J.P. Morgan Mortgage Trust

Transcription

1 Presale: J.P. Morgan Mortgage Trust This presale report is based on information as of Aug. 14, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings Class Preliminary ratings(i) Amount ($) Initial interest rate (%)(ii) Credit enhancement (%) Class type 1-A-1 AA (sf) 862,387, Senior/MACR 1-A-2 AA (sf) 862,387, Senior/MACR 1-A-3 AAA (sf) 807,341, Super senior/macr 1-A-4 AAA (sf) 807,341, Super senior/macr 1-A-5 AAA (sf) 605,506, Super senior/sequential/macr 1-A-6 AAA (sf) 605,506, Super senior/sequential/initial 1-A-7 AAA (sf) 201,835, Super senior/sequential/macr 1-A-8 AAA (sf) 201,835, Super senior/sequential/macr 1-A-9 AAA (sf) 158,043, Super senior/sequential/accretion-directed/macr 1-A-10 AAA (sf) 158,043, Super senior/initial/sequential/accretion-directed 1-A-11 AAA (sf) 43,792, Super senior/sequential/accrual/macr 1-A-12 AAA (sf) 43,792, Super senior/initial/sequential/accrual 1-A-13 AA (sf) 55,046, Senior support/macr 1-A-14 AA (sf) 55,046, Senior support/initial 1-AX-1 AA (sf) 862,387,000(iii) 0.485(iv) N/A Senior IO/initial 1-AX-2 AA (sf) 862,387,000(iii) 0.500(v) N/A Senior IO/MACR 1-AX-3 AAA (sf) 807,341,000(iii) 0.500(v) N/A Senior IO/MACR 1-AX-4 AAA (sf) 605,506,000(iii) 0.500(v) N/A Senior IO/initial Primary Credit Analyst: Joseph P Speziale, New York (212) ; joseph.speziale@spglobal.com Surveillance Credit Analyst: John Schuk, New York (1) ; john.schuk@spglobal.com See complete contact list on last page(s) AUGUST 14,

2 Preliminary Ratings (cont.) Class Preliminary ratings(i) Amount ($) Initial interest rate (%)(ii) Credit enhancement (%) Class type 1-AX-5 AAA (sf) 201,835,000(iii) 0.500(v) N/A Senior IO/MACR 1-AX-6 AAA (sf) 158,043,000(iii) 0.500(v) N/A Senior IO/initial 1-AX-7 AAA (sf) 43,792,000(iii) 0.500(v) N/A Senior IO/initial 1-AX-8 AA (sf) 55,046,000(iii) 0.500(v) N/A Senior IO/initial 2-A-1 AA (sf) 93,689, Senior MACR 2-A-2 AAA (sf) 87,708, Super senior/initial 2-A-3 AA (sf) 5,981, Senior support/initial 2-A-4 AA (sf) 93,689, (vi) 6.00 Senior/MACR 2-A-5 AAA (sf) 87,708, (vi) Super senior/macr 2-A-6 AA (sf) 5,981, (vi) 6.00 Senior support/macr 2-AX-1 AA (sf) 93,689,000(iii) 0.508(vii) N/A Senior IO/MACR 2-AX-2 AAA (sf) 87,708,000(iii) 0.508(vii) N/A Senior IO/initial 2-AX-3 AA (sf) 5,981,000(iii) 0.508(vii) N/A Senior IO/initial B-1 NR 14,239, (viii) 4.60 Subordinate B-2 NR 16,274, (viii) 3.00 Subordinate B-3 NR 11,697, (viii) 1.85 Subordinate B-4 NR 8,645, (viii) 1.00 Subordinate B-5 NR 5,594, (viii) 0.45 Subordinate B-6 NR 4,577, (viii) 0.00 Subordinate A-IO-S NR 537,634,873(iii) (ix) N/A Excess servicing A-R NR N/A N/A N/A Residual (i)the collateral and structural information in this report reflects information as of Aug. 14, (ii)coupons are subject to their related pools' adjusted net WAC. (iii)notional balance. (iv)equal to the excess of the pool 1 adjusted net WAC rate over 3.50%. (v)lesser of the excess, if any, of the pool 1 adjusted net WAC over 3.00% and 0.50%. (vi)pool 2 adjusted net WAC. (vii)excess of pool 2 adjusted net WAC over 2.50%. (viii)weighted average of pool 1 and 2 adjusted net WAC. (ix)excess servicing strip on certain loans. MACR--Modifiable and exchangeable certificate. WAC--Weighted average coupon. IO--Interest only. N/A--Not applicable. NR--Not rated. Profile Closing date Aug. 30, Cut-off date Aug. 1, First payment date Sept. 25, Stated maturity date Aug. 26, Certificate amount, including unrated classes Collateral type Collateral Credit enhancement Participants $1.017 billion in aggregate. First-lien, fixed-rate mortgage loans secured by one- to four-family residential properties, condominiums, cooperatives, and planned unit developments to primarily prime borrowers. Residential mortgage loans. Issuer J.P. Morgan Mortgage Trust Sponsor and seller For each class of rated certificates, subordination in the form of certificates that are lower in payment priority. J.P. Morgan Mortgage Acquisition Corp. AUGUST 14,

3 Participants (cont.) Depositor Master servicer and securities administrator Servicers Servicing administrator Trustee Custodians Originators J.P. Morgan Acceptance Corp. II. Wells Fargo Bank N.A. New Penn Financial LLC, doing business as Shellpoint Mortgage Servicing, JPMorgan Chase Bank N.A., Everbank, Bank of Oklahoma, PHH Mortgage, Guaranteed Rate Inc., Johnson Bank, and First Republic Bank. Wells Fargo Bank N.A. U.S. Bank Trust N.A. Wells Fargo Bank N.A. and JPMorgan Chase Bank N.A. JPMorgan Chase Bank N.A., Everbank, Social Finance Lending Corp., Quicken Loans Inc., United Shore Financial Servicies, and 39 other originators, each of which originated less than 5% of the total collateral. Originators Holding Greater Than 5.0% Of The Collateral Originator By balance (%) Due diligence (%) Originator ranking JPMorgan Chase Bank N.A AVERAGE TIAA FSB (successor to Everbank) ABOVE AVERAGE Social Finance Lending Corp N/A United Shore Financial Servicies N/A Quicken Loans Inc N/A Top five originators 63.1 Top 10 originators 78.2 N/A--Not applicable. Servicers New Penn Financial LLC doing business as Shellpoint Mortgage Servicing By balance (%) On S&P Global Ratings' select servicer list? Operation Originators 52.9 Yes Primary servicer JPMorgan Chase Bank N.A Yes Primary servicer Everbank 13.4 No Primary servicer Bank of Oklahoma 2.9 No Primary servicer PHH Mortgage Corp. 2.7 Yes Primary servicer Guaranteed Rate Inc. 2.6 No Primary servicer Johnson Bank 1.9 No Primary servicer First Republic Bank 0.8 Yes Primary servicer Various JPMorgan Chase Bank N.A. Everbank Bank of Oklahoma PHH Mortgage Wells Fargo Bank N.A. 100 Yes Master servicer All loans Guaranteed Rate Inc. Guaranteed Rate Inc. First Republic Bank Rationale The ratings assigned to J.P. Morgan Mortgage Trust 's (JPMMT 's) $1.017 billion mortgage pass-through AUGUST 14,

4 certificates reflect our view of: High-quality collateral in the pool (see the Collateral Summary section below); Available credit enhancement; Experienced aggregator; The 100% due diligence sampling results consistent with represented loan characteristics; and The transaction's associated structural mechanics. Collateral Summary The JPMMT collateral pool consists of prime-jumbo and loans conforming to government-sponsored entity (GSE) underwriting standards (conforming loans; see table 2 for a breakdown of the pool by the borrowers' FICO score). There are 1,483 fully amortizing mortgage loans broken into two groups: Group 1 consists of 30-year term loans (one loan has a 20-year term), and group 2 consists of 15-year term loans. All loans have fixed rates and are secured by first liens on single-family residences (60.5% of the pool balance), planned unit developments (27.5%), condominiums (8.9%), two- to four-family homes (2.0%), and cooperatives (1.1%). The weighted average seasoning is approximately six months. The total current balance of the pool is $1.017 billion, and the average loan balance is $685,841. Approximately half of the pool is concentrated in California (48.8%), with the next largest concentration in New York (6.4%); the remaining concentrations are dispersed throughout 41 states and Washington, D.C. All of the mortgage loans are qualified mortgage (QM) safe harbor loans. Approximately 94.7%, by balance, are mortgage loans backed by properties that are primary residences. The weighted average current FICO score for the collateral pool is 762. The collateral pool characteristics are, from a credit perspective, similar to the S&P Global Ratings' archetypical prime pool. The 'AAA' loss coverage requirement for the pool was determined to be 7.50% (see table 1). Per our criteria ("Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10, 2009), we classified approximately 76.3% of the loans, by balance, as having full documentation. According to the collateral tape, 19 of the loans in the pool did not have employment verification, but 12 of the borrowers had at least 24 months of verified income, 60 months of verified cash reserves at closing, and were QM/ability-to-repay (ATR) rule-compliant. Given these characteristics, we believe that these loans have similar risk profiles to the loans that meet our criteria for full documentation. The remaining seven mortgage loans in the pool that did not have employment verification did not, in our opinion, meet our criteria for full documentation. Accordingly, we treated them as "no employment verification loans" (for further information, see "Updated Assumptions For Liquidation Timelines In The U.S. Residential Mortgage Market," published April 13, 2012). There were two loans with less than 24 months of income verification with employment and asset verification, which we treated as a "Y" doc (1.3x adjustment to loss coverage). In addition, we marked all 437 GSE standard loans to Y documentation. For these conforming loans, we did not receive asset, employment, or income verification information in the American Securitization Forum tape. JPMorgan Chase Bank N.A. (JPMCB) will represent that these loans are AUGUST 14,

5 QM safe harbor loans. There are 14 loans to foreign borrowers, representing approximately 1.0% of the pool balance. These loans were made to either foreign national or no-permanent resident borrowers by the due diligence firms in QM/ATR reports. We have applied a 1.5x factor adjustment to these loans' loss-coverage calculation, which is consistent with our approach in rating non-u.s. residential mortgage-backed-securities (RMBS). The adjustment factor reflects practical difficulties lenders may experience in pursuing collections and recoveries from nonresident borrowers who default. Table 1 Collateral Characteristics JPMMT JPMMT JPMMT ABMT ABMT S&P Global Ratings' archetypical prime pool(i) Closing pool balance (mil. $) 1,017 1,020 1, N/A Closing loan count 1,483 1,519 1, N/A Avg. loan balance ($) 685, , , , ,165 N/A WA original LTV (%) WA original CLTV (%) WA current CLTV (%) 71.4 (ii) (ii) WA updated FICO WA current rate (%) N/A WA seasoning (mos.) WA debt to income (%) Median months reserves 43 (ii) (ii) N/A Owner occupied (%) Single family detached (including planned unit development) (%) year amortization term (%) Fixed-rate (%) Fixed-rate IO (%) N/A ARM (%) N/A ARM IO (%) N/A Purchase loan (%) Cash-out refinancing (%) N/A Full doc with IRS form 4506-T (%) Full doc without IRS form 4506-T (%) 75.2 (ii) (ii) (ii) (ii) 0 0 N/A Deposit money verification (%) 77.1 (ii) (ii) Current (%) days delinquent (%) 'AAA' loss coverage (%) 7.50 (ii) (ii) 'AAA' foreclosure frequency (%) (ii) (ii) 'AAA' loss severity (%) (ii) (ii) 'BBB' loss coverage (%) NR (ii) (ii) 'BBB' foreclosure frequency (%) NR (ii) (ii) AUGUST 14,

6 Table 1 Collateral Characteristics (cont.) JPMMT JPMMT JPMMT ABMT ABMT S&P Global Ratings' archetypical prime pool(i) 'BBB' loss severity (%) NR (ii) (ii) Geographic concentration factor (x) 1.02 (ii) (ii) (i)as defined in our Sept. 10, 2009, criteria article. (ii)deal not reviewed by S&P Global Ratings, or information was not readily available. ABMT--Agate Bay Mortgage Trust. WA--Weighted average. LTV--Loan-to-value ratio. CLTV--Combined LTV ratio. ARM--Adjustable-rate mortgage. IO--Interest-only. N/A--Not applicable. NR--Not rated. Table 2 Updated Credit Score Statistics FICO score Current balance (%) No. of loans Average current balance ($) , , , ,825 Below ,395 Total ,483 Transaction Structure Chart 1 shows an overview of the transaction's structure. AUGUST 14,

7 We believe the following characteristics strengthen the series transaction: The mortgage pool generally consists of loans to borrowers of high credit quality with considerable home equity, as demonstrated by the pool's weighted average original combined loan-to-value (LTV) ratio of 70.7%. J.P. Morgan Mortgage Acquisition Corp. (JPMMAC) is an experienced aggregator. We generally apply a 0.95x adjustment to our loss coverage estimates for the loans JPMMAC aggregates. Some loans, however, received a mortgage originator adjustment, excluding the aggregator adjustment, ranging from 0.80x for First Republic loans to 0.85x for Everbank and RPM Mortgage loans. The third-party due diligence providers, AMC Diligence LLC (AMC), Clayton Services LLC (Clayton), Inglet Blair LLC (Inglet Blair), and Opus Capital Markets Consultants (Opus), which are all on our list of reviewed providers, performed due diligence on 100% of the pool's loans. Their reviews encompassed regulatory compliance, credit (underwriting) compliance, property valuations, and data quality. The results are consistent with high-quality underwriting. The senior classes benefit from a credit support floor whereby the principal allocation to the subordinate classes falls to zero on any distribution date where the subordinate certificates' aggregate balance is less than or equal to 0.65% of the cut-off collateral balance or 6.00% of the current collateral balance. AUGUST 14,

8 The super-senior classes benefit from a trigger that reallocates the principal due to the senior-support tranches to pay down the super-senior tranches once class B-5 and B-6 balances are reduced to zero. Low original LTV and short-term amortization in group 2 provide for low loss estimates in this pool. We have identified the following factors that we believe weaken the series transaction: Of the 1,483 mortgage loans, 96 (5.9% of the pool by balance) were made to borrowers whose updated FICO scores are below 700. We increased the loss estimate of the mortgage pool to account for the increased default risk of these loans. Some geographical concentration exists as the distribution of loans in certain core-based statistical areas (CBSAs) is less diversified than our baseline index. To address this risk, we increased the pools' loss estimate by approximately 1.02x. Some loans were underwritten in conformance to GSE underwriting standards, which may require one year of income verification rather than two years (which we consider full documentation.) The loss estimate for these loans was adjusted 1.3x. QM/ATR Standards The Consumer Financial Protection Bureau issued final regulations for mortgage loans with applications submitted on or after Jan. 10, 2014, specifying the standards for a qualified mortgage. The rule applies to all of the mortgage loans included in this securitization, all of which are designated by the sponsor as QMs/non-higher-priced mortgage loans (safe harbor). Under the ATR rule, as more fully described in our QM criteria ("Methodology And Assumptions For Adjusting RMBS Loss Severity Calculations For Loans Covered Under Ability-To-Repay And Qualified Mortgage Standards," published Jan. 23, 2014), the originator and any assignee are jointly and severally liable for certain damages that may be incurred from noncompliance with the rule. For each loan in the pool subject to the rule, we applied our QM criteria and determined that no additional credit enhancement was needed. The data provided by the issuer to S&P Global Ratings--including additional fields that validate the loan's QM designation--were reviewed by the due diligence firms under the third-party due diligence firms' scope to verify that documentation exists to support the QM designation. In addition, we reviewed an ATR/QM-specific questionnaire that the aggregator provided in conjunction with our aggregator review, and we concluded that the aggregator's processes address the ATR risks. There are 437 loans originated by JPMCB (an affiliate of the sponsor) that were underwritten in conformance with GSE guidelines. These loans are QM safe harbor due to their eligibility to be sold to the GSEs. Structural Features This transaction is a "Y-structure" with two collateral groups. Group 1 consists of 30-year term collateral (one loan has a 20-year term), and group 2 consists of 15-year term collateral. Principal and interest (P&I) from the two groups are comingled and distributed to the senior and subordinate certificates, per payment priority. The senior certificates are attached to one of the two groups, and their coupons are AUGUST 14,

9 dictated by each group's weighted average coupon (WAC) features. If one of the groups assumes losses in higher proportion than the other group (i.e., one of the groups becomes undercollateralized), then the net WAC for the certificates will be adjusted based on the overcollateralization of the other group. The subordinate certificates are available as credit support for all senior certificates as long as they are outstanding. To the extent the subordinate certificates are written down, the senior-support certificates will absorb their respective groups' losses and then the super-senior certificates will absorb losses. The transaction has a shifting-interest structure, with a five-year lockout period. The paying agent will make monthly distributions from the monthly available distribution amounts (see table 3), which generally includes all funds the servicer collects from the borrowers (excluding servicing, trustee, the independent reviewer, and master servicing fee, but including the excess servicing fees, insurance and liquidation proceeds, subsequent recoveries, and repurchase amounts) minus the reimbursement of servicer advances allowed under the deal documents and the extraordinary expense payments (i.e., trustee, master servicer, and independent reviewer fees), which are capped annually at $550,000. Table 3 Payment Waterfall (On Or Before The Credit Support Depletion Date)(i) Priority Payment(ii) 1 Interest due (including any accrued unpaid interest shortfall), pro rata, to the senior classes: 1-A-6, 1-A-10, 1-A-12, 1-A-14, 1-AX-1, 1-AX-4, 1-AX-6, 1-AX-7, 1-AX-8, 2-A-2, 2-A-3, 2-AX-2, and 2-AX-3; provided, however, that on or before the accretion termination date(iii), interest that would be distributed to the class 1-A-12 certificates will instead be distributed as principal to the class 1-A-10 and 1-A-12 certificates, sequentially, until the balances are reduced to zero. 2 The senior PDA(iv) is split proportionally into groups and paid concurrently:(a)the super-senior portion of the group 1 PDA is paid sequentially to the class 1-A-6, 1-A-10, and 1-A-12 certificates until their class principal amounts are reduced to zero. Any remaining amounts will be allocated pro rata to the class 2-A-2 and 2-A-3 certificates. (b)the senior support portion of the group 1 senior PDA is paid solely to class 1-A-14 certificates unless the class B-5 and B-6 certificate balances have been reduced to zero, at which time the amounts are paid sequentially to the class 1-A-6, 1-A-10, 1-A-12, and 1-A-14 certificates until their class principal amounts are reduced to zero. Any remaining amounts will be allocated to the group 2 senior certificates as indicated in item (c) below.(c)the group 2 portion of the senior PDA is paid pro rata to the class 2-A-2 and 2-A-3 certificates unless the class B-5 and B-6 certificate balances s have been reduced to zero, at which time the amounts are paid sequentially to the class 2-A-2 and 2-A-3 certificates until their class principal amounts are reduced to zero. Any remaining amounts will be allocated to the group 1 senior certificates as indicated in items (a) and (b) above. 3 Interest (including any accrued unpaid interest shortfall) to the class B-1 certificates from the available distributions. 4 Class B-1's percentage of the subordinate PDA(v) paid to the class B-1 certificates. 5 Interest (including any accrued unpaid interest shortfall) to the class B-2 certificates from the available distributions. 6 Class B-2's percentage of the subordinate PDA (v) paid to the class B-2 certificates. 7 Interest (including any accrued unpaid interest shortfall) to the class B-3 certificates from the available distributions. 8 Class B-3's percentage of the subordinate PDA (v) paid to the class B-3 certificates. 9 Interest (including any accrued unpaid interest shortfall) to the class B-4 certificates from the available distributions. 10 Class B-4's percentage of the subordinate PDA (v) paid to the class B-4 certificates. 11 Interest (including any accrued unpaid interest shortfall) to the class B-5 certificates from the available distributions. 12 Class B-5's percentage of the subordinate PDA (v) paid to the class B-5 certificates. 13 Interest (including any accrued unpaid interest shortfall) to the class B-6 certificates from the available distributions. 14 Class B-6's percentage of the subordinate PDA (v) paid to the class B-6 certificates. 15 Reimburse previously allocated realized losses and certificate writedown amounts to the certificates in order of payment priority until fully reimbursed. 16 Pay any remaining unpaid trust expenses. AUGUST 14,

10 Table 3 Payment Waterfall (On Or Before The Credit Support Depletion Date)(i) (cont.) Priority Payment(ii) 17 Any remainder to the residual interestholders. (i)the first date at which the subordinate certificates' balances has been reduced to zero. (ii)macrs that were exchanged for initial MACRs shall be entitled to a proportionate share of the interest and principal payments otherwise allocated to the initial MACRs. (iii)the accretion termination date is the earlier date of when the balances of class 1-A-10 or all subordinate certificates are reduced to zero. (iv)the senior PDA is generally the senior percentage of the scheduled principal amounts on the mortgage loans plus the senior prepayment percentage of the unscheduled principal collections on the mortgage loans. (v)the subordinate PDA is the subordinate percentage (100% minus the senior percentage) of the scheduled principal amounts on the mortgage loans plus the subordinate prepayment percentage (100% minus the senior prepayment percentage) of the unscheduled principal collections on the mortgage loans. PDA--Principal distribution amount. MACR--Modifiable and exchangeable certificate. Table 4 Payment Waterfall (After The Credit Depletion Date)(i) Priority Payment 1 Interest (including any accrued unpaid interest shortfall), pro rata, to the senior classes: 1-A-6, 1-A-10, 1-A-12, 1-A-14, 1-AX-1, 1-AX-4, 1-AX-6, 1-AX-7, 1-AX-8, 2-A-2, 2-A-3, 2-AX-2, and 2-AX-3. 2 The senior PDA is split proportionally into groups and paid concurrently: (a)the group 1 portion of the senior PDA is paid sequentially first, pro-rata to the class 1-A-6, 1-A-10, and 1-A-12 certificates until their class principal amounts are reduced to zero; second, to the class 1-A-14 certificates until the class principal amount is reduced to zero; and lastly, any remaining amounts will be allocated to the group 2 senior certificates as indicated in item (b) below. (b)the group 2 portion is paid sequentially to the class 2-A-2 and 2-A-3 certificates, sequentially, until their class principal amounts are reduced to zero. Any remaining amounts will be allocated to the group 1 senior certificates as indicated in item (a). 3 Reimbursement for prior realized losses and certificate writedowns to the senior certificates in the priority above. 4 Reimbursement to the subordinate certificates for accrued but unpaid interest shortfalls, sequentially. 5 Reimbursement for prior realized losses and certificate writedowns to the subordinate certificates, sequentially. 6 Unpaid trust expenses. 7 Any remainder to the residual interestholders. (i)the terms used in this table are used in the same capacity as in the payment waterfall table above. The senior certificates issued at closing comprise the class 1-A-1, 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-6, 1-A-7, 1-A-8, 1-A-9,1-A-10, 1-A-11, 1-A-12, 1-A-13, 1-A-14, 1-AX-1, 1-AX-2, 1-AX-3, 1-AX-4, 1-AX-5, 1-AX-6, 1-AX-7, 1-AX-8, 2-A-1, 2-A-2, 2-A-3, 2-A-4, 2-A-5, 2-A-6, 2-AX-1, 2-AX-2, and 2-AX-3 certificates. The following classes serve as initial exchangeable (depositable) certificates: 1-A-6, 1-A-10, 1-A-12, 1-A-14, 1-AX-4, 1-AX-6, 1-AX-7, 1-AX-8, 2-A-2, 2-A-3, 2-AX-2, and 2-AX-3. The certificateholders can exchange the certificates for several combinations of exchangeable certificates, some of which are interest-only (IO) classes, and vice versa, as specified in the offering documents. If an exchange is made, the exchanged certificates will receive a proportionate share of the P&I payments otherwise allocable to the classes of initial exchangeable certificates. The senior percentage of scheduled principal collections and, for the first five years, 100% of unscheduled principal collections on the mortgage loans will be allocated to the senior certificates, excluding the IO certificates. After five years, the portion of unscheduled principal collections allocated to the senior certificates (excluding IO certificates) gradually decreases (see table 5). Table 5 Senior Prepayment Principal Distributions Distribution date occurring in the following period Senior prepayment % September 2017 August % AUGUST 14,

11 Table 5 Senior Prepayment Principal Distributions (cont.) Distribution date occurring in the following period Senior prepayment % September 2022 August 2023 The senior % plus 70% of the subordinate % September 2023 August 2024 The senior % plus 60% of the subordinate % September 2024 August 2025 The senior % plus 40% of the subordinate % September 2025 August 2026 The senior % plus 20% of the subordinate % September 2026 and thereafter The senior % However, if the step-down test is not satisfied, the senior allocation of unscheduled principal collections on the mortgage loans will not decrease. The step-down test will be satisfied on any distribution date if: The six-month average principal balance of all loans 60 days or more delinquent plus loans (without duplication), subject to a servicing modification within the previous 12 months, is less than 50% of the principal balance of the subordinate certificates; and Cumulative realized losses on mortgage loans do not exceed the levels listed in table 6. Except in certain circumstances, scheduled principal payments will be distributed pro rata between senior certificates and subordinate certificates. These payments to the subordinate tranches will reduce the absolute level of credit enhancement to the senior certificates and require additional initial subordination above the expected loss in a given rating scenario. Table 6 Step-Down Test Distribution date occurring in the following periods Cumulative realized losses as a % of the original aggregate subordinate class principal amounts September 2022 August September 2023 August September 2024 August September 2025 August September 2026 and thereafter 40 Principal distributions to subordinate certificates are directed to more-senior classes if the ratio of the sum of the balances of a particular subordinate class and all the classes lower than it in the capital structure to the total outstanding balance of all of the certificates falls below the applicable credit support percentage for that class at issuance (see table 7). Table 7 Credit Support Percentage At Issuance Class (%) B B B B B AUGUST 14,

12 Table 7 Credit Support Percentage At Issuance (cont.) Class (%) B In addition, the transaction structure includes a subordination floor that protects senior classes from tail risk as the pool pays down. If the aggregate class balance of the subordinate certificates is less than or equal to 0.65% of the closing pool balance, or less than or equal to 6.00% of the current pool balance, all principal collections will be paid to the senior certificates (see the Large Loans And Tail Risk Considerations section). Realized losses are applied in reverse sequential order until each class' principal balance has been reduced to zero: first to class B-6, then to class B-5, then to class B-4, then to class B-3, then to class B-2, and then to class B-1 until all certificates are reduced to zero. If no subordinate certificates are outstanding, realized losses will be applied to the senior-support certificates of the related group, then to the senior-support certificates of the unrelated group, then pro-rata to the super-senior certificates of the related group, and finally to the unrelated group of super-senior certificates in reverse priority. Geographic Concentration S&P Global Ratings analyzes the pool's geographic concentration risk based on the concentrations of loans in each of CBSAs defined by the U.S. Office of Management and Budget (see "Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10, 2009, and "Updated Criteria For Evaluating Geographic Concentration In U.S. RMBS Mortgage Pools," published Nov. 16, 2012). In this transaction, the top 10 CBSAs account for approximately 55% of the aggregate pool, and two exceed the concentration limits set forth in our criteria. Because of this concentration, we applied a geographic Herfindahl factor (a concentration measure based on the sum of the squared CBSA concentrations related to a benchmark concentration) of approximately 1.02x to our base loss coverage estimate. Table 8 Geographic Concentration CBSA code(i) CBSA State % by balance Los Angeles-Long Beach-Glendale California Oakland-Hayward-Berkeley California San Francisco-Redwood City-South San Francisco California New York-Jersey City-White Plains New York and New Jersey Anaheim-Santa Ana-Irvine California San Jose-Sunnyvale-Santa Clara California Seattle-Bellevue-Everett Washington San Diego-Carlsbad California Denver-Aurora-Lakewood Colorado AUGUST 14,

13 Table 8 Geographic Concentration (cont.) CBSA code(i) CBSA State % by balance Washington-Arlington-Alexandria Washington, D.C., Virginia, Maryland, and West Virginia Top (i)cbsa code refers to the metropolitan division code, if available. CBSA--Core-based statistical area (includes metropolitan statistical areas and metropolitan divisions where defined, as well as micropolitan statistical areas). 2.9 Large Loans And Tail Risk Considerations Quick prepayments on shifting-interest structures typically benefit the ratings on the senior certificates because unscheduled principal is applied to them disproportionally early in the transaction's life. However, as the number of loans in the transaction decreases, the effect of a single loan's losses becomes greater. If conditional prepayment rates are slow and collateral pool losses are not realized until later in a transaction's life (back-loaded losses), pro rata pay mechanisms can then leave the senior certificates exposed to event risk later in the transaction's life (for more information on tail risk in RMBS transactions, see "Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink," published Aug. 9, 2012). To mitigate this risk, the transaction documents provide for a credit enhancement floor, specifying principal payments will not be made to subordinate classes if the credit support available to the senior classes is less than or equal to 0.65% of the pool's original principal balance or 6.00% of the current principal balance. To analyze the appropriateness of this credit enhancement floor, we use the approach outlined in "Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10, Per this approach, instead of focusing on the largest loans by balance at issuance, we risk-weight the loans in the transaction by focusing on those loans with the largest expected loss exposure assuming default. Because the risk of substantial hard credit support erosion to the senior notes can take years, and given the lockout period, we estimate this risk by amortizing the loans through the lockout expiration at the end of year nine when the transaction begins paying all principal pro rata. By calculating the credit enhancement floor using the loss exposure amounts as described above, the credit enhancement floors for 'AAA' and 'AA' ratings are 0.75% and 0.60% respectively. The defined 0.65% credit enhancement floor specified within the transaction documents is below the 0.75% we calculated for 'AAA' rated super-senior certificates. However, this transaction has a structural feature that we believe effectively raises this credit enhancement floor to 0.75% or higher and mitigates potential tail risk to the super-senior certificates. The payment priority of the super-senior and senior-support certificates switches to sequential from pro rata when the class B-5 and B-6 certificate balances are reduced to zero. Our cash flow analysis showed that this structural feature, together with the 0.65% credit enhancement floor, provides at least a 0.75% credit enhancement floor to the super seniors in our 'BB-' and higher scenarios. Given the sensitivity of the structural feature to the performance of the mortgage loans, the credit enhancement floor could be substantially higher than 0.75% in more stressful economic scenarios, a strength compared to a minimum credit enhancement floor. In more mild scenarios where the class B-5 and B-6 certificates are not reduced to zero (and thus principal paid to the super-senior and AUGUST 14,

14 senior-support classes remains pro rata), our cash flow projections showed the senior-support certificates did not amortize below 0.10% for approximately 15 years or more. Given past economic cycles, we believe at least a modest economic stress scenario will likely occur within such time horizon and thus concluded the structural feature would trip. This would provide at least a 0.75% credit enhancement floor to the super seniors. Therefore, we believe that a 0.65% credit enhancement floor in conjunction with the sequential payment priority option applicable to the super-senior and senior-support certificates (which we concluded would provide an additional 0.10% for the super-senior certificates) will sufficiently protect the rated senior certificates from tail risk as the transaction seasons. Mortgage Originator/Aggregator Reviews JPMMAC We conducted a mortgage aggregator review (MAR) of JPMMAC. Based on the results of our MAR, we determined a loss coverage adjustment factor of 0.95x was appropriate. We believe the company's experienced management team, thorough seller review and monitoring process, and 100% due diligence on purchased loans are strengths. Certain weaknesses include the unavailability of its internal audit reports and limited loan performance history. Our qualitative review is broken down into eight key areas: management and organization; risk management; acquisition management; operational reviews of originators; pre-purchase/acquisition data quality; post-purchase quality control; appraisal management; and regulatory compliance. For the quantitative review, we compared the performance of JPMMAC securitizations issued under the JPMMT shelf from 2013 onward with its peers. The conduit, JPMMAC (a Delaware corporation), was organized in 2002 primarily for the securitization of mortgage and home equity loans. The company is a direct wholly owned subsidiary of JPMCB, which is a subsidiary of the holding company, JPMorgan Chase & Co. JPMMAC's whole loan conduit is the centralized distribution center of non-agency mortgages for Chase Mortgage Banking and select third-party originators. As of our review, the company purchased loans from about 30 sellers and planned to add approximately two to four sellers per month to the program. The program is designed around different RMBS product types. The conduit's main products are prime (fixed- and adjustable-rate) mortgages with nonconforming or conforming balances purchased either servicing-released or retained and with delegated and nondelegated underwriting authority. JPMMAC has a thorough review process for new sellers and comprehensive monitoring of existing sellers, including the use of seller scorecards. Senior management approval is needed to start discussions with a prospective seller. Once senior management has approved a prospective seller, the process of full counterparty approval begins. The approval process includes verification through the eligibility program of all licenses, systems, and adherence to stringent loan eligibility requirements. JPMMAC conducts 100% due diligence on loans that it acquires using a third-party review firm that is on S&P Global Ratings' reviewed list (see "S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. AUGUST 14,

15 RMBS As Of Aug. 3, 2017"). The scope of the review, which is consistent with market standards, comprises a full re-underwrite on these loans (credit, compliance, property valuation, and fraud). All loans must be submitted to an automated fraud and data check tool. JPMMAC's loan performance is limited as it was formed in Loan performance has been in line with its peers; however, the company and the loans have not experienced a housing or economic downturn. We consider the following strengths of JPMMAC: Experienced management team averaging over 15 years of industry experience. Long operational track record for its parent company. Relatively stable financial performance supported by our A+/Stable/A-1 rating on JPMCB and A-/Stable/A-2 rating on the bank holding company, JPMorgan Chase & Co. A thorough review process for new sellers and comprehensive monitoring of existing sellers, including the use of seller scorecards. JPMMAC requires 100% due diligence on loans that it acquires, which includes a full review of credit, compliance, collateral valuation, and fraud. Continuous systems and controls improvements around its quality control (processes via loan quality validator that confirms that loan guidelines are met at each segment of sourcing, diligence, and securitization lifecycle. Strong asset quality of loans purchased 2013 and onward. Partly offsetting the above strengths, in our view, are the following weaknesses: No internal audit reports were made available to us for review. However, we recognize that JPMCB is regulated by the Federal Deposit Insurance Corp., Office of the Comptroller of the Currency, the Federal Reserve, and the Consumer Financial Protection Bureau, which mitigates this weakness to an extent. Limited information on the company's post-purchase quality control processes. Limited loan performance history as the company was formed in 2012; as such we were unable to judge the performance of the loans during a period of economic stress. Loan performance has been in line with its peers. In addition, S&P Global Ratings has conducted mortgage originator reviews (MORs) for four other loan originators that have sold loans to JPMMAC and are part of this transaction. First Republic Bank (0.78% by balance) received a loss coverage adjustment of 0.80x, Everbank (13.43% by balance) received a loss coverage adjustment of 0.85x, and RPM Mortgage Inc. (1.41% by balance) received a loss coverage adjustment of 0.85x. Nationstar Mortgage LLC (0.10% by balance) received JPMMAC's MAR loss coverage adjustment of 0.95x. We determined a total MAR loss coverage adjustment factor for the aggregate pool of approximately 0.93x. Third-Party Due Diligence Review AMC, Clayton, Inglet Blair, and Opus performed third-party due diligence on 100% of the loans in the transaction. The scope of the review of the loans encompassed compliance, credit, and valuation reviews. All loans were in scope of TILA-RESPA Integrated Disclosure rule (TRID). As such, all due diligence firms followed the SFIG RMS 3.0 TRID Compliance Review Scope in conducting their final loan reviews (see "Standard & Poor's Comfortable With SFIG Draft Proposal Regarding TRID Due Diligence," published April 25, 2016). According to our published third-party due AUGUST 14,

16 diligence criteria, we adjust our loss expectations based on our view of the firms' findings (see "Incorporating Third-Party Due Diligence Results Into The U.S. RMBS Rating Process," published March 14, 2012). After reviewing the third-party due diligence results, we applied a x adjustment to the loss coverage. Representations And Warranties According to our criteria (see "Standard & Poor's Revised Representations And Warranties Criteria For U.S. RMBS Transactions," published March 14, 2012), S&P Global Ratings reviewed the representations and warranties (R&Ws) made at the individual loan level by the representing parties in this transaction. In addition, our review of the R&W framework accounts for automatic review triggers, knowledge qualifiers, sunset provisions, gap reps, and enforcement mechanisms. We evaluated the strength of the R&W framework and considered whether any breach could have a materially adverse impact on the interests of the transaction's certificateholders. If the R&Ws and framework do not address the issues in our published R&W framework, we will determine whether we believe it is appropriate to assess additional credit enhancement. Lastly, we considered the R&W providers' ability to fulfill their obligations in the event of a breach. The collateral pool consists of loans from 30 sellers sold to JPMMAC on a flow or mini-bulk purchase basis. Other than one originator (one loan) for which the sponsor is making the R&Ws, each originator (and in limited cases, aggregator) made R&Ws, which are generally consistent with our criteria, for the loans they contributed to the transaction. Many originators make R&Ws until the closing date of the securitization; however, some originators only provide R&Ws up to the date that they sold their loans to JPMMAC. In these cases, JPMMAC provides R&Ws covering the gap period between the dates the originators sold their loans to JPMMAC and the date the loans are sold to the trust. The R&W framework is similar to other recent JPMMT transactions and various strengths and weaknesses. We note that JPMMT will not backstop any originators (or aggregator) if they are incapable of repurchasing mortgage loans. However the largest contributor to the pool (roughly 23% by balance) is JPMCB, which is rated 'A+'. Attributes of the R&W framework Knowledge qualifiers: The transaction has knowledge qualifiers that relate to the following representations: All parties with an interest in the loan are in compliance with licensing requirements; there is no nonmonetary default on the loans; there is no proceeding to condemn property; and the property was in compliance with environmental law. Notwithstanding the seller's lack of knowledge of an R&W, such inaccuracy will be a breach of the applicable R&W. Overall. these knowledge qualifiers do not appear to be material to the R&W framework. Sunset: There are certain R&Ws that contain sunset provisions. Two of these relate to underwriting guidelines (adherence to the underwriting guidelines and income, asset, and employment verification), and one relates to the fraud R&W (excluding conspiratorial fraud involving multiple persons). The sunset period is 36 months contingent upon the loan's performance such that, if the loan is becomes 30 days delinquent during the first 36 months since issuance, the sunset for that loan becomes 72 months. These sunset provisions are a weakness in the framework; however, we acknowledge that the delinquency test helps mitigate the risk. Review triggers: Review triggers occur when any mortgage loan that becomes 120 days delinquent, that the servicer stops advancing because of nonrecoverability, that is liquidated at a loss, or that modified before 120 days delinquency. These review triggers are sufficient to cover a wide range of scenarios that may indicate a loan at risk of having an R&W breach. AUGUST 14,

17 The breach reviewer: The reviewer shall have sole authority to determine whether a breach has occurred. JPMMAC, as the sponsor, named Pentalpha Surveillance LLC (Pentalpha), as an independent party who has been engaged on prior JPMMT transactions. Pentalpha is compensated an annual fee plus a fee for each review. Having a pre-reviewed breach reviewer is a positive feature of the R&W framework. Breach effectiveness: To determine whether a breach warrants a repurchase obligation, the breach reviewer must follow the prescribed guidelines detailed in the offering materials. One feature concerns a materiality test failure in which the breach reviewer must determine whether the defect materially increased the loan's credit risk at origination, resulted in, or will result in, a higher loss at liquidation, or impaired the payment or loan's enforceability. In determining these factors, the reviewer must consider whether an underwriter, at origination, would have believed the defect to comply with the underwriting guidelines; whether an underwriter, at origination, would have considered the loan as having the same substantial credit risk after accounting for the defect and any compensating factors; and whether the defect caused any actual or projected default or loss considering knowledge of the defect, as well as any borrower distress events (death, serious injury, illness, divorce, employment termination, etc.). The breach effectiveness is prescribed, which has pros and cons. Although it reduces uncertainty of the process to the representation providers and investors, the specific procedures and thresholds may limit the scope of the breach reviewer and could prevent certain loans from being put back. Enforcement mechanisms: Enforcing the breach reviewer's decision is automatic after a material test failure is delivered to the securities administrator. If the representation provider disputes the decision, it may provide evidence to the contrary or choose arbitration proceedings. Arbitration: Certificateholders that disagree with the reviewer's determination that no material test failure exists can choose to bring the case to arbitration or, in certain cases, upon 90 days' written notice, remove the reviewer. Each case can only occur at the written direction of the certificateholders holding 25% or more of the outstanding balance. If a representing party or a review quorum of certificateholders disputes the reviewer's final finding of a material test failure, the dispute resolution will be by arbitration. The arbitrator's decision will be final and binding. Overall, we believe the weaknesses slightly outweigh the strengths of this R&W framework; however, the credit quality of the assets, JPMCB's significant loan contribution, JPMMAC's solid aggregation platform, and the third-party due diligence performed on every loan mitigate the risk. Therefore, we applied a neutral adjustment of 1.00x to the loss coverage. Cash Flow And Scenario Analysis We reviewed the transaction structure and performed a cash flow analysis to simulate various rating stress scenarios (see tables 9 and 10) to determine the preliminary ratings for each certificate consistent with our criteria, accounting for the available credit enhancement. We analyzed a variety of scenarios for each rating category, including combinations of: Standard and back-loaded default timing curves; One- and two-year recovery lag assumptions; Fast and slow prepayment assumptions, using a total unscheduled balance reduction convention--which is, for any given month, the sum of the defaults plus the greater of prepayments calculated using the assumed constant prepayment rate speeds reduced by the defaults and zero; and AUGUST 14,

18 Servicer stop advance stresses, which assume that a percentage of loans become delinquent and the servicer stops advancing on a portion of those loans. The percentage of delinquent loans ramps up to a peak stress from zero by month 32 and gradually declines thereafter to nearly zero over the next 12 years. Table 9 Default Timing Assumptions--Unseasoned % of cumulative defaults Month Back-loaded Standard Table 10 Cash Flow Assumptions Scenario AAA AA Recovery lag (mos.) 12 and and 24 Prepayments (%)(i) Low CPR 1 2 High CPR Maximum delinquency (% of current balance) Servicer stop advance (%) Foreclosure frequency (%)(ii) Loss severity (%)(ii) Loss coverage (%)(ii) (i)using a total unscheduled balance reduction convention. (ii)groups 1 and 2 provided in aggregate. CPR--Conditional prepayment rate. We applied the foreclosure frequencies, loss severities, and combinations of the stresses noted above in our cash flow runs, and the results show that each preliminary rated class in the transaction is enhanced to a degree consistent with the assigned preliminary rating. Interest stresses All of the certificates have coupons subject to the net WAC rate cap, as is the case in the majority of post-2009 transactions that we have rated. If the net WAC rate decreases below the cap, the interest due to the certificates will AUGUST 14,