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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's upgrades JP Morgan prime auto ABS from 2006 and 2007

14 Oct 2010

Approximately $3.4 million of asset-backed securities affected

New York, October 14, 2010 -- Moody's Investors Service has upgraded three subordinate tranches from two auto loan securitizations sponsored by JPMorgan Chase Bank during 2006 and 2007. Credit enhancement relative to remaining losses has built up as a significant portion of the expected lifetime losses have already been incurred, and the subordinate tranches have paid off concurrently with the senior tranches while maintaining a target level of enhancement.

Issuer: JPMorgan Auto Receivables Trust 2006-A

Cl. C, Upgraded to Aa1 (sf); previously on Jun 18, 2010 Baa3 (sf) Placed Under Review for Possible Upgrade

Issuer: JPMorgan Auto Receivables Trust 2007-A

Cl. C, Upgraded to Aaa (sf); previously on Jun 18, 2010 Baa1 (sf) Placed Under Review for Possible Upgrade

Certificates, Upgraded to Aa1 (sf); previously on Jun 18, 2010 Ba2 (sf) Placed Under Review for Possible Upgrade

RATINGS RATIONALE

The rating actions were prompted by an assessment of current enhancement levels relative to updated loss expectations. Moody's current lifetime cumulative net loss (CNL) projection for 2006-A transaction is 3.25% of the original pool balance (or approximately 1.7% of the remaining pool balance), which is at the low end of our 3.25% to 3.50% range previously published in June 2010. Moody's CNL projection for 2007-A transactions is 1.2% of the original pool balance (or approximately 1.4% of the remaining pool balance), which is at the mid-point of our 1.15% to 1.25% range previously published in June 2010.

For 2006-A transaction, total hard credit enhancement (excluding available excess spread) for Class C is approximately 8.70% of the outstanding collateral pool balance. The tranche additionally benefits from excess spread, which is approximately 3% per annum. The transaction is currently paying sequential as it has reached the target floor of 1.00% of initial principal balance of the pool. The target enhancement level is the combined amount of subordinated notes and overcollateralization.

For 2007-A transaction, total hard credit enhancement (excluding available excess spread) for Class C and Certificates tranches are 11.1% and 7%of the outstanding collateral pool balance. The tranches additionally benefit from excess spread, which is approximately 2% per annum. This transaction is currently paying the subordinated class C concurrently with the senior tranche, while maintaining a target level of enhancement for both tranches.

A unique feature in these transactions is that the servicing fee, as long as JPMorgan Chase Bank, N.A. is the servicer, is subordinated to principal and interest payments in the transaction's cash flow waterfall. Typically servicing fee in other auto ABS transactions is paid before principal and interest and reserve account payments, if any. The excess spread within the transaction is therefore enhanced by the subordination of the servicing fee. Yet, if JPMorgan Chase Bank, N.A.is replaced as primary servicer, the 0.62% servicing fee will move to the top of the payment priority list. A transfer of servicing is normally caused by a servicer default. Moody's views the risk of default by JPMorgan Chase Bank, N.A., which has a senior unsecured debt rating is Aa1 (negative outlook), during the expected term of the transaction to be low.

Moody's Volatility proxy Aaa level for 2006-A and 2007-A transactions are approximately 9% and 7% respectively of the outstanding collateral pool balance. Ratings on the affected tranches may be downgraded if the lifetime CNL is higher by 10%.

The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take or not take a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics. Primary sources of assumption uncertainty are the current macroeconomic environment, in which unemployment continues to rise, and weakness in the used vehicle market. Moody's currently views the used vehicle market as stronger now than it was a year ago, when the uncertainty relating to the economy as well as the future of the U.S auto manufacturers was significantly greater. Overall, Moody's central global scenario remains "Hook-shaped" for 2010 and 2011; we expect overall a sluggish recovery in most of the world largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels.

The principal methodology used in rating these Securities was "Moody's Approach to Rating U.S. Auto Loan-Backed Securities" rating methodology published in June 2007. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months.

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, public information, confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY'S is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Alda F. Sanchez
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.

Moody's upgrades JP Morgan prime auto ABS from 2006 and 2007
No Related Data.
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​
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