J.P. Morgan Mortgage Trust 2021-15 -- Moody's assigns definitive ratings to Prime RMBS issued by J.P. Morgan Mortgage Trust 2021-15

Rating Action: Moody's assigns definitive ratings to Prime RMBS issued by J.P. Morgan Mortgage Trust 2021-15Global Credit Research - 30 Dec 2021New York, December 30, 2021 -- Moody's Investors Service ("Moody's") has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust (JPMMT) 2021-15. The ratings range from Aaa (sf) to B3 (sf).JPMMT 2021-15 is the fifteenth prime jumbo transaction in 2021 issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC). The credit characteristics of the mortgage loans backing this transaction are similar to both recent JPMMT transactions and other prime jumbo issuers that we have rated. We consider the overall servicing framework for this pool to be adequate given the servicing arrangement of the servicers, as well as the presence of an experienced master servicer.JPMMT 2021-15 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. We coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In coding the cash flow, we took into account the step-up incentive servicing fee structure.In this transaction, the Class A-11, A-11-A and A-11-B notes' coupon is indexed to SOFR. However, based on the transaction's structure, the particular choice of benchmark has no credit impact. First, interest payments to the notes, including the floating rate notes, are subject to the net WAC cap, which prevents the floating rate notes from incurring interest shortfalls as a result of increases in the benchmark index above the fixed rates at which the assets bear interest. Second, the shifting-interest structure pays all interest generated on the assets to the bonds and does not provide for any excess spread.We base our ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, our review of the origination quality and servicing arrangement, the strength of the third-party review (TPR) and the representations and warranties (R&W) framework of the transaction.The complete rating actions are as follows:Issuer: J.P. Morgan Mortgage Trust 2021-15Cl.A-1, Definitive Rating Assigned Aaa (sf)Cl.A-1-A, Definitive Rating Assigned Aaa (sf)Cl.A-2, Definitive Rating Assigned Aaa (sf)Cl.A-2-A, Definitive Rating Assigned Aaa (sf)Cl.A-3, Definitive Rating Assigned Aaa (sf)Cl.A-3-A, Definitive Rating Assigned Aaa (sf)Cl.A-3-X*, Definitive Rating Assigned Aaa (sf)Cl.A-4, Definitive Rating Assigned Aaa (sf)Cl.A-4-A, Definitive Rating Assigned Aaa (sf)Cl.A-4-X*, Definitive Rating Assigned Aaa (sf)Cl.A-5, Definitive Rating Assigned Aaa (sf)Cl.A-5-A, Definitive Rating Assigned Aaa (sf)Cl.A-5-B, Definitive Rating Assigned Aaa (sf)Cl.A-5-X*, Definitive Rating Assigned Aaa (sf)Cl.A-6, Definitive Rating Assigned Aaa (sf)Cl.A-6-A, Definitive Rating Assigned Aaa (sf)Cl.A-6-X*, Definitive Rating Assigned Aaa (sf)Cl.A-7, Definitive Rating Assigned Aaa (sf)Cl.A-7-A, Definitive Rating Assigned Aaa (sf)Cl.A-7-B, Definitive Rating Assigned Aaa (sf)Cl.A-7-X*, Definitive Rating Assigned Aaa (sf)Cl.A-8, Definitive Rating Assigned Aaa (sf)Cl.A-8-A, Definitive Rating Assigned Aaa (sf)Cl.A-8-X*, Definitive Rating Assigned Aaa (sf)Cl.A-9, Definitive Rating Assigned Aaa (sf)Cl.A-9-A, Definitive Rating Assigned Aaa (sf)Cl.A-9-X*, Definitive Rating Assigned Aaa (sf)Cl.A-10, Definitive Rating Assigned Aaa (sf)Cl.A-10-A, Definitive Rating Assigned Aaa (sf)Cl.A-10-X*, Definitive Rating Assigned Aaa (sf)Cl.A-11, Definitive Rating Assigned Aaa (sf)Cl.A-11-X*, Definitive Rating Assigned Aaa (sf)Cl.A-11-A, Definitive Rating Assigned Aaa (sf)Cl.A-11-AI*, Definitive Rating Assigned Aaa (sf)Cl.A-11-B, Definitive Rating Assigned Aaa (sf)Cl.A-11-BI*, Definitive Rating Assigned Aaa (sf)Cl.A-12, Definitive Rating Assigned Aaa (sf)Cl.A-13, Definitive Rating Assigned Aaa (sf)Cl.A-13-A, Definitive Rating Assigned Aaa (sf)Cl.A-14, Definitive Rating Assigned Aa1 (sf)Cl.A-15, Definitive Rating Assigned Aa1 (sf)Cl.A-15-A, Definitive Rating Assigned Aa1 (sf)Cl.A-15-B, Definitive Rating Assigned Aa1 (sf)Cl.A-15-C, Definitive Rating Assigned Aa1 (sf)Cl.A-16, Definitive Rating Assigned Aaa (sf)Cl.A-17, Definitive Rating Assigned Aaa (sf)Cl.A-X-1*, Definitive Rating Assigned Aaa (sf)Cl.A-X-2*, Definitive Rating Assigned Aaa (sf)Cl.A-X-3*, Definitive Rating Assigned Aaa (sf)Cl.A-X-3A*, Definitive Rating Assigned Aaa (sf)Cl.A-X-4*, Definitive Rating Assigned Aa1 (sf)Cl.B-1, Definitive Rating Assigned Aa3 (sf)Cl.B-1-A, Definitive Rating Assigned Aa3 (sf)Cl.B-1-X*, Definitive Rating Assigned Aa3 (sf)Cl.B-2, Definitive Rating Assigned A3 (sf)Cl.B-2-A, Definitive Rating Assigned A3 (sf)Cl.B-2-X*, Definitive Rating Assigned A3 (sf)Cl.B-3, Definitive Rating Assigned Baa3 (sf)Cl.B-4, Definitive Rating Assigned Ba3 (sf)Cl.B-5, Definitive Rating Assigned B3 (sf)*Reflects Interest-Only ClassesRATINGS RATIONALEMoody's expected loss for this pool in a baseline scenario-mean is 0.67%, in a baseline scenario-median is 0.46% and reaches 4.82% at a stress level consistent with our Aaa ratings.Collateral DescriptionWe assessed the collateral pool as of December 1, 2021, the cut-off date. The deal will be backed by 1,005 fully amortizing fixed-rate mortgage loans with an aggregate unpaid principal balance (UPB) of $1,067,671,101 and an original term to maturity of up to 30 years. The pool consists of prime jumbo non-conforming (approximately 97.2% by UPB) and GSE-eligible (conforming) (approximately 2.8% by UPB) mortgage loans. The GSE-eligible loans were underwritten pursuant to GSE guidelines and were approved by Fannie Mae's Desktop Underwriter Program or Freddie Mac's Loan Product Advisor Program.All of the mortgage loans were underwritten to the Qualified Mortgages (QM) standard. Approximately 3.9% of the mortgage loans by UPB are designated as safe harbor QM and meet Appendix Q to the QM rules, approximately 2.4% of the mortgage loans by UPB are designated as Agency Safe Harbor loans, and 93.7% of the mortgage loans by UPB are designated as Safe Harbor APOR loans, for which mortgage loans are not underwritten to meet Appendix Q but satisfy AUS with additional overlays of originators. As part of the origination quality review and based on the documentation information we received in the ASF tape, we concluded that all loans were fully documented and therefore, we ran these loans as "full documentation" loans in our MILAN model.Similar to recently rated JPMMT transactions, the collateral pool is of strong credit quality and includes borrowers with a weighted average (WA) primary borrower FICO of 767, low loan-to-value ratios (WA LTV 70.6%), high borrower monthly incomes (about $37,872) and substantial liquid cash reserves (approximately $333,266), on a WA basis, respectively. Approximately 49.2% of the mortgage loans (by UPB) were originated in California which includes metropolitan statistical areas (MSAs) Los Angeles (18.0% by UPB) and San Francisco (9.1% by UPB). The high geographic concentration in high-cost MSAs is reflected in the high average balance of the pool ($1,062,359). As of the cut-off date, none of the borrowers of the mortgage loans have inquired about or requested forbearance plans with the related servicer or have previously entered into a COVID-19 related forbearance plan with the related servicer.Aggregation/Origination QualityWe consider JPMMAC's aggregation platform to be adequate, and therefore, we did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing JPMMAC aggregation quality, we have also reviewed the origination quality of originator(s) contributing a significant percentage of the collateral pool (above 10% by UPB).United Wholesale Mortgage, LLC (UWM) and loanDepot.com, LLC(loanDepot) originated approximately 70.4% and 18.0% of the mortgage loans (by UPB) in the pool. The remaining originators each account for less than 3.0% (by UPB) in the pool (11.6% by UPB in the aggregate). Approximately 2.95% and 0.28% of the mortgage loans (by UPB) were acquired by the JPMMAC from MAXEX Clearing LLC and Verus Mortgage Trust 1A, respectively, which purchased such mortgage loans from the related originators or from an unaffiliated third party which directly or indirectly purchased such mortgage loans from the related originators.We did not make an adjustment for GSE-eligible loans, since those loans were underwritten in accordance with GSE guidelines. However, we have increased our base case and Aaa loss expectations for certain originators of non-conforming loans where we either (a) do not have clear insight into the underwriting practices, quality control and credit risk management or (b) concluded, post origination review, that such originators' origination quality is weaker than that of its peers.Servicing ArrangementWe consider the overall servicing framework for this pool to be adequate given the servicing arrangement of the servicers, as well as the presence of an experienced master servicer, Nationstar Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc. corporate family rating B2).United Shore Financial Services (subserviced by Cenlar FSB), JPMorgan Chase Bank, National Association (JPMCB), loanDepot.com, LLC (subserviced by Cenlar FSB), A&D Mortgage LLC and First National Bank of Pennsylvania are the principal servicers in this transaction and will service approximately 70.4%, 10.6%, 18.0%, 0.7% and 0.2% of loans (by UPB of the mortgage), respectively. NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing will act as interim servicer for the mortgage loans serviced by JPMCB from the closing date until the servicing transfer date, which is expected to occur on or about February 1, 2022 (but which may occur after such date).The servicers are required to advance principal and interest (P&I) on the mortgage loans. To the extent that the servicers are unable to do so, the master servicer will be obligated to make such advances. In the event that the master servicer, Nationstar, is unable to make such advances, the securities administrator, Citibank, N.A. (rated Aa3) will be obligated to do so to the extent such advance is determined by the securities administrator to be recoverable. Similar to recent JPMMT transitions, the servicing fee will be predominantly based on a step-up incentive fee structure with a monthly base fee of $40 per loan and additional fees for delinquent or defaulted loans (fixed fee framework servicers, which will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans, account for less than 1.00% of UPB).Third-Party ReviewThe transaction benefits from a TPR on 100% of the loans for regulatory compliance, credit, property valuation and data integrity. The TPR results confirm compliance with the originator's underwriting guidelines for the vast majority of loans, no material regulatory compliance issues, and no material property valuation issues. The loans that had exceptions to the originator's underwriting guidelines had significant compensating factors that were documented.R&W FrameworkOur review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. JPMMT 2021-15's R&W framework is in line with that of other JPMMT transactions we have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Per our principal methodology, the loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws we have identified for US RMBS. The R&W framework is "prescriptive", whereby the transaction documents set forth detailed tests for each R&W. The originators and the aggregators each make a comprehensive set of R&Ws for their loans. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. JPMMAC does not backstop the originator R&Ws. In this transaction, we've made adjustments to our base case and Aaa loss expectations for R&W providers that are unrated and/or financially weaker entities.Transaction StructureThe transaction has a shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bonds have been reduced to zero i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the credit support depletion date (when the balance of the subordinate bonds is written off), losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds.Tail Risk & Subordination FloorThe transaction cash flows follow a shifting interest structure that allows subordinate bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinate bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 0.75% of the cut-off date pool balance, and as subordination lockout amount of 0.75% of the cut-off date pool balance. We calculate the credit neutral floors as shown in our principal methodology.Factors that would lead to an upgrade or downgrade of the ratings:DownLevels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud.UpLevels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market.The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1271478. The methodologies used in rating interest-only classes were "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1271478 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179. Please see the list of ratings at the top of this announcement to identify which classes are interest-only (indicated by the *). Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies. Please note that a Request for Comment was published in which Moody's requested market feedback on potential revisions to one or more of the methodologies used in determining these Credit Ratings. If the revised methodologies are implemented as proposed, it is not currently expected that the Credit Ratings referenced in this press release will be affected. Request for Comments can be found on the rating methodologies page on www.moodys.com.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1315043.The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Philip Rukosuev Asst Vice President - Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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