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Fitch rates J.P. Morgan Mortgage Trust 2013-2

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Agency argues that ratings “reflect the high quality of the underlying collateral”.

Fitch Ratings has assigned the following ratings to J.P. Morgan Mortgage Trust 2013-2:

–$398,288,000 class A-1 exchangeable certificate ‘AAAsf’; Outlook Stable;
–$398,288,000 class A-2 exchangeable certificate ‘AAAsf’; Outlook Stable;
–$338,545,000 class A-3 certificate ‘AAAsf’; Outlook Stable;
–$59,743,000 class A-4 certificate ‘AAAsf’; Outlook Stable;
–$338,545,000 class A-5 exchangeable certificate ‘AAAsf’; Outlook Stable;
–$59,743,000 class A-6 exchangeable certificate ‘AAAsf’; Outlook Stable;
–$338,545,000 class A-IO1 notional certificate ‘AAAsf’; Outlook Stable;
–$59,743,000 class A-IO2 notional certificate ‘AAAsf’; Outlook Stable;
–$398,288,000 class A-IO3 exchangeable notional certificate ‘AAAsf’; Outlook Stable;
–$398,288,000 class A-IO4 notional certificate ‘AAAsf’; Outlook Stable;
–$398,288,000 class A-IO5 exchangeable notional certificate ‘AAAsf’; Outlook Stable;
–$4,647,000 class B-1 certificate ‘AAsf’; Outlook Stable;
–$8,851,000 class B-2 certificate ‘Asf’; Outlook Stable;
–$6,417,000 class B-3 certificate ‘BBBsf’; Outlook Stable;
–$4,868,000 class B-4 certificate ‘BBsf’; Outlook Stable.

The ‘AAAsf’ rating on the senior certificates reflects the 10.00% subordination provided by the 3.10% class A-M, 1.05% class B-1, 2.00% class B-2, 1.45% class B-3, 1.10% class B-4 and 1.30% class B-5. The $13,719,000 class A-M and $5,753,300 class B-5 certificate will not be rated by Fitch.

Fitch argues that the ratings reflect the high quality of the underlying collateral, the clear capital structure and the high percentage of loans reviewed by third party underwriters. In addition, Wells Fargo Bank, N.A. will act as the master servicer and U.S. Bank Trust N.A. will act as the trustee for the transaction. For federal income tax purposes, elections will be made to treat the trust as one or more real estate mortgage investment conduits (REMICs).

This transaction includes the use of Pentalpha Surveillance LLC (Pentalpha) as representation & warranties (R&W) breach reviewer for the benefit of the trust. The securities administrator will instruct Pentalpha to review any loan that satisfies the review trigger. Pentalpha will review the loan using the breach determination review procedures outlined in the transaction documents to identify failures with respect to one or more of the breach determination procedures. If a failure exists, Pentalpha will determine whether or not the failure is material, based on materiality conditions outlined in the transaction documents. Pentalpha will then provide the final results of its review and determination to the securities administrator.

JPMMT 2013-2 will be J.P. Morgan Mortgage Acquisition Corp.’s second transaction of prime residential mortgages in 2013. The certificates are supported by a pool of prime fixed-rate mortgage loans. The loans are all fully amortizing. The aggregate pool included loans originated from J.P. Morgan Chase Bank (19.7%), Guaranteed Rate, Inc. (16.6%), Residential Pacific Mortgage (15.4%), Cobalt Mortgage, Inc. (10.2%), PrimeLending, a PlainsCapital Company (7.4%), Opes Advisors, Inc. (7.1%), Bank of Manhattan (5.7%) and other various mortgage lending institutions, each of which contributed less than 5% to the transaction.

As of the cut-off date, the aggregate pool consisted of 544 loans with a total balance of $442,543,301; an average balance of $813,499; a weighted average original combined loan-to-value ratio (CLTV) of 69.4%, and a weighted average coupon (WAC) of 4%. Rate/Term and cash out refinances account for 63.5% and 8% of the loans, respectively. The weighted average original FICO credit score of the pool is 773. Owner-occupied properties comprise 98% of the loans. The states that represent the largest geographic concentration are California (46.5%), Illinois (13%), and Washington (12.4%).

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