It may seem at times as if every residential mortgage-backed security — particularly in subprime — is in the process of being downgraded (which is, to a large extent, exactly what’s been going on). You may be surprised, however, to learn that not all RMBS deals are collapsing under the weight of a housing market gone south. Fitch Ratings said Wednesday that it had affirmed $1.01 billion from a single 2007 subprime RMBS deal — J.P. Morgan Acceptance Corp 2007-CH3. True mortgage nerds might be interested in the prospectus for such a trend-breaker. The affirmation here by Fitch would seem on the surface to fly in the face of two poorly-performing, recently-downgraded WaMu subprime deals from 2007 that have been mentioned on this blog recently (first deal mentioned here; second deal mentioned here). The loans in this deal are predominantly first-lien 2/28s and 3/27s, and a good chunk were originated via the wholesale channel at Chase Home Finance; most of the loans are in Florida, California, Illinois and New York. I could not find any material differences in disclosed underwriting standards or deal structure, either. In other words, there doesn’t appear to be much different here versus the loans pooled in the two troubled WaMu deals and originated via Long Beach Mortgage. It’s interesting to ponder — for a minute — why Chase-originated subprime loans are performing (and are expected to perform) infinitely better than subprime loans originated by Long Beach Mortgage. Disclosure: The author holds various put option contracts on WM; no positions in others mentioned.

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