Last week\'s residential mortgage ratings actions
By SAM GARCIA
2/27/2002

Following an extensive review of JP Morgan Chase & Co (JPMC), Fitch Ratings affirmed the current ratings for at 'AA-' senior and F1+ short-term and its subsidiaries while revising its Rating Outlook to Negative, reflecting expectations for continued softness in the global economy and in the equity and capital markets. These macro economic issues will subject JPMC to continued challenges on the asset quality front and will serve to restrain the performance of many of the firm's businesses, particularly within the investment banking business. Fitch said JPMC still has substantial capacity to manage through the current environment, albeit to a lesser degree today than was true several quarters ago as the firm utilized some of its financial flexibility to deal with various issues during the latter part of 2001, including the well publicized Enron situation. Fitch expects JPMC's diverse franchise to enable it to rebound to profitability and steadily improve its financial performance over the near to intermediate term. The current ratings also incorporate an expectation that JPMC will continue to show appropriate prudence in both liquidity management and capital management.

First Tennessee National Corp. announced that Standard & Poor's (S&P) upgraded its outlook from negative to stable and affirmed all ratings on First Tennessee, including the 'A-' long-term counterparty credit rating. S&P was quoted as saying, "the outlook revision reflects the improvement in earnings realized in 2001 and the expectation that earnings in 2002 will continue to demonstrate solid growth."

Classes of the following series of REMIC multiclass pass-through certificates were upgraded as a result of low delinquencies and losses, as well as increased credit support.

* GE Capital Mortgage Services, Inc. series 1994-2
* GE Capital Mortgage Services, Inc. series 1994-5
* GE Capital Mortgage Services, Inc. series 1994-7
* GE Capital Mortgage Services, Inc. series 1994-8
* GE Capital Mortgage Services, Inc. series 1994-9
* GE Capital Mortgage Services, Inc. series 1994-11
* GE Capital Mortgage Services, Inc. series 1994-13
* GE Capital Mortgage Services, Inc. series 1994-15
* GE Capital Mortgage Services, Inc. series 1994-17
* GE Capital Mortgage Services, Inc. series 1994-20
* GE Capital Mortgage Services, Inc. series 1994-22
* GE Capital Mortgage Services, Inc. series 1994-24
* GE Capital Mortgage Services, Inc. series 1994-25
* GE Capital Mortgage Services, Inc. series 1994-26
* PNC Mortgage Securities Corporation series 1994-2
* PNC Mortgage Securities Corporation series 1994-3
* PNC Mortgage Securities Corporation series 1994-4
* Residential Funding Mortgage Securities I, Inc., series 1994-S1
* Residential Funding Mortgage Securities I, Inc. series 1994-S7
* Residential Funding Mortgage Securities I, Inc. series 1994-S9
* Residential Funding Mortgage Securities I, Inc., series 1994-S11
* Residential Funding Mortgage Securities I, Inc. series 1994-S12
* Residential Funding Mortgage Securities I, Inc. series 1994-S13
* Residential Funding Mortgage Securities I, Inc. series 1994-S14
* Residential Funding Mortgage Securities I, Inc., series 1994-S16
* Residential Funding Mortgage Securities I, Inc. series 1994-S17
* Residential Funding Mortgage Securities I, Inc. series 1994-S18
* Salomon Brothers Mortgage Securities VII Inc. series 1994-3
* Salomon Brothers Mortgage Securities VII Inc. series 1994-9

S&P raised and affirmed it ratings on classes of the following series of DLJ Mortgage Acceptance Corp. residential mortgage pass-through certificates (RMPTC's).

Raised

Affirmed
1991-2 1991-3 1993-20 1993-Q18 1994-Q9 1998-2
1992-6 1992-6 1993-4A 1994-10 1994-Q12 2000-S4
1993-8 1992-9 1993-4B 1994-2 1994-Q13 2001-S3
1993-14 1992-12 1993-4C 1994-5 1994-Q16
1994-2 1992-Q8 1993-Q6 1994-6 1995-4 1993-19
1994-3 1992-Q-11 1993-Q9 1994-15 1995-5 1993-Q16
1994-5 1993-8 1993-Q13 1994-Q1 1995-Q1 1994-Q8
1994-15 1993-14 1993-Q15 1994-Q7 1995-Q2 1995-Q3

The ratings on the 30-year conventional pool reflect sufficient current and projected credit support percentages.

Hawaii Housing and Community Development Corp.'s $36.9 million single family mortgage purchase revenue bonds, 2002 series A & B were assigned an 'AAA' rating by Fitch, while the rating on the $317 million outstanding 2000 series A &B and 1994 series A & B was affirmed. The rating assigned to the 2002 series A & B bonds reflects the current and projected composition of the mortgage portfolio -- which now consists primarily of Fannie Mae guaranteed mortgage certificates -- the deep levels of mortgage insurance protection on the remaining whole loan portion of the portfolio, the sufficient level of overcollateralization that exists within the indenture, and the program's satisfactory financial performance. The percentage of the portfolio comprising mortgage backed securities (MBS) has grown significantly in the last several years as a result of a programmatic change in 1991 to purchase MBS rather than whole loans and the availability of a relatively high amount of whole loan prepayments in the early to mid-1990's that were recycled into new MBS.

S&P raised and affirmed its ratings on classes of First Boston Mortgage Securities Corp. RMPTC's, series 1992-1, 1992-4, 1993-2 and 1993-6, reflecting the level of subordination. The collateral consists primarily of 30-year fixed-rate, fully amortizing, mortgage loans.

Ratings on classes of Citicorp Mortgage Securities Inc.'s REMIC pass-through certificates series 1990-5 were lowered to 'CCC'' from 'BB'' by S&P, reflecting the continuing deterioration of the performance of the mortgage pool. There is one loan currently in foreclosure with an outstanding principal balance of $181,966, which exceeds the $31,670 current remaining available credit support.

Fitch rated classes of Bank of America Mortgage Securities, Inc. (BoA), series 2002-2 RMPTC's at 'AAA', reflecting the subordination levels, the quality of the underlying collateral, the capabilities of Bank of America, NA as servicer and Fitch's confidence in the integrity of the legal and financial structure of the transaction. Three groups of recently originated, conventional, fixed-rate, fully amortizing, first lien have weighted average original loan-to-values (LTV) of 66.2%, 64.6% and 57.5%, and weighted average coupons (WAC) of 6.83%, 6.85% and 6.57%. The majority of the loans are located in California.

Fitch also rated classes of BoA's series 2002-B RMPTC's at 'AAA', reflecting the same attributes as series 2002-2. The 5-1 Libor loans have a weighted average original LTV of 64.21% and a weighted average gross margin of 2.25%. California loans represent 71.6% of the pool.

Classes of Fleet Mortgage Securities Inc.'s REMIC cash flow certificates, series 1993-1, were affirmed at 'AAA' by S&P, reflecting actual and projected credit support percentages that adequately support the current ratings, no delinquencies, and no reported losses. In addition, the transaction has been seasoned more than eight years and has paid down to approximately 19% of its original principal balance. Credit support for this transaction is provided by a pool insurance policy from General Electric Mortgage Insurance Corp.

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