J.P. Morgan Mortgage Trust 2021-11 is preparing to come to market with its eleventh residential mortgage-backed securities (RMBS) deal, hoping to raise notes off of a portfolio with an unpaid principal balance of $1.6 billion.
The loan pool is largely comprised of prime, jumbo, non-conforming loans. The latter represents about 94.2% of the collateral pool. Loans eligible for purchase by government-sponsored entities represent the other 5.8% of the pool, according to Moody’s Investors Service.
J.P. Morgan Mortgage Acquisition Corp is the deal’s sponsor, with United Wholesale Mortgage, and loanDepot.com accounting for the majority of originators. Other originators accounted for less than 5% each In high quality pool, underlying loan borrowers had a weighted average (WA) FICO score is 776; the WA original LTV was 69.2%; and the WA debt-to-income ratio is 33%.
Moody’s notes that the collateral pool has 1,722 underlying loans, and a shifting interest capital structure. The loans have a WA seasoning of three months, and WA remaining terms of 357 months.
In terms of how originators underwrote the underlying loans, Moody’s notes that all of the loans, except 501 were assessed following the new general QM rule. Third party reviews verified that the annual percentage rate of the loans met the QM rule’s thresholds, generally at 1.5% over average prime offer rate.
Among other characteristics, borrowers with two or more mortgages represent about 33.8% of the pool, Moody’s notes, adding that borrowers with more than one mortgage have a higher likelihood of default. Borrowers with three or more mortgages represent just 9.4% of the pool. Moody’s did point out that high-income borrowers with stable employment might support debt payments on mortgages other than primary residences, such as vacation properties.
Also, self-employed borrowers represent about 17.9% of the pool. Moody’s noted that while self-employed borrowers might have income sources that are less stable than salaried earners, they are not necessarily riskier borrowers.
By the cutoff date, none of the underlying borrowers had inquired about or requested forbearance plans with their respective servicers, some of which are United Wholesale Mortgage and NewRez LLC. Also, none had previously made use of a COVID-related forbearance plan.
Moody’s expects to assign ‘Aaa’ ratings on most of the classes, particularly A-1 through A-13 and A-16 through A-X-3 on the shifting interest structure.
