DBRS Assigns Ratings to J.P. Morgan Resecuritization Trust, Series 2015-1

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

-- $49.0 million Class 1-A-1 at A (sf)
-- $6.0 million Class 1-A-2 at BBB (sf)
-- $11.5 million Class 2-A at BBB (sf)
-- $37.3 million Class 3-A-1 at BBB (sf)
-- $5.2 million Class 3-A-2 at BBB (sf)
-- $10.0 million Class 5-A-1 at BBB (sf)
-- $7.5 million Class 5-A-2 at BBB (sf)
-- $17.5 million Class 5-A-3 at BBB (sf)

There are six groups in this resecuritization trust. DBRS rates securities from groups 1, 2, 3 and 5, each consisting of one seasoned senior residential mortgage-backed security (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 March 2015. 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.

Within Groups 2 and 5, the underlying securities do not provide for a reduction of the principal balance of such securities if there are any losses on the underlying mortgage loans, which may result in the undercollateralization of the outstanding class certificate balance. Within Groups 1 and 3, realized losses from the underlying security will be allocated in reverse sequential order until class principal balances have been reduced to zero.

Each DBRS-rated group is a resecuritization of one seasoned senior RMBS, represented by a real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of seasoned Option ARMs and subprime residential mortgage loans.

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. The ratings do not address the likelihood or effect of the payment of any Carry-forward Interest, the effect on the securities’ yield attributable to prepayments or recoveries on the underlying mortgage loans or any extraordinary expenses incurred by the Issuing Entity.

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 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.

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (December 2014), which can be found on our website under Methodologies.