NEW YORK–(BUSINESS WIRE) – The Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to twenty-one classes of Mortgage Pass-Through Certificates from JP Morgan Mortgage Trust 2021-INV1 (JPMMT 2021-INV1), a premium RMBS transaction made up of 513 residential mortgages using The total face value as of May 1, 2021 was approximately $ 268.0 million. The underlying collateral includes prime non-compliant (44.6%) and compliant (55.4%) loans and is fully backed by investment property. The pool is characterized by significant borrower equity in each mortgage-backed property, as suggested by WA’s original CLTV of 59.2%. The weighted average initial credit score is 775, which is well in line with the home mortgage range.
KBRA’s rating approach included an analysis of the mortgage pool at the loan level through the KBRA RMBS credit model, a review of the results of the due diligence on third-party credit files, a cash flow model analysis of the payment structure of the transaction, reviews of the key transaction parties and an analysis of the legal structure and documentation of the transaction. This analysis is further described in our US RMBS rating methodology.
Learn more about key credit considerations, sensitivity studies that take into account what factors can affect those credit ratings and how they can lead to an upgrade or downgrade, and ESG factors (where they are a major driver of change in creditworthiness or the rating outlook) can be found in the full rating report referenced above.
A description of all material sources used to establish the rating and information on the methods (including all material models and sensitivity analyzes of the relevant material rating assumptions, if applicable) used to determine the rating are available on the forms to disclose information Here.
Information on the meaning of the individual assessment categories can be found here Here.
Please refer to the information disclosure forms above for more information about this rating action. For more information on KBRA policies, methods, rating scales and disclosures, see www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service rating agency registered with the US Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority under the Temporary Registration Regime. In addition, KBRA is named by the Ontario Securities Commission as a designated rating organization for issuers of asset-backed securities for the purpose of filing a short prospectus or a shelf prospectus. KBRA is also recognized as a rating provider by the National Association of Insurance Commissioners.