DBRS Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2019-2

DBRS, Inc. (DBRS) assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2019-2 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2019-2 as follows:

-- $411.3 million Class A-1 at AAA (sf)
-- $385.0 million Class A-2 at AAA (sf)
-- $315.7 million Class A-3 at AAA (sf)
-- $236.8 million Class A-4 at AAA (sf)
-- $78.9 million Class A-5 at AAA (sf)
-- $185.9 million Class A-6 at AAA (sf)
-- $129.8 million Class A-7 at AAA (sf)
-- $50.9 million Class A-8 at AAA (sf)
-- $63.1 million Class A-9 at AAA (sf)
-- $15.8 million Class A-10 at AAA (sf)
-- $69.3 million Class A-11 at AAA (sf)
-- $69.3 million Class A-11-X at AAA (sf)
-- $69.3 million Class A-12 at AAA (sf)
-- $69.3 million Class A-13 at AAA (sf)
-- $26.3 million Class A-14 at AAA (sf)
-- $26.3 million Class A-15 at AAA (sf)
-- $337.3 million Class A-16 at AAA (sf)
-- $74.0 million Class A-17 at AAA (sf)
-- $411.3 million Class A-X-1 at AAA (sf)
-- $411.3 million Class A-X-2 at AAA (sf)
-- $69.3 million Class A-X-3 at AAA (sf)
-- $26.3 million Class A-X-4 at AAA (sf)
-- $5.5 million Class B-1 at AA (sf)
-- $8.8 million Class B-2 at A (sf)
-- $5.0 million Class B-3 at BBB (sf)
-- $3.7 million Class B-4 at BB (sf)
-- $1.1 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 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 6.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.75%, 2.75%, 1.60%, 0.75% and 0.50% 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 729 loans with a total principal balance of $437,535,993 as of the Cut-Off Date (March 1, 2019).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years. Approximately 64.8% of the loans in the pool are conforming mortgage loans originated mostly by JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS), Quicken Loans Inc. (Quicken) and AmeriHome Mortgage Company, LLC (AmeriHome), which were eligible for purchase by Fannie Mae or Freddie Mac. For conforming loans, JPMCB generally delegates underwriting authority to correspondent lenders and does not subsequently review those loans.

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 JPMCB (34.1%), Quicken (18.7%), AmeriHome (13.2%), United Shore Financial Services, LLC (12.44%) and various other originators, each comprising less than 5.0% of the mortgage loans. Approximately 2.84% 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 loans will be serviced or sub-serviced by JPMCB (34.1%), New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (25.1%), Quicken (18.7%), Cenlar FSB (13.2%) and various other servicers, each comprising less than 5.0% of the mortgage loans.

Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS) will act as the Securities Administrator and Delaware Trustee. JPMCB and Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Custodians. 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 a 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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA