CSFB MBS Classes Downgraded

Seven classes in four CSFB Mortgage Securities Corp. mortgage-backed certificate transactions have been downgraded by Fitch Ratings.The downgrades of mortgage-backed pass-through certificates were as follows: series 2002-5 G4, class IVB4, from BB to B; series 2002-18 G2, class IIB3, from BB to B, and class IIB4, from CCC to CC; and series 2002-22 G3 and 4, class DB3, from BB to B, and class DB4, from CC to C. Also downgraded were mortgage-backed certificates series 2002-32R: class M, from BB-minus to CCC, and class B-1, from CCC to C. (This series was a type of real estate mortgage investment conduit called a re-REMIC, consisting of select tranches from six different CSFB transactions.) In addition, Fitch upgraded three classes and affirmed the ratings on 29 classes from eight CSFB issues. The downgrades were attributed to a deterioration of credit enhancement relative to consistent or rising monthly losses. The re-REMIC has been incurring monthly losses of approximately $300,000, and the class B1 could be entirely written down in less than 12 months, at which time the class M would begin taking losses, Fitch explained.