DBRS Morningstar Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2021-12.
ENPNewswire-September 28, 2021--DBRS Morningstar Assigns Provisional Ratings to J.P. Morgan Mortgage Trust 2021-12
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Release date- 27092021 - DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2021-12 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2021-12 as follows.
$1.5 billion Class A-1 at AAA (sf)
$1.4 billion Class A-2 at AAA (sf)
$1.3 billion Class A-3 at AAA (sf)
$1.3 billion Class A-3-A at AAA (sf)
$1.3 billion Class A-3-X at AAA (sf)
$1.0 billion Class A-4 at AAA (sf)
$1.0 billion Class A-4-A at AAA (sf)
$1.0 billion Class A-4-X at AAA (sf)
$336.9 million Class A-5 at AAA (sf)
$336.9 million Class A-5-A at AAA (sf)
$336.9 million Class A-5-B at AAA (sf)
$336.9 million Class A-5-X at AAA (sf)
$809.4 million Class A-6 at AAA (sf)
$809.4 million Class A-6-A at AAA (sf)
$809.4 million Class A-6-X at AAA (sf)
$538.2 million Class A-7 at AAA (sf)
$538.2 million Class A-7-A at AAA (sf)
$538.2 million Class A-7-B at AAA (sf)
$538.2 million Class A-7-X at AAA (sf)
$201.3 million Class A-8 at AAA (sf)
$201.3 million Class A-8-A at AAA (sf)
$201.3 million Class A-8-X at AAA (sf)
$86.4 million Class A-9 at AAA (sf)
$86.4 million Class A-9-A at AAA (sf)
$86.4 million Class A-9-X at AAA (sf)
$250.5 million Class A-10 at AAA (sf)
$250.5 million Class A-10-A at AAA (sf)
$250.5 million Class A-10-X at AAA (sf)
$101.4 million Class A-11 at AAA (sf)
$101.4 million Class A-11-X at AAA (sf)
$101.4 million Class A-11-A at AAA (sf)
$101.4 million Class A-11-AI at AAA (sf)
$101.4 million Class A-11-B at AAA (sf)
$101.4 million Class A-11-BI at AAA (sf)
$101.4 million Class A-12 at AAA (sf)
$101.4 million Class A-13 at AAA (sf)
$98.8 million Class A-14 at AAA (sf)
$98.8 million Class A-15 at AAA (sf)
$98.8 million Class A-15-A at AAA (sf)
$98.8 million Class A-15-X at AAA (sf)
$1.4 billion Class A-16 at AAA (sf)
$108.3 million Class A-17 at AAA (sf)
$1.5 billion Class A-X-1 at AAA (sf)
$1.5 billion Class A-X-2 at AAA (sf)
$101.4 million Class A-X-3 at AAA (sf)
$98.8 million Class A-X-4 at AAA (sf)
$27.2 million Class B-1 at AA (high) (sf)
$27.2 million Class B-1-A at AA (high) (sf)
$27.2 million Class B-1-X at AA (high) (sf)
$25.5 million Class B-2 at A (high) (sf)
$25.5 million Class B-2-A at A (high) (sf)
$25.5 million Class B-2-X at A (high) (sf)
$16.5 million Class B-3 at BBB (high) (sf)
$7.4 million Class B-4 at BB (high) (sf)
$6.6 million Class B-5 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-11-AI, A-11-BI, A-15-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, and B-2-X are interest-only certificates. 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-B, A-5-X, A-6, A-7, A-7-A, A-7-B, A-7-X, A-8, A-9, A-10, A-11-A, A-11-AI, A-11-B, A-11-BI, A-12, A-13, A-14, A-15, A-16, A-17, A-X-2, A-X-3, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates 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-5-B, A-6, A-6-A, A-7, A-7-A, A-7-B, A-8, A-8-A, A-9, A-9-A, A-10, A-10-A, A-11, A-11-A, A-11-B, 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) ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) ratings reflect 4.35%, 2.80%, 1.80%, 1.35%, and 0.95% 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 1,715 loans with a total principal balance of $1,646,634,432 as of the Cut-Off Date (September 1, 2021).
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 three months. Approximately 96.2% of the pool are traditional, nonagency, prime jumbo mortgage loans. The remaining 3.8% of the pool...
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