Rating Action: Moody's assigns provisional ratings to Prime RMBS issued by J.P. Morgan Mortgage Trust 2022-INV1Global Credit Research - 25 Jan 2022New York, January 25, 2022 -- Moody's Investors Service ("Moody's") has assigned provisional ratings to 49 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust (JPMMT) 2022-INV1. The ratings range from (P)Aaa (sf) to (P)B3 (sf).JPMMT 2022-INV1 is the first transaction in 2022 issued by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC) backed by investment properties. JPMMT 2022-INV1 is a securitization of agency-eligible investor (INV) mortgage loans backed by 2,218 fixed rate, non-owner occupied mortgage loans (designated for investment purposes by the borrower), with an aggregate unpaid principal balance (UPB) of approximately $739,888,377. We consider the overall servicing framework for this pool to be adequate given the servicing arrangement, as well as the presence of an experienced master servicer. United Wholesale Mortgage, LLC (UWM) will service 100.0% of the mortgage loans. Cenlar FSB (Cenlar) will sub-service the loans for UWM.JPMMT 2022-INV1 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.We base our ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, our assessments 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 2022-INV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-A, Assigned (P)Aaa (sf)Cl. A-3-X*, Assigned (P)Aaa (sf)Cl. A-4, Assigned (P)Aaa (sf)Cl. A-4-A, Assigned (P)Aaa (sf)Cl. A-4-X*, Assigned (P)Aaa (sf)Cl. A-5, Assigned (P)Aaa (sf)Cl. A-5-A, Assigned (P)Aaa (sf)Cl. A-5-X*, Assigned (P)Aaa (sf)Cl. A-6, Assigned (P)Aaa (sf)Cl. A-6-A, Assigned (P)Aaa (sf)Cl. A-6-X*, Assigned (P)Aaa (sf)Cl. A-7, Assigned (P)Aaa (sf)Cl. A-7-A, Assigned (P)Aaa (sf)Cl. A-7-X*, Assigned (P)Aaa (sf)Cl. A-8, Assigned (P)Aaa (sf)Cl. A-8-A, Assigned (P)Aaa (sf)Cl. A-8-X*, Assigned (P)Aaa (sf)Cl. A-9, Assigned (P)Aaa (sf)Cl. A-9-A, Assigned (P)Aaa (sf)Cl. A-9-X*, Assigned (P)Aaa (sf)Cl. A-10, Assigned (P)Aaa (sf)Cl. A-10-A, Assigned (P)Aaa (sf)Cl. A-10-X*, Assigned (P)Aaa (sf)Cl. A-11, Assigned (P)Aaa (sf)Cl. A-11-X*, Assigned (P)Aaa (sf)Cl. A-11-A, Assigned (P)Aaa (sf)Cl. A-11-AI*, Assigned (P)Aaa (sf)Cl. A-11-B, Assigned (P)Aaa (sf)Cl. A-11-BI*, Assigned (P)Aaa (sf)Cl. A-12, Assigned (P)Aaa (sf)Cl. A-13, Assigned (P)Aaa (sf)Cl. A-14, Assigned (P)Aa1 (sf)Cl. A-15, Assigned (P)Aa1 (sf)Cl. A-15-A, Assigned (P)Aa1 (sf)Cl. A-15-X*, Assigned (P)Aa1 (sf)Cl. A-16, Assigned (P)Aaa (sf)Cl. A-17, Assigned (P)Aaa (sf)Cl. A-X-1*, Assigned (P)Aaa (sf)Cl. A-X-2*, Assigned (P)Aaa (sf)Cl. A-X-3*, Assigned (P)Aaa (sf)Cl. A-X-4*, Assigned (P)Aa1 (sf)Cl. B-1, Assigned (P)Aa3 (sf)Cl. B-2, Assigned (P)A3 (sf)Cl. B-3, Assigned (P)Baa3 (sf)Cl. B-4, Assigned (P)Ba3 (sf)Cl. B-5, Assigned (P)B3 (sf)*Reflects Interest-Only ClassesRATINGS RATIONALEMoody's expected loss for this pool in a baseline scenario-mean is 0.99%, in a baseline scenario-median is 0.72%, and reaches 6.36% at a stress level consistent with our Aaa ratings.Collateral DescriptionWe assessed the collateral pool as of January 1, 2022, the cut-off date. The deal will be backed by 2,218 fully amortizing fixed-rate mortgage loans with an aggregate unpaid principal balance (UPB) of approximately $739,888,377 and an original term to maturity of up to 30 years. The pool consists of 100.0% GSE-eligible conforming mortgage loans. The GSE-eligible loans were underwritten pursuant to GSE guidelines and were approved by DU/LP.Overall, the pool is of strong credit quality and includes borrowers with high FICO scores (weighted average primary borrower FICO of 769) and low loan-to-value ratios (weighted average CLTV 64.3%). The weighted average borrower total monthly income is $17,411 with an weighted average of $266,367 cash reserves. Approximately 49.8% of the mortgage loans (by UPB) were originated in California followed by Florida (approx. 5.8% by UPB) and Utah (approx. 5.6% by UPB). The high geographic concentration in the high-cost state of California is reflected in the high average balance of the pool ($333,584). Approximately 0.6% of the mortgage loans are designated as agency safe harbor Qualified Mortgages (QM) and meet Appendix Q to the QM rules with 93 such loan originated under the new QM APOR framework, two loans (0.1% by loan count) originated under the QM agency rebuttal and the remaining 95.1% (by loan count) of the mortgage loans are an extension of credit primarily for a business or commercial purpose and are not a covered transaction as defined in Section 1026.43(b) (1) of Regulation Z.Aggregation/Origination QualityWe consider JPMMAC's aggregation platform to be adequate and 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 UWM who originated and sold 100.0% of the mortgage loans in the pool. We did not make an adjustment for GSE-eligible loans (100.0% of the pool by balance) since those loans were underwritten in accordance with GSE guidelines.Servicing ArrangementWe consider the overall servicing framework for this pool to be adequate given the servicing arrangement of the servicer, as well as the presence of an experienced master servicer. Nationstar Mortgage LLC (Nationstar) (Nationstar Mortgage Holdings Inc. corporate family rating B2) will act as the master servicer.UWM will service 100% of the mortgage loans. Cenlar will sub-service the loans for UWM. The servicer is required to advance P&I on the mortgage loans. To the extent that the servicer is 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. The servicing fee for loans in this transaction is based on a step-up incentive fee structure with a monthly base fee of $25 per loan and additional fees for delinquent or defaulted loans.Third-Party ReviewThe credit, compliance, property valuation, and data integrity portion of the third party review (TPR) was conducted by AMC Diligence, LLC (AMC) on 131 mortgage loans out of the prospective securitization population of 2,424 mortgage loans (such mortgage loans, the 'Fully Reviewed Mortgage Loans'). Furthermore, AMC performed review on a random sample of 573 (the 'Sample Set'), approximately 25.0% by loan count, out of the remaining mortgage loans in the prospective securitization population. The reports of the Fully Reviewed Mortgage Loans and the Sample Set, 606 in total (approx. 27.3% by loan count), were analysed as two separate groups. With the exception of 12 mortgage loans which received a final "C" grade and 1 mortgage loan which received a final "D" grade, and in each case, the sponsor removed such loans from the mortgage pool, the due diligence 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. Overall, we did not make adjustments to our losses as (i) the sample size that went through full due-diligence either met or exceeded our credit-neutral criteria and (ii) after reviewing the dropped loans which received a final grade of "C" and final grade of "D", we did not deem these exceptions to be material and therefore did not extrapolate these TPR results on the unsampled portion of the pool.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 2022-INV1'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. 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 makes 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, except for certain "gap" R&Ws covering the period from the date as of which such R&W is made by an originator or an aggregator, respectively, to the cut-off date or closing date. 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. Next, 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 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 1.00% of the cut-off date pool balance, and as subordination lockout amount of 1.00% 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_1317424.The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each 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. Kevin Wang Associate Lead Analyst Structured Finance Group Moody's Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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