KBRA Assigns Preliminary Ratings to JP Morgan Mortgage Trust 2022-DSC1 (JPMMT 2022-DSC1)


NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings to four categories of JP Morgan Mortgage Trust 2022-DSC1 Mortgage Transfer Certificates (JPMMT 2022-DSC1). This is an investor’s first non-premium cash flow 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 have an initial weighted average (WA) credit rating of 745, an initial loan-to-value ratio (LTV) of WA of 69.5% and an initial combined LTV of WA (CLTV) of 69.5%. WA’s original DSCR has about 1.4x coverage. All loans were issued for business purposes and are exempt from the Capacity to Repay (ATR) and TILA-RESPA Integrated Disclosure (TRID) rules.

KBRA’s scoring approach incorporated loan-level analysis of the mortgage pool through its US RMBS Mortgage Default and Loss Model, review of third-party loan file due diligence results, analysis cash flow modeling of the payment structure of the transaction, reviews of key transaction parties and an assessment of the legal structure and documentation of the transaction. This analysis is further described in our US RMBS Rating Methodology. KBRA also used its US Single Family Rental Securitization Methodology to analyze select 1-4 multi-property investor loans in the pool.

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Further information on key credit considerations, sensitivity analyzes which look at factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a factor key to the change in credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of key relevant rating assumptions, if any) used to determine credit rating are available in the Information Disclosure Form(s) located here.

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

Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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.


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