DBRS Rates J.P. Morgan Seasoned Mortgage Trust, Series 2010-1

DBRS has today assigned the following ratings to the Mortgage Securities, Series 2010-1 issued by J.P. Morgan Seasoned Mortgage Trust, Series 2010-1 (the Trust).

-- $ 71.3 million Class A rated at A (sf)

The ‘A’ (sf) ratings in this transaction reflect the 29.0% of credit enhancement provided by subordination, Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The ratings on the notes also reflect the quality of the underlying assets and the capabilities of JPMorgan Chase Bank, National Association (approximately 76.6%), PHH Mortgage Corporation (approx 15.3%), Select Portfolio Servicing, Inc. (approx 4.5%) and PNC Mortgage (approx 3.6%) as servicers. Citibank, N.A will serve as the indenture trustee. The Bank of New York Mellon and of JPMorgan Chase Bank, National Association will serve as the custodians.

Interest and principal payments collected from the mortgage loans will generally be distributed on the 25th of each month, commencing in December 2010. Interest will be paid to the Class A notes and Class B certificates on a sequential basis. Principal will be paid to the Class A notes and Class B certificates in sequential order until the principal balance has been reduced to zero.

The Trust as of the cut-off date (October 31, 2010) contained 42-month seasoned, mostly first-lien, fixed and adjustable rate mortgages secured by one- to four-family residential properties. The mortgage loans had an aggregate principal balance of approximately $100.4 million, a weighted-average (W.A.) mortgage rate of 6.8%, a W.A average updated FICO score of 720 and a W.A current loan-to-value (LTV) of 94.6%. The current LTV’s were determined using updated broker price opinions (BPO) values. The BPOs were no more than 6 months seasoned as of the cut-off date, and DBRS assumed further market value declines when the borrowers default. As of the cut-off date, 100% of the loans were current under the MBA method. Additionally, 7 loans in the pool had been previously modified. DBRS’s review of pay histories indicated that all borrowers were current in the prior 18 months but over their lifetimes there were approximately 62 loans (representing 15.7% of the pool) where the borrowers had been previously delinquent (mostly 30 days delinquent).

In this transaction, the servicers will not advance any principal and interest payments on delinquent mortgages to the securitization trust. This will likely result in lower loss severities to the bond holders because the advanced interest will not have to be reimbursed from the trust upon the liquidation of the mortgages. Additionally, the coupon on the notes is capped at the actual interest collected on the underlying mortgages less fees. When performing cash flow analysis, DBRS approximated a delinquency curve by front-loading our standard loss timing vectors. Any principal and interest collections were shut off as soon as loans become delinquent, until they are liquidated.

A third party due diligence firm performed a compliance diligence on 100% of the mortgage pool and pay history reviews on 117 loans (approx 25% of anticipated pool). Property valuations were obtained on 100% of the loans in the form of BPOs. Additionally, the diligence firm conducted a review of 117 BPO’s (approx 25% of anticipated pool) to determine if the value provided was reasonable for the subject property. For more details on the diligence, please refer to the offering documents.

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is Rating U.S. Residential Mortgage-Backed Securities Transactions, which can be found on our website under Methodologies.