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KBRA Assigns Preliminary Ratings to JPMMT 2022-3

David Krechevsky
Mar 21, 2022
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Pool comprises 891 residential mortgage loans with an aggregate principal balance of $1 billion.

KBRA has assigned preliminary ratings to 71 classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2022-3 (JPMMT 2022-3), the ratings agency said. 

The JPMMT 2022-3 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.

The pool comprises 891 first-lien, fixed-rate residential mortgage loans with an aggregate principal balance of $1 billion as of the March 1, 2022, cut-off date. The pool includes both non-agency (96.8%) and agency-eligible (3.2%) loans. The weighted average original credit score is 765, which is well within the prime mortgage range.

KBRA assigned preliminary ratings as follows:

  • A-12-A, A-13-A, A-14-A, A-15-A, A-16-A, A-21, A-21-X, A-22, A-22-X, A-23, A-23-X, A-24, A-24-X, A-26-A, A-27-A, A-X-1, A-X-4-A, A-X-4-B: 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.

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.

For the full report, visit www.kbra.com (registration required).

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