J.P. Morgan Mortgage Trust, 2021-15 is preparing to issue $1 billion in mortgage-backed securities, secured by a portfolio of predominantly 30-year, fixed-rate mortgages.
The prime transaction is composed of 1,005 residential mortgages, including both agency and non-agency loans, at 97.2% and 2.8% of the collateral pool, respectively. J.P. Morgan Securities and AmeriVet Securities are among the group of initial note purchasers, a group that includes Drexel Hamilton and Raymond James Associates, according to Kroll Bond Rating Agency.
Slated to close on Dec. 30, J.P. Morgan Mortgage Trust 2021-15 will issue notes through a senior subordinate structure that pays bondholders through a shifting interest payment priority, KBRA said.
The super senior classes of notes, with a balance of $907 million, benefit from 15% credit enhancement, with an applicable expected loss rate of 4.4%.
KBRA expects to assign ratings that range from ‘AAA’ — including the A-11 class pegged to the Secured Overnight Financing Rate (SOFR) — to ‘B+’. The J.P. The A-11 tranche is the only floating rate tranche in the deal, KBRA said.
The Morgan Mortgage Trust platform has had a SOFR tranche on every previous 2021 deal, according to Finsight data, and they have priced with a spread of about 95 basis points over SOFR.
All of the loans in the collateral pool are first lien, with borrowers largely financing single-family homes and planned unit developments. About 85.6% of the pool balance is on owner-occupied, while about 14.4% are on second homes, KBRA said.
The borrowers in the pool have weighted average (WA) original term of about 30 years. On a WA basis, the borrowers have an original credit score of 762, and an original loan-to-value ratio of 70.6%. Borrowers also have a WA annual income $454,461 and WA liquid reserves of $397,210.
J.P. Morgan Mortgage’s 2021-5’s notes will benefit from credit enhancement in the form of subordinate classes. The senior classes are also protected by a specified lockout period. Subordinate notes will not receive any portion of unscheduled principal payments coming from the underlying mortgages, KBRA said.
California accounts for the largest geographic representation by state, with 49.2% of the pool balance.
