DBRS Rates J.P. Morgan Mortgage Trust 2013-2 Mortgage Pass-Through Certificates, Series 2013-2

DBRS, Inc. (DBRS) has assigned the following ratings to the Mortgage Pass-Through Certificates, Series 2013-2 issued by J.P. Morgan Mortgage Trust 2013-2 (the Trust).

-- $ 398.3 million Class A-1ᵉ rated at AAA (sf)
-- $ 398.3 million Class A-2ᵉ rated at AAA (sf)
-- $ 338.5 million Class A-3 rated at AAA (sf)
-- $ 59.7 million Class A-4 rated at AAA (sf)
-- $ 338.5 million Class A-5ᵉ rated at AAA (sf)
-- $ 59.7 million Class A-6ᵉ rated at AAA (sf)
-- $ 13.7 million Class A-M rated at AAA (sf)
-- $ 338.5 million Class A-IO1* rated at AAA (sf)
-- $ 59.7 million Class A-IO2* rated at AAA (sf)
-- $ 398.3 million Class A-IO3ᵉ rated at AAA (sf) -- $ 398.3 million Class A-IO4 rated at AAA (sf)
-- $ 398.3 million Class A-IO5*ᵉ rated at AAA (sf)

• Denotes interest only classes, the class balances represent notional amounts.
  ᵉ Denotes Exchangeable Certificates. These certificates can be exchanged for combinations of Depositable Certificates as specified in offering documents.

The AAA (sf) ratings on the Certificates reflect 6.90% of credit enhancement provided by subordination. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The Certificates are backed by 544 loans with a total principal balance of $442,543,300 as of the Cut-off Date. The mortgage loans were originated or acquired by JPMorgan Chase Bank, N.A. (92.5%), Bank of Manhattan, N.A. (5.7%), Dubuque Bank and Trust Company (0.9%) and Johnson Bank (0.9%).

The loans will be serviced by JPMorgan Chase Bank, N.A. (“JPMCB”), Resurgent Capital, Johnson Bank and Dubuque. The mortgage loans currently serviced by Resurgent Capital are expected to be transferred to JPMCB on or about July 1, 2013. For this transaction, Wells Fargo Bank, N.A. (“Wells Fargo”) will act as the Master Servicer and Securities Administrator.

The ratings on the Certificates reflect transactional strengths that include high quality underlying assets, well qualified borrowers, satisfactory third-party due diligence review and strong representations and warranties counterparties, as well as the capabilities of JPMCB as Servicer on 92.5% of the mortgage pool. Wells Fargo Bank, N.A. will serve as Master Servicer, and U.S. Bank National Association will serve as trustee.

Compared to other post-crisis representations and warranties framework, this transaction employs a relatively weak standard which includes materiality factors, the use of knowledge qualifiers as well as sunset provisions that allow for certain representations to expire within three to six years after the closing date. The framework is perceived by DBRS to be weak and limiting as compared to the traditional life-time representations and warranties standard in previous DBRS-rated securitizations. However, the representations and warranties framework in this transaction does show some improvements from the previous JPMMT 2013-1 transaction with respect to the performance trigger and the definition of fraud as related to the sunset provisions.

To capture the perceived weaknesses in the representations and warranties framework, DBRS adjusted down the origination scores for each of the originators in this pool. In addition, certain originators whose financial strength assessments by DBRS fall below investment grade and who do not benefit from the Mortgage Loan Seller providing representations received further reduction in their origination scores to account for the potential inability to fulfill repurchase obligation. Such adjustments resulted in increases in default and loss rates for the entire pool.

The full description of the representations and warranties framework, the mitigation factors and DBRS’s loss adjustments are detailed in the related rating report.

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

The applicable methodologies are:
• RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology
• Unified Interest Rate Model for U.S. RMBS Transactions
• Third-Party Due Diligence Criteria for U.S. RMBS Transactions
• Representations and Warranties Criteria for U.S. RMBS Transactions
• Legal Criteria for U.S. Structured Finance Transactions

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.