JPMorgan chief executive Jamie Dimon revealed the loss on Thursday

Fitch cut JPMorgan’s WM Covered Bond Program from AA to AA-, on Rating Watch Negative yesterday (Monday) after downgrading the US bank from AA- to A+ last Friday on news of a $2bn trading loss.

JP Morgan Chase Bank NA, the covered bonds’ sponsor bank since it took on the programme from the failed Washington Mutual, is on Rating Watch Negative.

Fitch said that the downgrade of JPMorgan does not change the rationale for the rating of the covered bonds.

A D-Factor of 100% assigned to the programme means, under Fitch’s methodology, that the rating of the covered bonds does not benefit from any uplift over the sponsor bank’s rating. A one notch uplift from JPMorgan’s A+ rating to the AA- rating of the covered bonds is granted by Fitch to take into account stressed recoveries.