DBRS Morningstar Finalizes Provisional Ratings on J.P. Morgan Mortgage Trust 2023-4

DBRS, Inc. (DBRS Morningstar) finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2023-4 (the Certificates) issued by J.P. Morgan Mortgage Trust 2023-4 (JPMMT 2023-4):

-- $223.4 million Class 1-A-2 at AAA (sf)
-- $223.4 million Class 1-A-3 at AAA (sf)
-- $223.4 million Class 1-A-3-X at AAA (sf)
-- $167.5 million Class 1-A-4 at AAA (sf)
-- $167.5 million Class 1-A-4-A at AAA (sf)
-- $167.5 million Class 1-A-4-X at AAA (sf)
-- $55.8 million Class 1-A-5 at AAA (sf)
-- $55.8 million Class 1-A-5-A at AAA (sf)
-- $55.8 million Class 1-A-5-X at AAA (sf)
-- $134.0 million Class 1-A-6 at AAA (sf)
-- $134.0 million Class 1-A-6-A at AAA (sf)
-- $134.0 million Class 1-A-6-X at AAA (sf)
-- $89.3 million Class 1-A-7 at AAA (sf)
-- $89.3 million Class 1-A-7-A at AAA (sf)
-- $89.3 million Class 1-A-7-X at AAA (sf)
-- $67.0 million Class 1-A-8 at AAA (sf)
-- $67.0 million Class 1-A-8-A at AAA (sf)
-- $67.0 million Class 1-A-8-X at AAA (sf)
-- $122.8 million Class 1-A-9 at AAA (sf)
-- $122.8 million Class 1-A-9-A at AAA (sf)
-- $122.8 million Class 1-A-9-X at AAA (sf)
-- $100.5 million Class 1-A-10 at AAA (sf)
-- $100.5 million Class 1-A-10-A at AAA (sf)
-- $100.5 million Class 1-A-10-X at AAA (sf)
-- $33.5 million Class 1-A-11 at AAA (sf)
-- $33.5 million Class 1-A-11-A at AAA (sf)
-- $33.5 million Class 1-A-11-X at AAA (sf)
-- $33.5 million Class 1-A-12 at AAA (sf)
-- $33.5 million Class 1-A-12-A at AAA (sf)
-- $33.5 million Class 1-A-12-X at AAA (sf)
-- $17.1 million Class 1-A-13 at AAA (sf)
-- $17.1 million Class 1-A-13-A at AAA (sf)
-- $17.1 million Class 1-A-13-X at AAA (sf)
-- $240.4 million Class 1-A-X-1 at AAA (sf)
-- $160.4 million Class 2-A-2 at AAA (sf)
-- $160.4 million Class 2-A-3 at AAA (sf)
-- $160.4 million Class 2-A-3-X at AAA (sf)
-- $120.3 million Class 2-A-4 at AAA (sf)
-- $120.3 million Class 2-A-4-A at AAA (sf)
-- $120.3 million Class 2-A-4-X at AAA (sf)
-- $40.1 million Class 2-A-5 at AAA (sf)
-- $40.1 million Class 2-A-5-A at AAA (sf)
-- $40.1 million Class 2-A-5-X at AAA (sf)
-- $12.3 million Class 2-A-6 at AAA (sf)
-- $12.3 million Class 2-A-6-A at AAA (sf)
-- $12.3 million Class 2-A-6-X at AAA (sf)
-- $172.7 million Class 2-A-X-1 at AAA (sf)
-- $14.2 million Class B-1 at AA (low) (sf)
-- $9.0 million Class B-2 at A (low) (sf)
-- $7.0 million Class B-3 at BBB (low) (sf)
-- $4.3 million Class B-4 at BB (low) (sf)
-- $2.0 million Class B-5 at B (low) (sf)

Classes 1-A-3-X, 1-A-4-X, 1-A-5-X, 1-A-6-X, 1-A-7-X, 1-A-8-X, 1-A-9-X, 1-A-10-X, 1-A-11-X, 1-A-12-X, 1-A-13-X, 1-A-X-1, 2-A-3-X, 2-A-4-X, 2-A-5-X, 2-A-6-X, and 2-A-X-1 are interest-only certificates. The class balances represent notional amounts.

Classes 1-A-5-A, 1-A-5-X, 1-A-10-A, 1-A-10-X, 1-A-11-A, 1-A-11-X, 1-A-12-A, 1-A-12-X, 1-A-13-A, 1-A-13-X, 1-A-X-1, 2-A-4-A, 2-A-4-X, 2-A-5-A, 2-A-5-X, 2-A-6-A, 2-A-6-X, and 2-A-X-1 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes 1-A-2, 1-A-3, 1-A-4, 1-A-4-A, 1-A-5, 1-A-5-A, 1-A-6, 1-A-7, 1-A-7-A, 1-A-8, 1-A-8-A, 1-A-9, 1-A-9-A, 1-A-10, 1-A-10-A, 1-A-11, 1-A-11-A, 1-A-12, 1-A-12-A, 2-A-2, 2-A-3, 2-A-4, 2-A-4-A, 2-A-5, and 2-A-5-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (1-A-13, 1-A-13-A, 2-A-6, and 2-A-6-A certificates) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 8.50% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 5.35%, 3.35%, 1.80%, 0.85%, and 0.40% of credit enhancement, respectively.

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

The 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 626 loans with a total principal balance of $451,473,478 as of the Cut-Off Date (May 1, 2023).

The transaction has two groups of loans, Pool 1 and Pool 2. Both pools consist of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of four months. Pool 1 is made up of 100% owner-occupied loans, and Pool 2 is made up of 100% loans for second homes. Approximately 68.9% of the loans are traditional nonagency, prime jumbo mortgage loans. The remaining 31.1% of the pool are mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. In addition, 94.4% of the pool was originated in accordance with the new general Qualified Mortgage rule.

The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (52.5%) and various other originators, each comprising less than 15% of the pool. The mortgage loans will be subserviced by Cenlar FSB (52.5%), and serviced by NewRez LLC formerly known as New Penn Financial, LLC doing business as Shellpoint Mortgage Servicing (28.1%), and various other servicers and subservicers, each comprising less than 10% of the pool.

For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the 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. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. However, in contrast to recent JPMMT securitizations, JPMMT 2023-4 has two groups of senior certificates. The Pool 1 and Pool 2 senior certificates are backed by collateral from each respective pool. The subordinate certificates will be cross-collateralized between the two pools. This is generally known as Y-Structure.

The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, “Baseline Macroeconomic Scenarios for Rated Sovereigns: April 2023 Update,” dated April 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

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

The principal methodology applicable to the ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410473).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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].

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023),
https://www.dbrsmorningstar.com/research/413297/assessing-us-rmbs-pools-under-the-ability-to-repay-rules

-- Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022),
https://www.dbrsmorningstar.com/research/402153/interest-rate-stresses-for-us-structured-finance-transactions

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 11, 2020),
https://www.dbrsmorningstar.com/research/366613/third-party-due-diligence-criteria-for-us-rmbs-transactions

-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023),
https://www.dbrsmorningstar.com/research/414076/representations-and-warranties-criteria-for-us-rmbs-transactions

-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

-- Operational Risk Assessment for U.S. RMBS Originators (November 23, 2022),
https://www.dbrsmorningstar.com/research/405664/operational-risk-assessment-for-us-rmbs-originators

-- Operational Risk Assessment for U.S. RMBS Servicers (November 23, 2022),
https://www.dbrsmorningstar.com/research/405665/operational-risk-assessment-for-us-rmbs-servicers

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