DBRS Morningstar Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2020-INV1

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-INV1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-INV1:

-- $422.3 million Class A-1 at AAA (sf)
-- $384.0 million Class A-2 at AAA (sf)
-- $291.8 million Class A-3 at AAA (sf)
-- $291.8 million Class A-3-A at AAA (sf)
-- $291.8 million Class A-3-X at AAA (sf)
-- $218.9 million Class A-4 at AAA (sf)
-- $218.9 million Class A-4-A at AAA (sf)
-- $218.9 million Class A-4-X at AAA (sf)
-- $73.0 million Class A-5 at AAA (sf)
-- $73.0 million Class A-5-A at AAA (sf)
-- $73.0 million Class A-5-X at AAA (sf)
-- $182.5 million Class A-6 at AAA (sf)
-- $182.5 million Class A-6-A at AAA (sf)
-- $182.5 million Class A-6-X at AAA (sf)
-- $109.3 million Class A-7 at AAA (sf)
-- $109.3 million Class A-7-A at AAA (sf)
-- $109.3 million Class A-7-X at AAA (sf)
-- $36.4 million Class A-8 at AAA (sf)
-- $36.4 million Class A-8-A at AAA (sf)
-- $36.4 million Class A-8-X at AAA (sf)
-- $49.6 million Class A-9 at AAA (sf)
-- $49.6 million Class A-9-A at AAA (sf)
-- $49.6 million Class A-9-X at AAA (sf)
-- $23.3 million Class A-10 at AAA (sf)
-- $23.3 million Class A-10-A at AAA (sf)
-- $23.3 million Class A-10-X at AAA (sf)
-- $92.1 million Class A-11 at AAA (sf)
-- $92.1 million Class A-11-X at AAA (sf)
-- $92.1 million Class A-12 at AAA (sf)
-- $92.1 million Class A-13 at AAA (sf)
-- $38.4 million Class A-14 at AAA (sf)
-- $38.4 million Class A-15 at AAA (sf)
-- $321.0 million Class A-16 at AAA (sf)
-- $101.4 million Class A-17 at AAA (sf)
-- $422.3 million Class A-X-1 at AAA (sf)
-- $422.3 million Class A-X-2 at AAA (sf)
-- $92.1 million Class A-X-3 at AAA (sf)
-- $38.4 million Class A-X-4 at AAA (sf)
-- $19.7 million Class B-1 at AA (low) (sf)
-- $19.7 million Class B-1-A at AA (low) (sf)
-- $19.7 million Class B-1-X at AA (low) (sf)
-- $12.7 million Class B-2 at A (low) (sf)
-- $12.7 million Class B-2-A at A (low) (sf)
-- $12.7 million Class B-2-X at A (low) (sf)
-- $9.8 million Class B-3 at BBB (low) (sf)
-- $9.8 million Class B-3-A at BBB (low) (sf)
-- $9.8 million Class B-3-X at BBB (low) (sf)
-- $6.2 million Class B-4 at BB (sf)
-- $1.9 million Class B-5 at B (high) (sf)
-- $42.2 million Class B-X at BBB (low) (sf)
-- $1.9 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 12.00% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (high) (sf) ratings reflect 7.90%, 5.25%, 3.20%, 1.90%, and 1.50% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate investment-property residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,320 loans with a total principal balance of $479,967,349 as of the Cut-Off Date (February 1, 2020).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of up to 30 years. Approximately 98.0% of loans are conforming mortgages made to investors for business or commercial purposes. Consequently, most of the pool (72.5%) is not subject to the Qualified Mortgage and Ability-to-Repay rules. In addition, 38 borrowers have multiple mortgages (82 loans in total) included in the securitized portfolio. About 98.0% of the mortgage loans in the portfolio were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of loans can be found in the Key Probability of Default Drivers section in the related presale report.

The originators for the aggregate mortgage pool are United Shore Financial Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage (48.2%), AmeriHome Mortgage Company, LLC (28.8%), JPMorgan Chase Bank, N.A. (JPMCB; 12.6%), and various other originators, each comprising less than 2.1% of the mortgage loans. Approximately 1.06% 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 Cenlar FSB (77.0%), JPMCB (12.6%), NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS; 9.0%), and Quicken Loans, Inc. (1.4%).

Servicing will be transferred from SMS to 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 mortgage loans serviced by JPMCB and SMS (which will be 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.

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, JPMCB, and Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as Custodians. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) Reviewer.

The Seller intends to retain (directly or through a majority-owned affiliate) a vertical interest in 5% of the principal amount or notional amount of all the senior and subordinate certificates to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder.

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 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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