OREANDA-NEWS. August 04, 2015.  Fitch Ratings rates J.P. Morgan Mortgage Trust 2015-5(JPMMT 2015-5) as follows:

--\\$150,000,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$266,197,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$60,388,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$31,002,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$58,610,000 class A-5 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$107,168,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$55,017,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$104,012,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$150,000,000 class A-1-A exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$150,000,000 class A-1-X exchangeable notional certificates 'AAAsf'; Outlook Stable;
--\\$266,197,000 class A-2-A exchangeable certificates 'AAAsf'; Outlook Stable;
--\\$266,197,000 class A-2-X exchangeable notional certificates 'AAAsf'; Outlook Stable;
--\\$60,388,000 class A-3-A certificates 'AAAsf'; Outlook Stable;
--\\$60,388,000 class A-3-X notional certificates 'AAAsf'; Outlook Stable;
--\\$31,002,000 class A-4-A certificates 'AAAsf'; Outlook Stable;
--\\$31,002,000 class A-4-X notional certificates 'AAAsf'; Outlook Stable;
--\\$58,610,000 class A-5-A certificates 'AAAsf'; Outlook Stable;
--\\$58,610,000 class A-5-X notional certificates 'AAAsf'; Outlook Stable
--\\$107,168,000 class A-6-A certificates 'AAAsf'; Outlook Stable;
--\\$107,168,000 class A-6-X notional certificates 'AAAsf'; Outlook Stable;
--\\$55,017,000 class A-7-A certificates 'AAAsf'; Outlook Stable;
--\\$55,017,000 class A-7-X notional certificates 'AAAsf'; Outlook Stable;
--\\$104,012,000 class A-8-A certificates 'AAAsf'; Outlook Stable;
--\\$104,012,000 class A-8-X notional certificates 'AAAsf'; Outlook Stable;
--\\$39,661,000 class A-9 certificates 'AAsf'; Outlook Stable;
--\\$9,304,000 class B-1 certificates 'AAsf'; Outlook Stable;
--\\$9,303,000 class B-2 certificates 'Asf'; Outlook Stable;
--\\$5,141,000 class B-3 certificates 'BBBsf'; Outlook Stable;
--\\$4,162,000 class B-4 certificates 'BBsf'; Outlook Stable.

The 'AAAsf' rating on the senior certificates reflects the 15.00% subordination provided by the 8.10% class A-9, 1.90% class B-1, 1.90% class B-2, 1.05% class B-3, 0.85% class B-4 and 1.20% class B-5. Fitch will not rate the \\$5,876,219 class B-5 certificates.

Fitch's ratings reflect the high quality of the underlying collateral, the clear capital structure, and the high percentage of loans reviewed by third-party due diligence companies. 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 2015-5 will be J.P. Morgan Mortgage Acquisition Corp.'s fifth transaction of prime residential mortgages in 2015. The certificates are supported by a pool of prime five-year, seven-year, and 10-year hybrid adjustable-rate mortgage (ARM) loans. Approximately 63% of the pool has an interest-only (IO) period. The majority of the pool was originated by First Republic Bank (FRB); the remaining loans were originated by various originators, none of which make up more than 0.6% of the collateral.

As of the cut-off date, the aggregate pool consisted of 506 loans with a total balance of \\$489,644,220; an average balance of \\$967,676; a weighted average original combined loan-to-value ratio (CLTV) of 64.5%, and a weighted average coupon (WAC) of 3.2%. Rate/Term and cash-out refinances account for 33.4% and 18.0% of the loans, respectively. The weighted average original FICO credit score of the pool is 761. Owner-occupied properties make up 75.2% of the loans. The states that represent the largest geographic concentration are California (59.2%), New York (24.5%) and Massachusetts (6.6%).

KEY RATING DRIVERS
High-Quality Adjustable-Rate Mortgages: The collateral pool consists of five-year, seven-year, and 10-year hybrid adjustable-rate mortgages (ARMs) to borrowers with strong credit profiles, low leverage, and substantial liquid reserves. Approximately 97% of the collateral was 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 63% 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 1.67x to the ARM loans without IO terms and 1.87x to those with IO features.

High Geographic Concentration: The pool's primary concentration risk is California, where 59.2% of the properties are located. In addition, 82.8% 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 1.65x to the pool's lifetime default expectation.

Leakage from Reviewer Expenses: The trust is obligated to reimburse the breach reviewer, 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 up to \\$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-review 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 35 bps at the AAAsf level, 30 bps at the AAsf, 25bps at the Asf and BBBsf, and 20 bps at the BBsf level.

Tier 3 Representation and Warranty Framework: While the transaction benefits from JPMCB ('A+'/'F1'; Outlook Stable) and FRB ('A-'/'F1'; Outlook Stable) as 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
Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction.

Fitch conducted sensitivity analysis 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 8.5% for this pool. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection.

Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'.

Fitch's stress and rating sensitivity analysis are discussed in its presale report released today, J.P. Morgan Mortgage Loan Trust 2015-5, available at 'www.fitchratings.com' or by clicking on the link.

DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Opus Capital Markets Consultants LLC, American Mortgage Consultants, and Inglet Blair. The information covered credit, compliance, and appraisals. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. Fitch considered this information in its analysis and, based on the findings, did not make any material adjustments to its analysis.