Fitch Ratings Adds Prime Market Sector to RMBS Performance Indices.

Business Editors

NEW YORK--(BUSINESS WIRE)--Aug. 25, 2003

Fitch Ratings has added the Prime Market Sector to its web based RMBS Market Sector Performance Indices, a product designed to provide investors with the most informative performance analysis on residential mortgage-backed securities (RMBS). Fitch's Indices present mortgage delinquency statistics for the Prime and Subprime market sectors by period of security issuance, and facilitates the comparison of performance over time. Fitch anticipates that the Alt-A Market Sector Performance Indices will be available shortly.

RMBS Market Sector Performance Indices include 60-day and 90-day delinquencies, foreclosure, real estate-owned (REO), a combined 60+ status, and a short commentary on each Market Sector's performance, with the statistics and commentary updated monthly. The prime and subprime indices are driven from loan level data utilizing actual payment dates. This system allows Fitch to generate indices based on the market approach; specifically in this case using the MBA method of delinquency analysis for the Prime sector. This is an advantage over indices aggregated from the deal level where the method is dependent upon the servicer.

'The addition of the Prime Market Sector to the Fitch Ratings RMBS Performance Indices confirms Fitch's determination to provide residential mortgage-backed securities investors with the most dynamic performance analysis available,' said Cheryl Glory, Managing Director, Fitch Ratings. 'Fitch will continue to develop and make available state-of-the-art quantitative analytic packages while publishing insightful and useful qualitative analysis.'

The subprime indices has also been expanded to include indices based on original balances, while the prime indices is based on both current and original balances. Although the indices calculate delinquency statistics in a similar manner, the differences between the indices stem from the balances on which they are 'based' on. The first set of indices is based on the current balances outstanding, with the current balances decreasing as the loans pay down or prepay, while the second indices uses original balances as the base, with changes made to the balance only when new deals are added to the vintage. This allows for easier comparison across vintages after adjusting for the prepayment effect.

Investors, investment bankers and issuers who subscribe to the Fitch ratings web site can easily access the prime and subprime indices at 'www.fitchratings.com'. The indices are located in the 'RMBS' sector of the web site under 'Performance Indices'. If you are not a subscriber but are interested in reviewing this product, please contact Louise Pesano at 1-212-908-0573 or '[e-mail]'. Fitch welcomes investor feedback on the usefulness of this product, as well as suggestions for improvements to the product.