JP Morgan's latest pool of prime mortgages is set to raise $336.5 million in residential mortgage-backed securities (RMBS) through a deal set to close by the end of the month.
The asset pool is composed of 264 fixed-rate, qualified mortgages entirely, and all the underlying assets received independent third-party review, while a large majority, 86.2% are considered non-conforming loans, according to Kroll Bond Rating Agency analysts.
In fact, almost one third of borrowers in the pool, 26.3%, are self-employed, with a non-zero weighted average (WA) average income of $832,522, and $666,211 in liquid reserves.
Just 13.8% of the mortgages in the collateral pool are considered conforming loans, KBRA noted.
The deal structure includes about six super senior tranches that are expected to offer coupons of 4.50%, KBRA said. Those notes also have credit enhancement levels of 15.00%, the rating agency said.
The notes will repay investors following a senior-subordinate structure, with a shifting interest feature.
One tranche, the A-9-B senior support tranche, is expected to offer a coupon of 5.00%, according to KBRA. Classes B-1-A and B-2-A expect to offer coupons of 5.62% and 5.87%, respectively.
While J.P. Morgan Securities is the sole bookrunner and initial purchaser, and co-managers include Academy Securities, AmeriVet Securities, Cantor Fitzgerald and Drexel Hamilton, KBRA said.
On average, the mortgages have an average balance of $1.2 million, with a weighted average coupon (WAC) of 6.30%. They have a WA FICO score of 776, with moderate leverage of 74.4%, according to the rating agency.
Owner-occupied properties account for 88.4% of the pool, while second homes represent 11.6% of the pool, KBRA said.
KBRA's ratings range from assigns AAA to the A1 through the A-X-1 tranche to B- on the B5 notes.
