CDC MBS Classes Downgraded

Two classes from CDC Mortgage Capital Trust mortgage pass-through certificates, series 2002-HE3, have been downgraded by Fitch Ratings and two classes from other transactions have been placed on Rating Watch Negative.The downgrades were as follows: class B1, from BB-minus to B-plus; and class B2, from B-plus to C. Class B2 was also assigned a distressed recovery rating of DR6. The securities placed on watch were class B3 of series 2003-HE3 and class B3 of series 2003-HE4. In addition, Fitch affirmed the ratings on 14 classes from the three CDC deals. The rating agency attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses. The pools consist of fixed- and adjustable-rate subprime mortgages for one- to four-family residential properties.