GSE's Are Moody

Last week\'s residential ratings actions
By SAM GARCIA
3/27/2002

Moody's Investors Service assigned an 'A-' Bank Financial Strength Rating to Fannie Mae and affirmed the company's existing ratings of Aaa for senior long-term debt, Prime-1 for short-term debt, Aa2 for subordinated long-term debt, and Aa3 for preferred stock. The outlook for these ratings is stable. Moody's noted that Fannie's leading position in U.S. housing finance derives not only from its status as a US Government-Sponsored Enterprise, but also a history of innovation and successful financial management in recent years. The company's powerful franchise as a conduit in the provision of finance for single- and multifamily housing has resulted from the development of a large and deep market for securitized and credit-enhanced securities. Moody's expects that Fannie's further progress into other housing sectors, such as those involving higher risk borrowers, will be controlled and will not meaningfully alter the overall risk profile of the firm. Fannie Mae's overall risk position is supported, in Moody's view, by an adequate level of capital which, though close to regulatory requirements, is supported by significant flexibility due to the company's strong liquidity and balance sheet management skills.

Moody's also assigned Freddie Mac a Bank Financial Strength Rating of A-, according to an announcement from Freddie, which noted that only 4 other U.S. financial services companies have received Bank Financial Strength Ratings this high. Freddie said that Moody's believes it ranks among the best financial firms worldwide on strong risk management disciplines, and a very sound and conservative credit culture. The Bank Financial Strength Rating comes in addition to a suite of other ratings of Freddie Mac provided by Moody's: a rating of Aaa for the company's senior unsecured debt; a Aa2 rating for its subordinated debt and a Aa3 rating of the company's preferred stock.

Standard and Poor's (S&P) affirmed its 'AA' counterparty credit and financial strength ratings on Republic Mortgage Insurance Co. and its affiliate, Republic Mortgage Insurance Co. of NC. S&P also affirmed its 'AAA' financial strength rating on United Guaranty Residential Insurance Co. of NC, an insurer of second mortgages. The outlook for both companies is stable. The affirmations are based on both companies' business position, operating performance, capital, management & strategy and financial flexibility.

Fitch Ratings upgraded the ratings on classes of the following series of residential mortgage pass-through certificates (RMPTC's) as a result of low delinquencies and losses, as well as increased credit support:

* Bear Stearns Mortgage Securities, Inc. Series 1998-1
* CMC Securities Corporation III Series 1994-A
* CMC Securities Corporation III Series 1994-D
* Mellon Residential Funding Corporation Series 1999-TBC1
* Residential Accredit Loans, Inc. Series 1996-QS4
* Residential Accredit Loans, Inc. Series 1997-QS1
* Residential Funding Mortgage Securities I, Inc. Series 1994-S5
* Residential Funding Mortgage Securities I, Inc. Series 1994-S19
* Residential Funding Mortgage Securities I, Inc. Series 1994-S20
* Residential Funding Mortgage Securities I, Inc. Series 1998-S12
* Residential Funding Mortgage Securities I, Inc. Series 1998-S15

Classes of Mortgage Asset Securitization Transactions, Inc. (MASTR) $302.4 million RMPTC's, series 2002-1, were rated at 'AAA' to 'BBB' by Fitch. The mostly 15-year fixed rate first liens have a weighted average original loan-to-value ratio (WAOLTV) of 61.01% and a weighted average FICO score of 743. Approximately 27.75% of the loans were originated under a reduced documentation program. Cash-out and rate/term refinance loans represent 20.08% and 73.32% of the mortgage pool, respectively. Approximately 90.56%, 4.11%, 3.07% and 2.25% of the loans as of the cutoff date pool balance were originated by National City, Bank One, Guaranty Residential and Chevy Chase, respectively. National City will service 90.56% of the mortgage loans, and GMACMC will service 9.44%.

Fitch rated classes of C-Bass Mortgage Loan asset-backed certificates, series 2001-CB2, at 'AAA' to 'BB', reflecting the level of subordination and the benefit of excess interest. $78 million in fixed rate loans has a weighted average combined loan-to-value (WACLTV) of 81.69% with a weighted average coupon (WAC) of 10.114 percent. $156 million in adjustable rate loans have a WACLTV of 79.86% and a WAC of 10.109 percent. 73.13% of the adjustable rate loans have prepayment penalties.

Classes of Wells Fargo Mortgage Backed Securities $485.7 million RMPTC's, series 2002-3 were rated at 'AAA' by Fitch, reflecting the level of subordination, the high quality of the underlying collateral, the integrity of the legal and financial structures and the servicing capabilities of Wells Fargo Home Mortgage, Inc. The WAOLTV is nearly 66%, the WAC is 6.90% and the weighted average FICO is 728.

Fitch rated Class 'A' of Chase Mortgage Finance Trust's RMPTC's, series 2002-S5, at 'AAA', reflecting the level of subordination, quality of the mortgage collateral, strength of the legal and financial structures, and Chase Manhattan Mortgage Corporation (Chase) servicing capabilities as primary servicer. The 15-year fixed rate loans have a WAOLTV of 57.4% and a weighted average mortgage rate of 6.562 percent. Cash-out refinance loans represent 27.2% of the pool.

Fitch also rated classes of Chase Mortgage Finance Trust's $579 million RMPTC's, series 2002-S4, at 'AAA', reflecting the level of subordination, quality of the mortgage collateral, strength of the legal and financial structures, and Chase's servicing capabilities as primary servicer. The WAOLTV is 66.92% and the weighted average mortgage rate is 6.910%.

Classes of ABN AMRO Mortgage Corporation's multiclass RMPTC's, series 2002-2, were rated at 'AAA' by Fitch, reflecting the level of subordination, the high quality of the underlying collateral, the integrity of the legal and financial structures and the servicing capabilities of ABN AMRO Mortgage Group, Inc. The 30-year fixed rate loans have a WAOLTV of 61.68%, a WAC of 6.32% and a weighted average FICO of 746. The loans will be serviced by ABN AMRO.

Fitch rated classes of Equity One Mortgage Pass-Through Trust, series 2002-1, at 'AAA' to 'BBB', reflecting the levels of subordination. The loans are divided into one $98.1 million group of 1st lien adjustable rate mortgages (ARM's) and another group of $167.9 million 1st & 2nd lien fixed rate loans. The ARM's have a WAOLTV of 82.09% and a weighted average loan rate of 9.273%. The fixed rate mortgages have a WAOLTV of 77.53% and a weighted average loan rate of 9.350%.

Classes of 4 groups of loans from CSFB RMPTC's, Series 2002-5, were rated at 'AAA' to 'BBB', reflecting the level of subordination. The groups of 1st lien fixed rate and ARM loans have WAOLTV's ranging from 62.58% to 81.15%, and a significant portion of each group (24%- 76%) is California properties.

Fitch rated classes of Structured Asset Securities Corporation $280.2 million mortgage pass-through certificates, series 2002-4H, at 'AAA' to 'BBB', reflecting the level of subordination, the quality of the mortgage collateral, the strength of the legal and financial structures, and the master servicing capabilities of Aurora Loan Services, Inc. Two pools of first lien, fixed rate loans have WAOLTV's of 101.75% & 101.43%, and WAC's of 7.779% & 7.830%. Many of the loans were originated by GMAC Mortgage Corporation, Countrywide Home Loans, Inc., National Bank of Commerce and Wells Fargo Home Mortgage, Inc., and were acquired by Lehman Capital.

Classes of Citicorp Mortgage Securities, Inc.'s RMPTC's, series 2002-2, were rated at 'AAA' by Fitch, reflecting the level of subordination, quality of the mortgage collateral, strength of the legal and financial structures, and CitiMortgage, Inc.'s servicing capabilities. The loans are divided into a 15-year group and a 30-year group. The 30-year loans have a WAOLTV of 67.7% and a WAC of 6.93 percent. the 15-year loans have a WAOLTV of 59.4% and a WAC of 6.64 percent. Nearly 1/4 of the loans are in California.

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