Press Release

DBRS Morningstar Finalizes Provisional Ratings on J.P. Morgan Mortgage Trust 2023-6

RMBS
July 31, 2023

DBRS, Inc. (DBRS Morningstar) finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2023-6 (the Certificates) issued by J.P. Morgan Mortgage Trust 2023-6 (JPMMT 2023-6):

-- $349.6 million Class A-1 at AAA (sf)
-- $262.2 million Class A-2 at AAA (sf)
-- $262.2 million Class A-2-A at AAA (sf)
-- $262.2 million Class A-2-X at AAA (sf)
-- $87.4 million Class A-3 at AAA (sf)
-- $196.7 million Class A-4 at AAA (sf)
-- $65.6 million Class A-4-A at AAA (sf)
-- $196.7 million Class A-4-B at AAA (sf)
-- $262.2 million Class A-4-C at AAA (sf)
-- $196.7 million Class A-4-X at AAA (sf)
-- $65.6 million Class A-5 at AAA (sf)
-- $21.9 million Class A-5-A at AAA (sf)
-- $65.6 million Class A-5-B at AAA (sf)
-- $87.4 million Class A-5-C at AAA (sf)
-- $65.6 million Class A-5-X at AAA (sf)
-- $25.3 million Class A-6 at AA (high) (sf)
-- $8.4 million Class A-6-A at AA (high) (sf)
-- $383.3 million Class A-X-1 at AA (high) (sf)
-- $9.5 million Class B-1 at AA (low) (sf)
-- $7.2 million Class B-2 at A (low) (sf)
-- $4.9 million Class B-3 at BBB (low) (sf)
-- $2.7 million Class B-4 at BB (high) (sf)
-- $2.1 million Class B-5 at B (low) (sf)

Classes A-2-X, A-4-X, A-5-X, and A-X-1 are interest-only (IO) certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-2-A, A-2-X, A-3, A-4, A-4-C, A-5, and A-5-C are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents.

Classes A-1, A-2, A-2-A, A-3, A-4, A-4-A, A-4-B, A-4-C, A-5, A-5-A, A-5-B, and A-5-C are super senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-6 and A-6-A certificates) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 15.00% of credit enhancement provided by subordinated certificates. The AA (high) (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (high) (sf), and B (low) (sf) ratings reflect 6.80%, 4.50%, 2.75%, 1.55%, 0.90%, and 0.40% 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 338 loans with a total principal balance of $411,315,203 as of the Cut-Off Date (July 1, 2023).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of five months. Approximately 96.0% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 4.10% of the pool are conforming 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. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related Presale Report. In addition, all of the loans in the pool were originated in accordance with the new general qualified mortgage rule.

United Wholesale Mortgage, LLC originated 49.0% of the pool. Various other originators, each comprising less than 15%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by Cenlar FSB (49.0%), JP Morgan Chase Bank (JPMCB; 46.0%), and loanDepot.com, LLC (5.0%). For the JPMCB-serviced loans, Shellpoint Mortgage Servicing (Shellpoint or SMS) will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2023).

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 precrisis structure.

DBRS Morningstar’s credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates).

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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/416784 (July 4, 2023).

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

The principal methodology applicable to the rating 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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit 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
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
https://www.dbrsmorningstar.com/research/415687
-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 11, 2020),
https://www.dbrsmorningstar.com/research/366613
-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023),
https://www.dbrsmorningstar.com/research/414076
-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008
-- Operational Risk Assessment for U.S. RMBS Originators (July 17, 2023),
https://www.dbrsmorningstar.com/research/417275
-- Operational Risk Assessment for U.S. RMBS Servicers (July 17, 2023),
https://www.dbrsmorningstar.com/research/417276

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

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.