DBRS Rates J.P. Morgan Mortgage Trust 2015-1 Mortgage Pass-Through Certificates, Series 2015-1

DBRS, Inc. (DBRS) has today assigned the following ratings to the Mortgage Pass-Through Certificates, Series 2015-1 issued by J.P. Morgan Mortgage Trust 2015-1 (the Trust):

-- $300.0 million Class 1-A-1 at AAA (sf)
-- $115.8 million Class 1-A-2 at AAA (sf)
-- $150.0 million Class 1-A-3 at AAA (sf)
-- $57.9 million Class 1-A-4 at AAA (sf)
-- $150.0 million Class 1-A-5 at AAA (sf)
-- $57.9 million Class 1-A-6 at AAA (sf)
-- $300.0 million Class 1-A-7 at AAA (sf)
-- $115.8 million Class 1-A-8 at AAA (sf)
-- $150.0 million Class 1-A-9 at AAA (sf)
-- $57.9 million Class 1-A-10 at AAA (sf)
-- $150.0 million Class 1-A-11 at AAA (sf)
-- $57.9 million Class 1-A-12 at AAA (sf)
-- $300.0 million Class 1-A-13 at AAA (sf)
-- $115.8 million Class 1-A-14 at AAA (sf)
-- $150.0 million Class 1-A-15 at AAA (sf)
-- $57.9 million Class 1-A-16 at AAA (sf)
-- $150.0 million Class 1-A-17 at AAA (sf)
-- $57.9 million Class 1-A-18 at AAA (sf)
-- $300.0 million Class 1-A-19 at AAA (sf)
-- $115.8 million Class 1-A-20 at AAA (sf)
-- $150.0 million Class 1-A-21 at AAA (sf)
-- $57.9 million Class 1-A-22 at AAA (sf)
-- $150.0 million Class 1-A-23 at AAA (sf)
-- $57.9 million Class 1-A-24 at AAA (sf)
-- $300.0 million Class 1-AX-1 at AAA (sf)
-- $300.0 million Class 1-AX-2 at AAA (sf)
-- $300.0 million Class 1-AX-3 at AAA (sf)
-- $115.8 million Class 1-AX-4 at AAA (sf)
-- $115.8 million Class 1-AX-5 at AAA (sf)
-- $115.8 million Class 1-AX-6 at AAA (sf)
-- $150.0 million Class 1-AX-7 at AAA (sf)
-- $150.0 million Class 1-AX-8 at AAA (sf)
-- $150.0 million Class 1-AX-9 at AAA (sf)
-- $57.9 million Class 1-AX-10 at AAA (sf)
-- $57.9 million Class 1-AX-11 at AAA (sf)
-- $57.9 million Class 1-AX-12 at AAA (sf)
-- $150.0 million Class 1-AX-13 at AAA (sf)
-- $150.0 million Class 1-AX-14 at AAA (sf)
-- $150.0 million Class 1-AX-15 at AAA (sf)
-- $57.9 million Class 1-AX-16 at AAA (sf)
-- $57.9 million Class 1-AX-17 at AAA (sf)
-- $57.9 million Class 1-AX-18 at AAA (sf)
-- $383.2 million Class 2-A-1 at AAA (sf)
-- $153.3 million Class 2-A-2 at AAA (sf)
-- $229.9 million Class 2-A-3 at AAA (sf)
-- $383.2 million Class 2-A-5 at AAA (sf)
-- $153.3 million Class 2-A-6 at AAA (sf)
-- $229.9 million Class 2-A-7 at AAA (sf)
-- $383.2 million Class 2-A-9 at AAA (sf)
-- $153.3 million Class 2-A-10 at AAA (sf)
-- $229.9 million Class 2-A-11 at AAA (sf)
-- $383.2 million Class 2-A-13 at AAA (sf)
-- $153.3 million Class 2-A-14 at AAA (sf)
-- $229.9 million Class 2-A-15 at AAA (sf)
-- $383.2 million Class 2-AX-4 at AAA (sf)
-- $383.2 million Class 2-AX-5 at AAA (sf)
-- $383.2 million Class 2-AX-6 at AAA (sf)
-- $153.3 million Class 2-AX-7 at AAA (sf)
-- $153.3 million Class 2-AX-8 at AAA (sf)
-- $153.3 million Class 2-AX-9 at AAA (sf)
-- $229.9 million Class 2-AX-10 at AAA (sf)
-- $229.9 million Class 2-AX-11 at AAA (sf)
-- $229.9 million Class 2-AX-12 at AAA (sf)

Class 1-AX-1, Class 1-AX-2, Class 1-AX-3, Class 1-AX-4, Class 1-AX-5, Class 1-AX-6, Class 1-AX-7, Class 1-AX-8, Class 1-AX-9, Class 1-AX-10, Class 1-AX-11, Class 1-AX-12, Class 1-AX-13, Class 1-AX-14, Class 1-AX-15, Class 1-AX-16, Class 1-AX-17, Class 1-AX-18, Class 2-AX-4, Class 2-AX-5, Class 2-AX-6, Class 2-AX-7, Class 2-AX-8, Class 2-AX-9, Class 2-AX-10, Class 2-AX-11, and Class 2-AX-12 are interest-only certificates. The class balances represent notional amounts.

Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4, Class 1-A-5, Class 1-A-6, Class 1-A-7, Class 1-A-8, Class 1-A-9, Class 1-A-10, Class 1-A-11, Class 1-A-12, Class 1-A-13, Class 1-A-14, Class 1-A-15, Class 1-A-16, Class 1-A-17, Class 1-A-18, Class 1-A-19, Class 1-A-20, Class 1-AX-1, Class 1-AX-2, Class 1-AX-3, Class 1-AX-4, Class 1-AX-5, Class 1-AX-6, Class 1-AX-7, Class 1-AX-10, Class 1-AX-13, Class 1-AX-16, Class 2-A-1, Class 2-A-2, Class 2-A-3, Class 2-A-5, Class 2-A-6, Class 2-A-7, Class 2-A-9, Class 2-A-10, Class 2-A-11, Class 2-A-13, Class 2-AX-4, Class 2-AX-5, Class 2-AX-6, Class 2-AX-7, and Class 2-AX-10 are exchangeable certificates. These classes can be exchanged for a combination of base certificates as specified in the offering documents.

Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4, Class 1-A-5, Class 1-A-6, Class 1-A-7, Class 1-A-8, Class 1-A-9, Class 1-A-10, Class 1-A-11, Class 1-A-12, Class 1-A-13, Class 1-A-14, Class 1-A-15, Class 1-A-16, Class 1-A-17, Class 1-A-18, Class 1-A-19, Class 1-A-20, Class 1-A-21, Class 1-A-22, Class 1-A-23, Class 1-A-24, Class 2-A-1, Class 2-A-2, Class 2-A-3, Class 2-A-5, Class 2-A-6, Class 2-A-7, Class 2-A-9, Class 2-A-10, Class 2-A-11, Class 2-A-13, Class 2-A-14, and Class 2-A-15 are super senior certificates. These classes benefit from additional protection from senior support certificates (Class 1-A-25, Class 1-A-26, Class 1-A-27, Class 1-A-28, Class 2-A-4, Class 2-A-8, Class 2-A-12, and Class 2-A-16) with respect to loss allocation.

The AAA (sf) rating on the certificates reflects 15.00% of credit enhancement. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The certificates are backed by 913 loans with a total principal balance of $940,063,592 as of the Cut-off Date (January 1, 2015). The collateral consists of 100.0% first-lien five-year hybrid adjustable rate mortgages (ARM) with a weighted average seasoning of 22 months. Approximately 73.2% of the loans also have interest-only (IO) features.

The mortgage loans were originated and will be serviced by First Republic Bank (FRB). For this transaction, Wells Fargo Bank, N.A. will act as the Master Servicer, Securities Administrator and Custodian. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review.

Compared to other recent prime jumbo securitizations, the JPMMT 2015-1 pool has a high concentration of loans in California, particularly the San Francisco area. Performance of loans that are highly concentrated in a particular region may be more sensitive to any deterioration in economic conditions or the occurrence of a natural disaster in that region, especially coupled with the adjustable rate nature of the underlying loans, which has a higher likelihood of experiencing payment shock relative to their fixed-rate counterparts. In addition to model-calculated pool asset correlation, which was already elevated, DBRS performed additional sensitivity tests by increasing the market value decline assumption for all properties in the San Francisco area by an additional 50% at the AAA-rating level as well as increasing unemployment rates to historical highs when performing our analysis. DBRS’s given expected losses were then adjusted upward to be able to withstand such sensitivity tests. In addition, given the adjustable rate nature of the underlying loans, DBRS also increased expected losses at all rating levels by an additional 10%.

Compared with other post-crisis representations and warranties frameworks, 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 with the traditional lifetime representations and warranties standard in other DBRS-rated securitizations. To capture the perceived weaknesses in the representations and warranties framework, DBRS reduced FRB’s originator score in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities.

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

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

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities 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 and Legal Criteria for U.S. Structured Finance, which can be found on our website under Methodologies.

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 ratings are endorsed by DBRS Ratings Limited for use in the European Union.