Fitch Expects to Rate J.P. Morgan Mortgage Trust 2015-1; Presale Issued

Fitch Ratings expects to rate J.P. Morgan Mortgage Trust 2015-1 as follows:

--$300,000,000 class 1-A-1 exchangeable certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-A-2 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-3 exchangeable certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-A-4 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-5 exchangeable certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-A-6 exchangeable certificates 'AAAsf'; Outlook Stable;

--$300,000,000 class 1-A-7 exchangeable certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-A-8 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-9 exchangeable certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-A-10 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-11 exchangeable certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-A-12 exchangeable certificates 'AAAsf'; Outlook Stable;

--$300,000,000 class 1-A-13 exchangeable certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-A-14 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-15 exchangeable certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-A-16 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-17 exchangeable certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-A-18 exchangeable certificates 'AAAsf'; Outlook Stable;

--$300,000,000 class 1-A-19 exchangeable certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-A-20 exchangeable certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-21 certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-A-22 certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-A-23 certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-A-24 certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-A-25 exchangeable certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-A-26 exchangeable certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-A-27 exchangeable certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-A-28 certificates 'AAAsf'; Outlook Stable;

--$300,000,000 class 1-AX-1 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$300,000,000 class 1-AX-2 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$300,000,000 class 1-AX-3 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-AX-4 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-AX-5 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$115,835,000 class 1-AX-6 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-AX-7 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-AX-8 notional certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-AX-9 notional certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-AX-10 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-AX-11 notional certificates 'AAAsf'; Outlook Stable;

--$57,918,000 class 1-AX-12 notional certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-AX-13 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-AX-14 notional certificates 'AAAsf'; Outlook Stable;

--$150,000,000 class 1-AX-15 notional certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-AX-16 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-AX-17 notional certificates 'AAAsf'; Outlook Stable;

--$57,917,000 class 1-AX-18 notional certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-AX-19 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-AX-20 notional certificates 'AAAsf'; Outlook Stable;

--$37,670,000 class 1-AX-21 notional certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-A-1 exchangeable certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-A-2 exchangeable certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-A-3 exchangeable certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-A-4 exchangeable certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-A-5 exchangeable certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-A-6 exchangeable certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-A-7 exchangeable certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-A-8 exchangeable certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-A-9 exchangeable certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-A-10 exchangeable certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-A-11 exchangeable certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-A-12 exchangeable certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-A-13 exchangeable certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-A-14 certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-A-15 certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-A-16 certificates 'AAAsf'; Outlook Stable;

--$417,933,000 class 2-AX-1 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$417,933,000 class 2-AX-2 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$417,933,000 class 2-AX-3 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-AX-4 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-AX-5 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$383,219,000 class 2-AX-6 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-AX-7 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-AX-8 notional certificates 'AAAsf'; Outlook Stable;

--$153,288,000 class 2-AX-9 notional certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-AX-10 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-AX-11 notional certificates 'AAAsf'; Outlook Stable;

--$229,931,000 class 2-AX-12 notional certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-AX-13 exchangeable notional certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-AX-14 notional certificates 'AAAsf'; Outlook Stable;

--$34,714,000 class 2-AX-15 notional certificates 'AAAsf'; Outlook Stable;

--$72,384,000 class A-M-1 exchangeable certificates 'AAAsf'; Outlook Stable;

--$72,384,000 class A-M-2 exchangeable certificates 'AAAsf'; Outlook Stable;

--$72,384,000 class A-M-3 exchangeable certificates 'AAAsf'; Outlook Stable;

--$72,384,000 class A-M-4 exchangeable certificates 'AAAsf'; Outlook Stable;

--$22,562,400 class B-1 certificates 'AAsf'; Outlook Stable;

--$16,451,100 class B-2 certificates 'Asf'; Outlook Stable;

--$12,690,900 class B-3 certificates 'BBBsf'; Outlook Stable;

--$7,520,500 class B-4 certificates 'BBsf'; Outlook Stable.

The $9,400,692.60 class B-5 certificates will not be rated.

KEY RATING DRIVERS

High Quality Adjustable-Rate Mortgages: The collateral pool consists of five-year hybrid adjustable-rate mortgages (ARMs) to borrowers with strong credit profiles, low leverage, and substantial liquid reserves. All of the loans were originated by FRB, which Fitch considers to be an above-average originator of prime jumbo product. Third-party, loan-level due diligence was conducted on 100% of the pool with minimal findings indicating strong underwriting controls.

Payment Shock Exposure: The pool consists entirely of ARM loans while approximately 73% also have interest-only (IO) features. Loan products that result in periodic changes in a borrower's payment such as ARMs and IOs expose borrowers to payment reset risk. Future rises in interest rates and payment re-amortization after the expiration of interest-only periods can increase monthly payments considerably. To account for this risk, Fitch applied a probability of default (PD) penalty of approximately 1.95x to the ARM loans without IO terms and 2.02x to those with IO features.

High Geographic Concentration: The pool's primary concentration risk is California, where 53.9% of the properties are located. In addition, 80.6% of the properties are located in the pool's top five metropolitan statistical areas (MSA) in California, New York, and Massachusetts. The pool has significant regional concentrations, which resulted in an additional penalty of approximately 67% to the pool's lifetime default expectation.

Leakage from Reviewer Expenses: The trust is obligated to reimburse the breach reviewer, Pentalpha Surveillance LLC (Pentalpha), each month for any reasonable out-of-pocket expenses incurred if the company is requested to participate in any arbitration, legal or regulatory actions, proceedings, or hearings. These expenses include Pentalpha's legal fees and other expenses incurred outside its annual fee schedule and are not subject to a cap or certificateholder approval. Furthermore, certificateholders are obligated to pay Pentalpha a termination fee of $140,000 to terminate the contract. While Fitch accounted for the potential additional costs by upwardly adjusting its loss estimation for the pool, Fitch views this construct as adding potentially more ratings volatility than those that do not have this type of provision.

Extraordinary Expense Adjustment: Extraordinary expenses, which include loan file reviews costs, arbitration expenses for enforcement of the reps, and additional fees of Pentalpha, will be taken out of available funds and not accounted for in the contractual interest owed to the bondholders. This construct can result in principal and interest shortfalls to the bonds starting from the bottom of the capital structure. To account for the risk of these non-credit events reducing subordination, Fitch adjusted its loss expectations upward by 30 bps for the class A bonds, 25 bps for classes B-1 through B-4.

Tier 3 Representation and Warranty Framework: While the transaction benefits from JPMCB ('A+'/Outlook Stable/'F1') and FRB ('A-'/Outlook Stable/'F1') as representation and warranty (rep and warranty) providers for the pool, Fitch believes the value of the rep and warranty framework is diluted by the presence of qualifying and conditional language in conjunction with sunset provisions, which reduces lender breach liability. While the agency believes the high credit quality pool and clean diligence results mitigate these risks, Fitch considered the weaker framework in its analysis.

RATING SENSITIVITIES

After Fitch determines credit ratings through a rating stress scenario analysis, additional sensitivity analyses are considered. The analyses provide a defined stress sensitivity to demonstrate how the ratings would react to steeper MVDs than assumed at issuance as well as a defined sensitivity that demonstrates the stress assumptions required to reduce a rating by one full category, to non-investment grade, and to 'CCCsf'.

The defined stress sensitivity analysis focuses on determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20%, and 30%, in addition to the model projected 5.4% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection.

Fitch also conducted defined rating sensitivities analyses which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 5%, 28% and 53% could potentially lower the 'AAAsf' rated class one rating category, to non-investment grade, and to 'CCCsf', respectively.

Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'J.P. Morgan Mortgage Trust 2015-1', published in January 2015, which is available on Fitch's web site, 'www.fitchratings.com'.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research

--'Global Structured Finance Rating Criteria' (August 2014);

--Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);

--'U.S. RMBS Master Rating Criteria' (July 2014);

--'U.S. RMBS Loan Loss Model Criteria' (November 2014);

--'U.S. RMBS Cash Flow Analysis Criteria' (April 2014);

--'U.S. Residential and Small Balance Commercial Mortgage Servicers Rating Criteria' (January 2014);

--'U.S. RMBS Surveillance and Re-REMIC Criteria' (June 2014).

Applicable Criteria and Related Research: J.P. Morgan Mortgage Trust 2015-1 (US RMBS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=861429

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=978993

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