NEW YORK–(BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to twenty-one classes of mortgage transmission certificates of JP Morgan Mortgage Trust 2021-INV1 (JPMMT 2021-INV1), a blue chip RMBS transaction comprising 513 global capital balance of approximately $ 268.0 million as of the May 1, 2021 deadline. The underlying collateral includes both non-compliant (44.6%) and compliant (55.4%) senior loans, and is fully secured through investment properties. The pool is characterized by substantial borrowing capital in each mortgaged property, as evidenced by WA’s original CLTV of 59.2%. The initial weighted average credit score is 775, which is well within the range for prime mortgages.
KBRA’s scoring approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS credit model, a review of due diligence results of third-party loan files, flow modeling analysis of the payment structure of the transaction, reviews of the major parties to the transaction, and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.
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Further information on key credit considerations, sensitivity analyzes that take into account the factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be found in the full rating report mentioned above.
A description of all substantially significant sources that were used in preparing the credit rating and information on the methodology (s) (including significant models and sensitivity analyzes of key relevant rating assumptions, where applicable applicable) used to determine the credit rating are available in the Information Disclosure Form (s) located here.
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Additional information relating to this rating action is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s policies, methodologies, rating scales and information is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as CRA with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is designated as a designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.