J.P. Morgan plans to issue its second RMBS deal of 2013, the $442.4 million Mortgage Trust 2013-2.

Fitch Ratings and Kroll Bond Ratings have each assigned ratings to the notes issued under the capital structure. Fitch did not rate the class A-1 and A-2 notes, which were rated ‘AAA’ by Kroll.

The class A-3, A-4, A-IO1, A-IO2 have each been assigned ‘AAA’/ ‘AAA’ by Fitch and Kroll respectively. The AM notes were rated 'AAA' by Kroll but Fitch said it was not asked to rate the notes. The ratings agency said that based on its "expected losses and cash flow stresses,  the credit risk of this certificate is commensurate with a ‘AAsf’ rating."

The class B-1 notes’ B-2 notes, B-3 notes and B-4 notes have been assigned ‘AA’/ ‘AA’; ‘A’/ ‘A’; ‘BBB’/ ‘BBB’; and ‘BB’/ ‘BB’ respectively.

The deal is backed by 54, 30-year fixed rate mortgages with an average loan balance of $813,498. Some of the loans are considered “super-jumbo” or “mega-jumbo” mortgages, according to the Kroll presale report.

The largest loan in JPMMT 2013-2 is $1.96 million, which represents approximately 0.44% of the mortgage pool.

Borrower quality is strong, reflected in the 773 weighted average original FICO and most loans indicate prudent debt-to-income ratios, especially given relatively high borrower incomes, according to Kroll.   

In addition, third-party due diligence was conducted on 100% of the pool and the results indicated strong underwriting controls.

Geographic concentration of the pool is high because this “super jumbo” mortgages are often regions of the country where home prices are highest. The deal has significant exposure to assets located in California (46.45%).

Fitch said in its presale report that the deal’s representations and warranties is significantly diluted by certain sunset provisions. The ratings agency said absent  this risk factor, credit enhancement for the deal would have been lower and more in line with recent Fitch-rated transactions.


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