed rate loans have a weighted average original LTV of 71.47% and a WAC of 7.02%. Nearly half the loans are in California, and the weighted average FICO is 734.

Ratings on classes of the following RMPTC's were upgraded by Fitch as a result of low delinquencies and losses, as well as increased credit support.

* Norwest Asset Securities Corp., series 1996-3
* Norwest Asset Securities Corp., series 1996-4
* Norwest Asset Securities Corp., series 1996-5
* Norwest Asset Securities Corp., series 1996-6
* Norwest Asset Securities Corp., series 1996-7
* Norwest Asset Securities Corp., series 1996-8

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