A pool consisting entirely of home equity line of credit (HELOC) loans will secure $379.9 million in securitized bonds from the J.P. Morgan Mortgage Trust, 2024-HE2.
The trust will offer certificates through 11 tranches of class A, M and B notes, most of which are priced against the Secured Overnight Financing Rate (SOFR), according to Kroll Bond Rating Agency, which is assigning ratings to the certificates. The trust will repay the senior and mezzanine notes on a pro rata basis, while the B1 through B3 will be subordinate in the repayment priority, the rating agency said.
Also, one of the subordinate tranches, the BX is exchangeable, according to the capital structure. Credit enhancement levels on the notes include 35.70% on the A1 notes; 28.15% on the M1 tranche; 19.95% on the M2 notes; 7.80% on the B1 notes; and 3.5% on the B3 tranche, according to KBRA.
J.P. Morgan Securities is the sole bookrunner on the deal, according to KBRA. Shellpoint Mortgage Servicing and loanDepot.com, are on the deal as servicers, with the former servicing 80.7% of the pool, according to the rating agency.
As for the portfolio, five originators contributed the bulk of the 4,321 loans to the deal, with United Wholesale Mortgage contributing the most, with 68.4%. After United, loandepot,com was the next largest originator, with 19.3% of the pool. On average, the loans have an average balance of $87,922. The aggregate top five balances account for 0.7% of the deal.
Given the potential for instability and high loss expectations in the portfolio, the JP Morgan Mortgage Trust structure has several enhancements to ensure that bondholders are repaid on time. For one, interest due on the certificates is limited to being paid solely from the interest distribution waterfall, but the senior and mezzanine certificates benefit from the sequential order of the interest distribution waterfall. Also, all certificates benefit from excess spread, KBRA said.
KBRA assigns AAA to the A1 notes; AA+ to the M1 tranche; A+ to the M2; BBB+ to the M3; BB+ to the B1; BB to the B2 and B+ to the B3.
