CDC MBS Classes Downgraded

Five classes from three issues of CDC Mortgage Capital Trust mortgage pass-through certificates have been downgraded by Fitch Ratings.The downgrades were as follows: series 2002-HE1, class B, from BBB-minus to BB-plus; series 2002-HE2, class B-1, from BBB to BB-plus, and class B-2, from BBB-minus to BB; and series 2002-HE3, class B-1, from BBB to BBB-minus, and class B-2, from BBB-minus to BB-plus. In addition, Fitch affirmed the ratings on 33 classes from seven CDC deals. The rating agency attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses. "While Fitch feels there is no material risk of a principal writedown of the downgraded classes under the expected-case scenario, the affected classes are currently unable to satisfactorily sustain the projected stressed-case scenarios required to maintain their respective initial ratings," the rating agency said. The pools consist of fixed- and adjustable-rate subprime mortgages, primarily for one- to four-family residential properties. Fitch can be found online at http://www.fitchratings.com.