Morningstar DBRS Assigns Provisional Credit Ratings to J.P. Morgan Mortgage Trust 2024-CCM1

DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-CCM1 (the Certificates) to be issued by the J.P. Morgan Mortgage Trust 2024-CCM1 (JPMMT 2024-CCM1):

-- $363.9 million Class A-1 at (P) AAA (sf)
-- $325.9 million Class A-2 at (P) AAA (sf)
-- $325.9 million Class A-3 at (P) AAA (sf)
-- $325.9 million Class A-3-X at (P) AAA (sf)
-- $244.4 million Class A-4 at (P) AAA (sf)
-- $244.4 million Class A-4-A at (P) AAA (sf)
-- $244.4 million Class A-4-X at (P) AAA (sf)
-- $81.5 million Class A-5 at (P) AAA (sf)
-- $81.5 million Class A-5-A at (P) AAA (sf)
-- $81.5 million Class A-5-X at (P) AAA (sf)
-- $195.5 million Class A-6 at (P) AAA (sf)
-- $195.5 million Class A-6-A at (P) AAA (sf)
-- $195.5 million Class A-6-X at (P) AAA (sf)
-- $130.4 million Class A-7 at (P) AAA (sf)
-- $130.4 million Class A-7-A at (P) AAA (sf)
-- $130.4 million Class A-7X at (P) AAA (sf)
-- $48.9 million Class A-8 at (P) AAA (sf)
-- $48.9 million Class A-8-A at (P) AAA (sf)
-- $48.9 million Class A-8-X at (P) AAA (sf)
-- $38.0 million Class A-9 at (P) AAA (sf)
-- $38.0 million Class A-9-A at (P) AAA (sf)
-- $38.0 million Class A-9-X at (P) AAA (sf)
-- $363.9 million Class A-X-1 at (P) AAA (sf)
-- $363.9 million Class A-X-2 at (P) AAA (sf)
-- $363.9 million Class A-X-3 at (P) AAA (sf)
-- $363.9 million Class A-X-4 at (P) AAA (sf)
-- $363.9 million Class A-X-5 at (P) AAA (sf)
-- $6.1 million Class B-1 at (P) AA (low) (sf)
-- $6.5 million Class B-2 at (P) A (low) (sf)
-- $3.3 million Class B-3 at (P) BBB (low) (sf)
-- $1.5 million Class B-4 at (P) BB (low) (sf)
-- $575.0 thousand Class B-5 at (P) B (low) (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, A-X-4, and A-X-5 are interest-only (IO) certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-X-1, and A-X-5 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents.

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

The (P) AAA (sf) ratings on the Certificates reflect 5.10% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) ratings reflect 3.50%, 1.80%, 0.95%, 0.55%, and 0.40% of credit enhancement, respectively.

Other than the specified classes above, Morningstar DBRS 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 to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-CCM1 (the Certificates). The Certificates are backed by 301 loans with a total principal balance of $383,428,253 as of the Cut-Off Date (November 1, 2024). This is the first transaction to be issued under the JPMMT CCM shelf.

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 85.2% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 14.8% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) 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 report. In addition, all of the loans in the pool were originated in accordance with the new general qualified mortgage (QM) rule.

CrossCountry Mortgage, LLC is the originator for all of the loans in pool. Shellpoint Mortgage Servicing will act as the Interim Servicer. As of the Servicing Transfer Date (March 1, 2025), all of the loans will be serviced by JPMorgan Chase Bank, N.A.

For this transaction, 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 Morningstar DBRS) 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 incorporates performance triggers and credit enhancement floors.
The credit ratings reflect transactional strengths that include the following:
-- High-quality credit attributes.
-- Well-qualified borrowers.
-- Satisfactory third-party due-diligence review.
-- Structural enhancements.
-- 100% current loans.

The transaction also includes the following challenges:
-- Interim Servicer's financial capabilities.

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

Morningstar DBRS' 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 are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates).

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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. The Morningstar DBRS short-term debt rating scale provides and opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit ratings is

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (September 30, 2024) https://dbrs.morningstar.com/research/440090.

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

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

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

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

This is a solicited credit rating.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit 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://dbrs.morningstar.com/about/methodologies.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024),
https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence and Representations & Warranties Criteria for U.S. RMBS Transactions (September 30, 2024)
https://dbrs.morningstar.com/research/440091
-- Legal Criteria for U.S. Structured Finance (October 28, 2024),
https://dbrs.morningstar.com/research/441840
-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024)
https://dbrs.morningstar.com/research/440086

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.