DBRS Assigns Ratings to J.P. Morgan Resecuritization Trust, Series 2014-4

DBRS has today assigned the following ratings to the Trust Certificates issued by J.P. Morgan Resecuritization Trust, Series 2014-4 (the Trust).

-- $6.8 million Class 1-A at BBB (sf)
-- $18.2 million Class 2-A at BBB (sf)

There are two groups in this resecuritization trust. DBRS rates securities from both groups, which consist of one or two seasoned senior residential mortgage-backed securities (RMBS). The ratings on the securities reflect the credit support within the groups and the quality of the underlying assets.

Other than the specified classes above, DBRS does not rate any other securities in this transaction.

Interest and principal payments on the securities will be made on the business day following the underlying distribution date (generally the 25th day of each month), commencing in August 2014. Interest payments will be distributed sequentially to the securities. Principal payments will be distributed sequentially until the principal balances thereof have been reduced to zero.

No allocation of realized losses will be made to the offered securities. Any realized losses on the mortgage loans do not result in principal writedowns of the underlying securities, which may result in the undercollateralization of the outstanding class certificate balance.

The Trust is a resecuritization consisting of one or two senior RMBS represented by a real estate mortgage investment conduit (REMIC). The REMICs are backed by a pool of seasoned Alt-A, adjustable-rate, first lien, one- to four-family residential mortgages.

The ratings assigned to the offered securities address (i) the likelihood of the receipt by securityholders of all principal distributions to which such securityholders are entitled and (ii) the likelihood of the receipt by securityholders of the amount of interest actually received by the trust to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the trust may have been reduced as a result of any interest shortfalls allocated to the related underlying securities or any other cause, and as such interest entitlement may be further reduced by the allocation of extraordinary expenses). For more details on the ratings, please refer to the offering and transaction legal documents.

DBRS ReREMIC Methodology Excerpt
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities. In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust to make the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

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

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on our website under Methodologies.

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

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.

DBRS’s rating definitions and the terms of use of such ratings are available at www.dbrs.com.