JPMorgan Chase is selling $332.6 million in residential mortgage-backed securities (RMBS), from a pool of 616 mortgages that rating agencies consider "non-prime."
J.P. Morgan Mortgage Trust, 2025-NQM1, sells notes through about 10 tranches of class A, mezzanine and B notes. Coupons range from 5.5% on the A1A tranche to 1.45% on the B3 notes, say analysts at Kroll Bond Rating Agency.
A hybrid repayment structure has the senior notes repaying investors on a pro rata basis. Meanwhile, the mezzanine and subordinate notes follow a sequential payment sequence, which fuels excess cashflow and provides credit enhancement to the notes, according to KBRA. Those credit enhancement levels include 35.4%, 25.4% and 25.4% on the A1A, A1B and A1 notes, and 2.95% and 1.45% on the B2 and B3 notes, the rating agency said.
The collateral pool has slightly tighter credit characteristics than the previous deal, the J.P. Morgan Mortgage Trust, 2024-NQM1, according to Kroll Bond Rating Agency. The moderate leverage is one example, as the current collateral pool's original loan-to-value (LTV) ratio is 69.1%, down from 71.7% on the 2024-NQM1 series.
KBRA assigned AAA ratings to the A1A through A1 notes; AA to the A2 notes and A to the A3 notes; BBB+ to the M1A notes; BBB- to the M1B notes; BB- to the B1 notes and B- to the B2 notes.
JPMorgan Securities is the sole bookrunner, KBRA said.
Almost all the mortgage types are fixed-rate, representing 95.5% of the pool, while hybrid adjustable-rate mortgages make up 4.5%, KBRA said. Also, a vast majority of the loans, a combined 96.1%, are classified as non-qualified mortgages or exempt from the ability-to-repay mortgage rule. And this appears to be because those mortgages were originated either for business purposes or by a Community Development Financial Institution (CDFI).
Yet underlying borrowers' debt-to-income ratio is 32.6%, down from 30.4% on the previous deal, KBRA said.
Series 2025-NQM1 had a smaller pool of loans compared to the previous deal's portfolio of 734, according to KBRA.
