DBRS Morningstar Finalizes Provisional Ratings on J.P. Morgan Mortgage Trust 2022-5

DBRS, Inc. (DBRS Morningstar) finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-5 (the Certificates) issued by J.P. Morgan Mortgage Trust 2022-5 (JPMMT 2022-5):

-- $876.4 million Class A-1 at AAA (sf)
-- $876.4 million Class A-2 at AAA (sf)
-- $876.4 million Class A-2-A at AAA (sf)
-- $876.4 million Class A-2-X at AAA (sf)
-- $792.5 million Class A-3 at AAA (sf)
-- $792.5 million Class A-3-A at AAA (sf)
-- $792.5 million Class A-3-X at AAA (sf)
-- $594.4 million Class A-4 at AAA (sf)
-- $594.4 million Class A-4-A at AAA (sf)
-- $594.4 million Class A-4-X at AAA (sf)
-- $198.1 million Class A-5 at AAA (sf)
-- $198.1 million Class A-5-A at AAA (sf)
-- $198.1 million Class A-5-X at AAA (sf)
-- $477.4 million Class A-6 at AAA (sf)
-- $477.4 million Class A-6-A at AAA (sf)
-- $477.4 million Class A-6-X at AAA (sf)
-- $315.2 million Class A-7 at AAA (sf)
-- $315.2 million Class A-7-A at AAA (sf)
-- $315.2 million Class A-7-X at AAA (sf)
-- $117.0 million Class A-8 at AAA (sf)
-- $117.0 million Class A-8-A at AAA (sf)
-- $117.0 million Class A-8-X at AAA (sf)
-- $83.9 million Class A-9 at AAA (sf)
-- $83.9 million Class A-9-A at AAA (sf)
-- $62.9 million Class A-9-B at AAA (sf)
-- $62.9 million Class A-9-B-A at AAA (sf)
-- $62.9 million Class A-9-B-X at AAA (sf)
-- $21.0 million Class A-9-C at AAA (sf)
-- $21.0 million Class A-9-C-A at AAA (sf)
-- $21.0 million Class A-9-C-X at AAA (sf)
-- $62.9 million Class A-9-D at AAA (sf)
-- $21.0 million Class A-9-E at AAA (sf)
-- $83.9 million Class A-9-X at AAA (sf)
-- $876.4 million Class A-X-1 at AAA (sf)
-- $25.6 million Class B-1 at AA (sf)
-- $12.6 million Class B-2 at A (sf)
-- $8.9 million Class B-3 at BBB (sf)
-- $3.3 million Class B-4 at BB (low) (sf)
-- $1.9 million Class B-5 at B (low) (sf)

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

Classes A-1, A-2, A-2-A, A-2-X, A-3, A-3-A, 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-9-A, A-9-B, A-9-C, A-9-D, A-9-E, and A-9-X are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes 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, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9, A-9-A, A-9-B, A-9-B-A, A-9-C, A-9-C-A, A-9-D, and A-9-E) 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 (low) (sf), and B (low) (sf) ratings reflect 3.25%, 1.90%, 0.95%, 0.60%, and 0.40% 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 897 loans with a total principal balance of $932,385,994 as of the Cut-Off Date (April 1, 2022).

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 93.8% of the pool are traditional, nonagency, prime jumbo mortgage loans. The remaining 6.2% of the pool 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 in the related report. In addition, 94.2% of the pool were originated in accordance with the new general QM rule.

Unlike other JPMMT transactions that are typically composed of loans from various originators, all of the loans in JPMMT 2022-5 were originated by loanDepot.com, LLC (loanDepot; 100.0%). The mortgage loans will be serviced by loanDepot (100.0%), with Cenlar FSB as the subservicer.

For this transaction, the servicing fee payable for mortgage loans serviced by loanDepot 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. (rated BBB with a Stable trend by DBRS Morningstar) 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.

CORONAVIRUS DISEASE (COVID-19) PANDEMIC IMPACT
The coronavirus pandemic and the resulting isolation measures have 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 forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the pandemic, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance 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 forbearance periods come to an end for many borrowers.

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.

For more information regarding the economic stress assumed under its baseline scenario, please see the following DBRS Morningstar commentary: “Baseline Macroeconomic Scenarios for Rated Sovereigns March 2022 Update,” dated March 24, 2022.

The ratings reflect transactional strengths that include high-quality credit attributes, well-qualified borrowers, satisfactory third-party due-diligence review, structural enhancements, and 100% current loans.

The ratings reflect transactional weaknesses that include the representations and warranties framework and financial capability of the counterparties.

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.

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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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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