DBRS Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2018-7FRB

DBRS, Inc. (DBRS) assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2018-7FRB (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2018-7FRB as follows:

-- $465.9 million Class A-1 at AAA (sf)
-- $465.9 million Class A1-IO at AAA (sf)
-- $465.9 million Class A-1A at AAA (sf)
-- $441.4 million Class A-2 at AAA (sf)
-- $441.4 million Class A2-IO at AAA (sf)
-- $441.4 million Class A-2A at AAA (sf)
-- $24.5 million Class A-3 at AAA (sf)
-- $24.5 million Class A3-IO at AAA (sf)
-- $24.5 million Class A-3A at AAA (sf)

Classes A1-IO, A2-IO and A3-IO are interest-only notes. The class balances represent notional amounts.

Classes A1, A1-IO, A-1A. A-2A and A-3A are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates, as specified in the offering documents.

Class A-2 is a super-senior certificate. This class benefits from additional protection from the senior support certificate (Classes A-3 and A-3A) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect the 5.00% of credit enhancement provided by subordinated certificates in the pool.

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

The Certificates are backed by 506 loans with a total principal balance of $490,473,270 as of the Cut-Off Date (June 1, 2018).

First Republic Bank is the originator and servicer of the mortgage loans. The pool consists of performing adjustable-rate mortgages seasoned approximately 85 months. All the loans have been current since origination.

J.P. Morgan Mortgage Acquisition Corp. is the sponsor of the transaction. Wells Fargo Bank, N.A. (rated AA by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer.

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.

This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS reduced the 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 strengths, challenges and mitigating factors is detailed in the related presale report.

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

The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance 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, Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules, Operational Risk Assessment for U.S. RMBS Originators and Operational Risk Assessment for U.S. RMBS Servicers, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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