DBRS Morningstar Finalizes Provisional Ratings on J.P. Morgan Mortgage Trust 2021-11

DBRS, Inc. (DBRS Morningstar) finalized the provisional ratings on the Mortgage Pass-Through Certificates, Series 2021-11 (the Certificates) issued by J.P. Morgan Mortgage Trust 2021-11 (the Issuer) as follows:

-- $1516.1 million Class A-1 at AAA (sf)
-- $1419.4 million Class A-2 at AAA (sf)
-- $1249.0 million Class A-3 at AAA (sf)
-- $1249.0 million Class A-3-A at AAA (sf)
-- $1249.0 million Class A-3-X at AAA (sf)
-- $936.8 million Class A-4 at AAA (sf)
-- $936.8 million Class A-4-A at AAA (sf)
-- $936.8 million Class A-4-X at AAA (sf)
-- $312.3 million Class A-5 at AAA (sf)
-- $312.3 million Class A-5-A at AAA (sf)
-- $312.3 million Class A-5-B at AAA (sf)
-- $312.3 million Class A-5-X at AAA (sf)
-- $751.6 million Class A-6 at AAA (sf)
-- $751.6 million Class A-6-A at AAA (sf)
-- $751.6 million Class A-6-X at AAA (sf)
-- $497.5 million Class A-7 at AAA (sf)
-- $497.5 million Class A-7-A at AAA (sf)
-- $497.5 million Class A-7-B at AAA (sf)
-- $497.5 million Class A-7-X at AAA (sf)
-- $185.2 million Class A-8 at AAA (sf)
-- $185.2 million Class A-8-A at AAA (sf)
-- $185.2 million Class A-8-X at AAA (sf)
-- $80.1 million Class A-9 at AAA (sf)
-- $80.1 million Class A-9-A at AAA (sf)
-- $80.1 million Class A-9-X at AAA (sf)
-- $232.1 million Class A-10 at AAA (sf)
-- $232.1 million Class A-10-A at AAA (sf)
-- $232.1 million Class A-10-X at AAA (sf)
-- $170.3 million Class A-11 at AAA (sf)
-- $170.3 million Class A-11-X at AAA (sf)
-- $170.3 million Class A-11-A at AAA (sf)
-- $170.3 million Class A-11-AI at AAA (sf)
-- $170.3 million Class A-11-B at AAA (sf)
-- $170.3 million Class A-11-BI at AAA (sf)
-- $170.3 million Class A-12 at AAA (sf)
-- $170.3 million Class A-13 at AAA (sf)
-- $96.8 million Class A-14 at AAA (sf)
-- $96.8 million Class A-15 at AAA (sf)
-- $96.8 million Class A-15-A at AAA (sf)
-- $96.8 million Class A-15-X at AAA (sf)
-- $1334.2 million Class A-16 at AAA (sf)
-- $181.9 million Class A-17 at AAA (sf)
-- $1516.1 million Class A-X-1 at AAA (sf)
-- $1516.1 million Class A-X-2 at AAA (sf)
-- $170.3 million Class A-X-3 at AAA (sf)
-- $96.8 million Class A-X-4 at AAA (sf)
-- $45.2 million Class B-1 at AA (sf)
-- $45.2 million Class B-1-A at AA (sf)
-- $45.2 million Class B-1-X at AA (sf)
-- $13.7 million Class B-2 at A (sf)
-- $13.7 million Class B-2-A at A (sf)
-- $13.7 million Class B-2-X at A (sf)
-- $17.7 million Class B-3 at BBB (sf)
-- $4.0 million Class B-4 at BB (sf)
-- $7.3 million Class B-5 at B (sf)

Class 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-11-AI, A-11-BI, A-15-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, and B-2-X certificates are interest-only certificates. The class balances represent notional amounts.

Class 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-B, A-5-X, A-6, A-7, A-7-A, A-7-B, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-15, A-16, A-17, A-X-2, A-X-3, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 3.20%, 2.35%, 1.25%, 1.00%, and 0.55% of credit enhancement, respectively.

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

This securitization is a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,722 loans with a total principal balance of $1,612,922,608 as of the Cut-Off Date (August 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. Approximately 5.8% of the loans in the pool are conforming mortgage loans predominantly originated by loanDepot.com, LLC, which were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the presale report.

The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM) (65.3%), loanDepot.com, LLC (16.8%) (loanDepot), and various other originators, each comprising less than 10% of the pool. Also, approximately 1.1% of the loans by balance were acquired by the Seller from MAXEX Clearing LLC (MAXEX). The mortgage loans will be serviced by UWM (65.3%), JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) (17.8%), and loanDepot.com, LLC (16.8%), and various other servicers and subservicers each comprising less than 1.0% of the pool. For UWM and loanDepot-serviced loans, the subservicer is Cenlar FSB (Cenlar). For JPMCB serviced loans, the subservicer is Shellpoint Mortgage Servicing (SMS).

Servicing will be transferred from SMS to JPMCB on the servicing transfer date (October 1, 2021, or a later date) as determined by the Issuer and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by JPMCB, loanDepot, SMS, and UWM 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.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

As of the Cut-Off Date, none of the loans are currently subject to a coronavirus-related forbearance plan. In the event a borrower requests or enters into a coronavirus-related forbearance plan after the Cut-Off Date but prior to the Closing Date, the Mortgage Loan Seller will remove such loan from the mortgage pool and remit the related Closing Date substitution amount. Loans that enter a coronavirus-related forbearance plan after the Closing Date will remain in the pool.

Coronavirus Pandemic Impact
The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many residential mortgage-backed securities (RMBS) asset classes shortly after the onset of the pandemic.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available and it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its moderate scenario (see “Global Macroeconomic Scenarios - June 2021 Update,” published on June 18, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

For more information regarding rating methodologies and the coronavirus, please see the following DBRS Morningstar press releases and commentary: “DBRS Morningstar Provides Update on Rating Methodologies in Light of Measures to Contain Coronavirus Disease (COVID-19),” dated March 12, 2020; “DBRS Morningstar Global Structured Finance Rating Methodologies and Coronavirus Disease (COVID-19),” dated March 20, 2020; and “Global Macroeconomic Scenarios - June 2021 Update,” dated June 18, 2021.

The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, financial strength of the counterparties, structural enhancements, and 100% current loans.

The ratings reflect transactional weaknesses that include the representations and warranties framework and a limited third-party due-diligence review.

The full description of the strengths, challenges, and mitigating factors is detailed in the related Rating Report.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is the RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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.dbrsmorningstar.com or contact us at [email protected].

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