KBRA Assigns Preliminary Ratings to J.P. Morgan Mortgage Trust 2023-2 (JPMMT 2023-2)

NEW YORK--()--KBRA assigns preliminary ratings to 79 classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2023-2 (JPMMT 2023-2). The pool comprises 320 first-lien, fixed rate residential mortgage loans with an aggregate principal balance of $360.7 million as of the cut-off date. The pool includes both non-agency (96.4%) and agency-eligible (3.6%) loans. The weighted average original credit score is 753, which is well within the prime mortgage range.

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. This analysis is further described in our U.S. RMBS Rating Methodology

To access ratings and relevant documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Contacts

Analytical Contacts

Sharif Mahdavian, Managing Director (Lead Analyst)
+1 (646) 731-2301
sharif.mahdavian@kbra.com

Abou Traore, Associate
+1 (646) 731-1258
abou.traore@kbra.com

Varun Khanolkar, Analyst
+1 (646) 731-1232
varun.khanolkar@kbra.com

Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2486
jack.kahan@kbra.com

Business Development Contact

Dan Stallone, Senior Director
+1 646-731-1308
daniel.stallone@kbra.com

Contacts

Analytical Contacts

Sharif Mahdavian, Managing Director (Lead Analyst)
+1 (646) 731-2301
sharif.mahdavian@kbra.com

Abou Traore, Associate
+1 (646) 731-1258
abou.traore@kbra.com

Varun Khanolkar, Analyst
+1 (646) 731-1232
varun.khanolkar@kbra.com

Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2486
jack.kahan@kbra.com

Business Development Contact

Dan Stallone, Senior Director
+1 646-731-1308
daniel.stallone@kbra.com