DBRS Morningstar Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2020-3

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2020-3 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2020-3:

-- $559.3 million Class A-1 at AAA (sf)
-- $523.6 million Class A-2 at AAA (sf)
-- $481.7 million Class A-3 at AAA (sf)
-- $481.7 million Class A-3-A at AAA (sf)
-- $481.7 million Class A-3-X at AAA (sf)
-- $361.3 million Class A-4 at AAA (sf)
-- $361.3 million Class A-4-A at AAA (sf)
-- $361.3 million Class A-4-X at AAA (sf)
-- $120.4 million Class A-5 at AAA (sf)
-- $120.4 million Class A-5-A at AAA (sf)
-- $120.4 million Class A-5-X at AAA (sf)
-- $286.5 million Class A-6 at AAA (sf)
-- $286.5 million Class A-6-A at AAA (sf)
-- $286.5 million Class A-6-X at AAA (sf)
-- $195.2 million Class A-7 at AAA (sf)
-- $195.2 million Class A-7-A at AAA (sf)
-- $195.2 million Class A-7-X at AAA (sf)
-- $74.7 million Class A-8 at AAA (sf)
-- $74.7 million Class A-8-A at AAA (sf)
-- $74.7 million Class A-8-X at AAA (sf)
-- $38.7 million Class A-9 at AAA (sf)
-- $38.7 million Class A-9-A at AAA (sf)
-- $38.7 million Class A-9-X at AAA (sf)
-- $81.7 million Class A-10 at AAA (sf)
-- $81.7 million Class A-10-A at AAA (sf)
-- $81.7 million Class A-10-X at AAA (sf)
-- $41.9 million Class A-11 at AAA (sf)
-- $41.9 million Class A-11-X at AAA (sf)
-- $41.9 million Class A-12 at AAA (sf)
-- $41.9 million Class A-13 at AAA (sf)
-- $35.7 million Class A-14 at AAA (sf)
-- $35.7 million Class A-15 at AAA (sf)
-- $514.6 million Class A-16 at AAA (sf)
-- $44.7 million Class A-17 at AAA (sf)
-- $559.3 million Class A-X-1 at AAA (sf)
-- $559.3 million Class A-X-2 at AAA (sf)
-- $41.9 million Class A-X-3 at AAA (sf)
-- $35.7 million Class A-X-4 at AAA (sf)
-- $10.4 million Class B-1 at AA (sf)
-- $10.4 million Class B-1-A at AA (sf)
-- $10.4 million Class B-1-X at AA (sf)
-- $8.6 million Class B-2 at A (sf)
-- $8.6 million Class B-2-A at A (sf)
-- $8.6 million Class B-2-X at A (sf)
-- $7.4 million Class B-3 at BBB (sf)
-- $7.4 million Class B-3-A at BBB (sf)
-- $7.4 million Class B-3-X at BBB (sf)
-- $3.6 million Class B-4 at BB (sf)
-- $1.8 million Class B-5 at B (high) (sf)
-- $26.5 million Class B-X at BBB (sf)
-- $1.8 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 6.00% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf), and B (high) (sf) ratings reflect 4.25%, 2.80%, 1.55%, 0.95%, and 0.65% 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 prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 806 loans with a total principal balance of $595,006,943 as of the Cut-Off Date (March 1, 2020).

The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of up to 30 years. Approximately 35.0% of the loans in the pool are conforming mortgage loans predominantly originated by United Shore Financial Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage (USFS), LoanDepot.com, LLC, LendUS, LLC, Bay Equity, LLC, Guaranteed Rate, Inc. and Primary Residential Mortgage Inc., which were eligible for purchase by Fannie Mae or Freddie Mac. JP Morgan Chase Bank (JPMCB) generally delegates conforming loan underwriting authority to correspondent lenders and does not subsequently review those loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section.

The originators for the aggregate mortgage pool are United Shore Financial Services (USFS, 75.6%), loanDepot.com (12.6%), LendUS (1.1%), and various other originators that each comprise less than 2.0% of the mortgage loans. Approximately 4.5% of the loans sold to the mortgage loan seller were acquired by MAXEX Clearing LLC (MaxEx), which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators.

Cenlar FSB (Cenlar; 87.1%), NewRez doing business as Shellpoint Mortgage Servicing (SMS, 12.5%), and Dovenmuehle Mortgage Inc. (Dovenmuehle; 0.4%) will service or subservice the mortgage loans.

Servicing will be transferred from SMS to JPMCB (rated AA with a Stable trend by DBRS Morningstar) on the servicing transfer date (June 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 (Pentalpha) 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 the following:
-- High-quality credit attributes
-- Well-qualified borrowers
-- Satisfactory third-party due diligence review
-- Structural enhancements
-- Strong servicer
-- 100% current loans

The transaction also includes the following challenges:
-- Representations and warranties framework
-- Entities lacking financial strength or securitization history
-- Interim servicer financial capabilities

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 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/.

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 info@dbrsmorningstar.com.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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