DBRS Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2019-LTV1

DBRS, Inc. (DBRS) assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2019-LTV1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2019-LTV1 as follows:

-- $322.4 million Class A-1 at AAA (sf)
-- $293.1 million Class A-2 at AAA (sf)
-- $222.7 million Class A-3 at AAA (sf)
-- $167.0 million Class A-4 at AAA (sf)
-- $55.7 million Class A-5 at AAA (sf)
-- $139.0 million Class A-6 at AAA (sf)
-- $83.7 million Class A-7 at AAA (sf)
-- $28.0 million Class A-8 at AAA (sf)
-- $44.5 million Class A-9 at AAA (sf)
-- $11.2 million Class A-10 at AAA (sf)
-- $70.3 million Class A-11 at AAA (sf)
-- $70.3 million Class A-11-X at AAA (sf)
-- $70.3 million Class A-12 at AAA (sf)
-- $70.3 million Class A-13 at AAA (sf)
-- $29.3 million Class A-14 at AAA (sf)
-- $29.3 million Class A-15 at AAA (sf)
-- $245.0 million Class A-16 at AAA (sf)
-- $77.4 million Class A-17 at AAA (sf)
-- $322.4 million Class A-X-1 at AAA (sf)
-- $322.4 million Class A-X-2 at AAA (sf)
-- $70.3 million Class A-X-3 at AAA (sf)
-- $29.3 million Class A-X-4 at AAA (sf)
-- $11.7 million Class B-1 at AA (sf)
-- $10.6 million Class B-2 at A (sf)
-- $8.8 million Class B-3 at BBB (sf)
-- $7.0 million Class B-4 at BB (sf)
-- $2.6 million Class B-5 at B (sf)

Classes A-11-X, A-X-1, A-X-2, A-X-3 and A-X-4 are interest-only (IO) notes. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-12, A-13, A-14, A-16, A-17, A-X-2 and A-X-3 are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates, as specified in the offering documents.

Classes A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12 and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect the 12.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 8.80%, 5.90%, 3.50%, 1.60% and 0.90% of credit enhancement, respectively.

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

The Certificates are backed by 585 loans with a total principal balance of $366,319,629 as of the Cut-Off Date (February 1, 2019).

Compared with other post-crisis prime pools, this portfolio consists of higher loan-to-value (LTV) fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined LTV (CLTV) for the portfolio is 87.5%, and almost the entire pool (98.5%) comprises loans with current CLTV ratios greater than 79.0%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO, low debt-to-income (DTI) ratio, robust income and reserves, as well as other default drivers.

Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report.

The originators for the aggregate mortgage pool are United Shore Financial Services (60.6%), SoFi Lending Corp. (10.6%) and various other originators, each comprising less than 5.0% of the mortgage loans. Approximately 8.0% of the loans sold to the mortgage loan seller were acquired by MaxEx Clearing LLC, which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators.

The mortgage loans will be serviced or sub-serviced by NewRez, LLC (formerly known as New Penn Financial, LLC) doing business as Shellpoint Mortgage Servicing (SMS). Servicing will be transferred to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS) from SMS on the servicing transfer date (April 1, 2019, or a later date) as determined by the issuing entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by SMS (and subsequently serviced by JPMCB) is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities.

Wells Fargo Bank, N.A. (rated AA with a Stable trend 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, some unrated R&W providers, 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 scores 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 methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

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

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.

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