Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to thirty-three classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2019-INV2 (JPMMT 2019-INV2), a prime RMBS transaction, the second from JPMMT backed predominately by non-agency and agency-eligible investment-purpose mortgage loans exempt (97.1%) from Ability-to-Repay (ATR) rules. The remaining 2.9% of the pool are QM Safe Harbor (32 loans) and QM Rebuttable Presumption (1 loan).
The JPMMT 2019-INV2 mortgage pool is composed of 1,176 first-lien mortgage loans with an aggregate principal balance of $ 484,412,316 as of the cut-off date. The underlying collateral consists entirely of fully-amortizing, fixed-rate mortgages. The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 66.1% and WA original CLTV of 66.1%. The weighted average original credit score is 765, which is within the prime mortgage range.
KBRAs 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 transactions payment structure, reviews of key transaction parties and an assessment of the transactions legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- JPMMT 2019-INV2 Pre-Sale Report
- JPMMT 2019-INV2 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- U.S. RMBS Rating Methodology
- Global Structured Finance Counterparty Methodology
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About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Armine Karajyan, Associate Director
Hannah Brennan, Analyst
Jack Kahan, Senior Managing Director