KBRA Assigns Preliminary Ratings to J.P. Morgan Mortgage Trust 2022-DSC1 (JPMMT 2022-DSC1)

NEW YORK--(BUSINESS WIRE)--KBRA assigns preliminary ratings to four classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2022-DSC1 (JPMMT 2022-DSC1). This is the Sponsor’s first investor cash flow non-prime RMBS transaction, collateralized by investment property loans that were underwritten using debt service coverage ratios (DSCRs). The underlying pool comprises 980 loans with an aggregate principal balance of $308.2 million as of the November 1, 2022 cut-off date.

The JPMMT 2022-DSC1 pool is composed primarily of 30-year fixed rate mortgages (94.2% of the pool). The loans exhibit a weighted average (WA) original credit score of 745, a WA original loan-to-value (LTV) of 69.5% and a WA original combined LTV (CLTV) of 69.5%. The WA original DSCR is approximately 1.4x coverage. All the loans were originated for business purpose and are exempt from the Ability-to-Repay (ATR) and TILA-RESPA Integrated Disclosure (TRID) rules.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its U.S. RMBS 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. KBRA also utilized its U.S. Single-Family Rental Securitization Methodology for analyzing certain multi-property investor 1-4 loans in the pool.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publications

• JPMMT 2022-DSC1 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)
• U.S. RMBS Rating Methodology
• U.S. RMBS Mortgage Default and Loss Model Methodology

• U.S. Single-Family Rental Securitization Methodology

• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

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 pursuant to the Temporary Registration Regime. 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.