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Kroll Bond Rating Agency (KBRA) has assigned preliminary ratings to 60 classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2021-15 (JPMMT 2021-15).
The pool comprises 1,005 first-lien fixed-rate residential mortgage loans with an aggregate principal balance of $1.1 billion as of the Dec. 1, 2021, cut-off date. The pool includes both non-agency (97.2%) and agency-eligible (2.8%) loans.
JPMMT 2021-15 consists of high-quality mortgage loans originated to prime credit borrowers with significant equity, as evidenced by the collateral’s weighted average (WA) original credit score of 762, WA debt-to-income (DTI) of 34.9, and WA original loan-to-value (LTV) of 70.6%. In addition, the pool’s WA original combined LTV (CLTV) of 70.8% provides a substantial margin of safety against potential home price declines.
The preliminary ratings were assigned as follows:
- A-6-A, A-6-X, A-8-A, A-8-X, A-9-A, A-9-X, A-10-A, A-10-X, A-11, A-11-X, A-13, A-15-A, A-15-B, A-X-1, A-X-3, A-X-4: AAA
- B-1-A, B-1-X: AA+
- B-2-A, B-2-X: A
- B-3: BBB+
- B-4: BB+
- B-5: B+
- B-6, A-R: Not rated
The JPMMT 2021-15 loans were acquired by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC), a residential mortgage conduit that resides within J.P. Morgan Securities LLC. JPMMAC purchases loans from a number of experienced third-party jumbo loan sellers. Potential loan sellers are approved based on experience, background reviews and an on-site review.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, an examination of the results from third-party loan file due diligence, cash-flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation.
To view the full report, visit www.kbra.com (registration required).