DBRS Morningstar Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2020-LTV1

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-LTV1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-LTV1:

-- $365.7 million Class A-1 at AAA (sf)
-- $322.7 million Class A-2 at AAA (sf)
-- $238.8 million Class A-3 at AAA (sf)
-- $238.8 million Class A-3-A at AAA (sf)
-- $238.8 million Class A-3-X at AAA (sf)
-- $179.1 million Class A-4 at AAA (sf)
-- $179.1 million Class A-4-A at AAA (sf)
-- $179.1 million Class A-4-X at AAA (sf)
-- $59.7 million Class A-5 at AAA (sf)
-- $59.7 million Class A-5-A at AAA (sf)
-- $59.7 million Class A-5-X at AAA (sf)
-- $154.4 million Class A-6 at AAA (sf)
-- $154.4 million Class A-6-A at AAA (sf)
-- $154.4 million Class A-6-X at AAA (sf)
-- $84.4 million Class A-7 at AAA (sf)
-- $84.4 million Class A-7-A at AAA (sf)
-- $84.4 million Class A-7-X at AAA (sf)
-- $24.7 million Class A-8 at AAA (sf)
-- $24.7 million Class A-8-A at AAA (sf)
-- $27.7 million Class A-8-X at AAA (sf)
-- $44.4 million Class A-9 at AAA (sf)
-- $44.4 million Class A-9-A at AAA (sf)
-- $44.4 million Class A-9-X at AAA (sf)
-- $15.3 million Class A-10 at AAA (sf)
-- $15.3 million Class A-10-A at AAA (sf)
-- $15.3 million Class A-10-X at AAA (sf)
-- $83.9 million Class A-11 at AAA (sf)
-- $83.9 million Class A-11-X at AAA (sf)
-- $83.9 million Class A-12 at AAA (sf)
-- $83.9 million Class A-13 at AAA (sf)
-- $43.0 million Class A-14 at AAA (sf)
-- $43.0 million Class A-15 at AAA (sf)
-- $270.7 million Class A-16 at AAA (sf)
-- $95.1 million Class A-17 at AAA (sf)
-- $365.7 million Class A-X-1 at AAA (sf)
-- $365.7 million Class A-X-2 at AAA (sf)
-- $83.9 million Class A-X-3 at AAA (sf)
-- $43.0 million Class A-X-4 at AAA (sf)
-- $15.9 million Class B-1 at AA (high) (sf)
-- $15.9 million Class B-1-A at AA (high) (sf)
-- $15.9 million Class B-1-X at AA (high) (sf)
-- $17.9 million Class B-2 at A (sf)
-- $17.9 million Class B-2-A at A (sf)
-- $17.9 million Class B-2-X at A (sf)
-- $10.5 million Class B-3 at BBB (high) (sf)
-- $10.5 million Class B-3-A at BBB (high) (sf)
-- $10.5 million Class B-3-X at BBB (high) (sf)
-- $7.1 million Class B-4 at BB (high) (sf)
-- $3.0 million Class B-5 at B (high) (sf)
-- $44.3 million Class B-X at BBB (high) (sf)
-- $3.0 million Class B-5-Y at B (high) (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, and B-X are interest-only notes. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-3-A, A-3-X, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, and B-5-Y are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents.

Classes A-2, A-3, A-3-A, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, 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) rating on the Certificates reflects 15.00% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), A (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) ratings reflect 11.30%, 7.15%, 4.70%, 3.05%, and 2.35% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 645 loans with a total principal balance of $430,287,416 as of the Cut-Off Date (January 1, 2020).

Compared with other postcrisis prime pools, this portfolio consists of higher loan-to-value (LTV) first-lien fully amortizing fixed-rate mortgages with original terms to maturity of up to 30 years. The weighted-average original combined LTV (CLTV) for the portfolio is 88.7%, and almost the entire pool (92.6%) comprises loans with current CLTV ratios greater than 80.0%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as a high FICO score, a low debt-to-income ratio, robust income and reserves, and other strengths detailed in the Key Probability of Default Drivers section of the related presale report.

The mortgage loans were originated by United Shore Financial Services (67.1%); loanDepot.com, LLC (18.1%); Sofi Lending Corp. (7.4%); and various other originators, each comprising less than 2.0% of the mortgage loans. Approximately 1.2% 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 subserviced by Cenlar FSB (60.9%) and NewRez doing business as Shellpoint Mortgage Servicing (SMS; 39.1%). Servicing will be transferred from SMS to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (April 1, 2020, or a later date) as determined by the issuing entity and JPMCB. For this transaction, the servicing fee payable for the mortgage loans 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.

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

The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, a satisfactory third-party due diligence review, structural enhancements, a stronger servicer, and 100%-current loans.

This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, knowledge qualifiers, and some R&W providers that may experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS Morningstar perceives the framework as more limiting than traditional lifetime R&W standards in certain DBRS Morningstar-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS Morningstar reduced certain 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 Morningstar 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 [email protected].

For more information on this credit or on this industry, visit www.dbrs.com or contact us at [email protected].

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