NEW YORK–(BUSINESS WIRING) – Kroll Bond Rating Agency (KBRA) assigns provisional ratings to 21 classes of end-to-end mortgage certificates from JP Morgan Mortgage Trust 2021-INV4 (JPMMT 2021-INV4), the main RMBS transaction of 1,516 residential mortgages with aggregate principal. balance of approximately $ 566.4 million as of the countdown date August 1, 2021. The underlying collateral includes major non-compliant (13.4%) and related (86.6%) loans and is fully secured by investment property. The pool has a significant share of the borrower in every pledged property, as evidenced by the initial Washington State CLTV of 63.0%. The initial weighted average credit rating is 768, which is within the main range of mortgages.
The KBRA rating approach included loan-level mortgage pool analysis using the KBRA RMBS credit model, examining the results of due diligence of the loan file by a third party, analyzing the cash flow modeling of the transaction payment structure, reviews of the main parties to the transaction, and evaluating the legal structure of the transaction and documentation. This analysis is further described in our US RMBS ranking methodology.
Additional information on the key aspects of creditworthiness, a sensitivity analysis that examines what factors can affect these credit ratings and how they can lead to an upgrade or downgrade, and ESG factors (where they are a key driver of credit rating or rating forecast changes) can be found in the full rating report mentioned above.
A description of all material sources used to prepare the credit rating and information on the methodology (s) (including any significant models and sensitivity analysis of the related key rating assumptions, if applicable) used in determining the credit rating is available. in the Disclosure Forms located here…
Information on the meaning of each rating category can be found here…
Additional information disclosed in connection with this rating action is available in the disclosure form (s) referred to above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures is available at www.kbra.com…
Kroll Bond Rating Agency, LLC (KBRA) is a full service rating agency registered with the US Securities and Exchange Commission as the 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 under the Temporary Registration Regime. In addition, KBRA has been designated by the Ontario Securities Commission as a rating organization for issuers of asset-backed securities to file a short prospectus or finished prospectus. KBRA is also recognized as a credit rating provider by the National Insurance Commissioners Association.