NEW YORK--(EON: Enhanced Online News)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to ten classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2016-5 (JPMMT 2016-5), a prime jumbo RMBS transaction.
The JPMMT 2016-5 mortgage pool is composed of 455 first-lien mortgage loans with an aggregate principal balance as of the cut-off date of $385,333,755, and WA seasoning of approximately 19 months. The collateral pool consists entirely of 30-year Adjustable Rate Mortgages (ARMs), of which 259 are fully-amortizing mortgage loans (59.1%) and 196 loans (40.9%) are interest-only for a 10-year period. The mortgage pool is split into 2 groups: group 1 consists of ARM loans which contain an initial fixed rate period of approximately 5 years (49.4%), while group 2 consists of ARMs with initial fixed rate periods of 7 years (49.9%) and 10 years (0.7%). The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 60.5% and WA original CLTV of 62.5%. The weighted average original credit score is 764, which is within the prime mortgage range.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss 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. This analysis is further described in our U.S. RMBS Rating Methodology.
View the KBRA Pre-Sale Report using the following link: J.P. Morgan Mortgage Trust 2016-5 Pre-Sale Report, published December 14, 2016
- U.S. RMBS Rating Methodology, published July 7, 2016
- Residential Mortgage Default and Loss Model, published January 16, 2015
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk, published April 22, 2014
- KBRA Expects TRID to Have Limited Impact on RMBS Enhancement Levels, published April 13, 2016
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).