Fitch Ratings has taken the following actions on the following classes of JPMorgan Mortgage Acquisition Trust 2007-CH1 Group 1:
--Class AF-1A affirmed at 'A/LS3'; Outlook Negative;
--Class AF-1B affirmed at 'A/LS3'; Outlook Negative;
--Class AF-2 affirmed at 'B/LS3'; Outlook Negative;
--Class AF-3 affirmed at 'CCC/RR2';
--Class AF-4 upgraded to 'CCC/RR3' from 'CC/RR3';
--Class AF-5 upgraded to 'CCC/RR3' from 'CC/RR3';
--Class AF-6 upgraded to 'CCC/RR2' from 'CC/RR2';
--Class MF-1 affirmed at 'CC/RR5';
--Class MF-2 affirmed at 'C/RR5';
--Class MF-3 affirmed at 'C/RR5';
--Class MF-4 affirmed at 'C/RR5';
--Class MF-5 affirmed at 'C/RR6';
--Class MF-6 affirmed at 'C/RR6';
--Class MF-7 affirmed at 'C/RR6';
--Class MF-8 affirmed at 'C/RR6';
--Class MF-9 affirmed at 'C/RR6'.
The AF-4, AF-5 and AF-6 classes were downgraded to 'CC' on June 12, 2009. Fitch used loss coverage ratios to guide the long-term ratings. A bond's loss-coverage ratio is determined by dividing the amount of projected collateral loss that would result in a bond default by the expected base-case collateral loss amount. A loss-coverage ratio between .75 and .99 generally results in a 'CCC' long-term rating, while a ratio between .50 and .74 generally results in a 'CC' long-term rating.
For JPM 2007-CH1 Group 1, Fitch projects a collateral loss on the remaining pool balance of 32%. As determined by cashflow analysis, the AF-4 to AF-6 classes all have loss coverage ratios between .50 and .74 and were previously assigned 'CC' ratings. However, while all three classes are expected to eventually default, the immanency of default is more consistent with that seen by 'CCC' rated classes than by 'CC' rated classes. All three classes are projected to default in approximately four years, which is consistent with the average time to default for 'CCC' rated Subprime senior classes. The average time to default for 'CC' rated Subprime senior classes is approximately 18 months. Additionally, the relationship of the three bonds' credit enhancement to severely delinquent loans is higher than any other currently rated 'CC' Subprime class and more similar to a typical 'CCC' rated class. As a result of these additional considerations, the bonds were upgraded to 'CCC'.
Additional details about Fitch's methodology are available in the following reports at www.fitchratings.com:
--'Updated Surveillance Criteria for U.S. Subprime RMBS' (Nov. 19, 2008);
--'U.S. Subprime RMBS/HEL Upgrade/Downgrade Criteria' (June 12, 2007).
Fitch Ratings, New York
Grant Bailey, +1-212-908-0544
Sandro Scenga, +1-212-908-0278 (Media Relations)