Fitch Takes Rating Actions on Fairbanks-Serviced Prime & Alt-A RMBS Transactions.

Business Editors

NEW YORK--(BUSINESS WIRE)--Aug. 20, 2003

Fitch Ratings has reviewed seven prime and Alt-A transactions, serviced entirely or partially by Fairbanks. Fitch has affirmed 57 classes, upgraded two classes and placed one class on Rating Watch Negative (RWN). The review was conducted based upon the rating actions taken on Fairbanks Capital Corp. (Fairbanks) on June 17, 2003. Fitch downgraded and placed on Rating Watch Evolving Fairbanks' residential primary servicer ratings for subprime and home equity to 'RPS3-' from 'RPS2-', the Alt-A primary servicer rating to 'RPS3' from 'RPS2-', and the special servicer rating to 'RSS3' from 'RSS2-'.

Fitch analyzed each transaction and determined that the lowering of Fairbanks' servicer ratings raised loss expectation levels for these transactions, and therefore could result in rating downgrades. However, the transaction's seasoning, growth in credit enhancement, performance to date, and structural features such as deep mortgage insurance were significant mitigants to the servicer downgrade. Although most transactions are seasoned less than two years, the paydown factors, due to the recent high prepayment environment, range between 45% to 80%,. These high prepayments have resulted in increased credit enhancement in the form of subordination.

In addition, certain Credit Suisse First Boston (CSFB) transactions have the benefit of modified pool policies covering loans with loan-to-value ratios (LTVs) greater than 50% at origination. The loans secured by the CSFB, series 2002-5, Group IV certificates benefit from a loan level mortgage insurance policy issued by Republic Mortgage Insurance Company (RMIC), rated 'AA' by Fitch. The policy has a 6% stop loss limit, with a maximum payment per loan of $200,000.

The loans secured by the CSFB, series 2001-28; CSFB, series 2002-18, Group II; CSFB, series 2002-22, Group IV; and CSFB, series 2002-24, Group I certificates all benefit from separate loan level mortgage insurance policies issued by Triad Guaranty Insurance Corp (TGIC), rated 'AA' by Fitch. The CSFB series 2001-28 policy has a stop loss limit of 7% and the CSFB Series 2002-18, Group II; CSFB Series 2002-22, Group IV; and CSFB Series 2002-24, Group I policies each have a stop loss limit of 8.25%.

Fitch's analysis has resulted in the following rating actions:

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2001-28

-- Class A affirmed at 'AAA'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-5, Groups I, II and III

-- Class A, CP, PP affirmed at 'AAA';

-- Class C-B-1 affirmed at 'AA';

-- Class C-B-2 affirmed at 'A';

-- Class C-B-3 affirmed at 'BBB';

-- Class C-B-4 affirmed at 'BB';

-- Class C-B-5 affirmed at 'B'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-5, Group IV

-- Class A affirmed at 'AAA';

-- Class IV-B-1 affirmed at 'AA';

-- Class IV-B-2, IV-B-3 affirmed at 'A';

-- Class IV-B-4 affirmed at 'BBB';

-- Class IV-B-5 affirmed at 'BB';

-- Class IV-B-6 affirmed at 'B'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-18, Group II

-- Class A affirmed at 'AAA';

-- Class II-B-1 affirmed at 'AA';

-- Class II-B-2 affirmed at 'A';

-- Class II-B-3 affirmed at 'BBB+';

-- Class II-B-4 affirmed at 'BBB';

-- Class II-B-5 affirmed at 'BB';

-- Class II-B-6, rated 'B', placed on Rating Watch Negative.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-22, Groups III and IV

-- Class III-A-1, IV-A-1, IV-X, IV-P, IV-PP affirmed at 'AAA';

-- Class D-B-1 affirmed at 'AA';

-- Class D-B-2 affirmed at 'A';

-- Class D-B-3 affirmed at 'BBB';

-- Class D-B-4 affirmed at 'BB';

-- Class D-B-5 affirmed at 'B'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-24, Group I

-- Class A affirmed at 'AAA';

-- Class I-B-1 affirmed at 'AA';

-- Class I-B-2 affirmed at 'A';

-- Class I-B-3 affirmed at 'BBB';

-- Class I-B-4 affirmed at 'BB-';

-- Class I-B-5 affirmed at 'B-'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-24, Groups II and III

-- Class A affirmed at 'AAA';

-- Class C-B-1 affirmed at 'AA';

-- Class C-B-4 affirmed at 'BB-';

-- Class C-B-5 affirmed at 'B'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-26, Group I

-- Class A affirmed at 'AAA';

-- Class I-B-1 affirmed at 'AA';

-- Class I-B-3 affirmed at 'BBB-';

-- Class I-B-4 affirmed at 'BB';

-- Class I-B-5 affirmed at 'B'.

Credit Suisse First Boston, mortgage-backed pass-through certificates, series 2002-26, Group 2

-- Class A affirmed at 'AAA';

-- Class I-B-1 affirmed at 'AA';

-- Class I-B-2 affirmed at 'A';

-- Class I-B-3 affirmed at 'BBB';

-- Class I-B-5 affirmed at 'B'.

PNC Mortgage Securities Corporation, mortgage-backed pass-through certificates, series 2000-1, Group II (Pool 2 and Pool 3)

-- Classes II-A-1, III-A-1 affirmed at 'AAA';

-- Class D-B-1 upgraded to 'AAA' from 'AA';

-- Class D-B-2 upgraded to 'AA' from 'A';

-- Class D-B-3 affirmed at 'BBB';

-- Class D-B-4 affirmed at 'B';

-- Class D-B-5 affirmed at 'C'.

Further information regarding current delinquency, loss and credit enhancement statistics is available on the Fitch Ratings web site at 'www.fitchratings.com'.