Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 51 classes of mortgage pass-through certificates from J.P. Morgan Mortgage Trust 2020-2 (JPMMT 2020-2).
J.P. Morgan Mortgage Trust 2020-2 (JPMMT 2020-2) is a prime RMBS transaction comprising 1,105 residential mortgages with an aggregate principal balance of $781.9 million as of the February 1, 2020 cut-off date. The underlying collateral includes both prime jumbo (58.6%) and conforming (41.4%) mortgage loans, all of which have been designated as Qualified Mortgages (QM).
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- JPMMT 2020-2 Pre-Sale Report
- JPMMT 2020-2 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- U.S. RMBS Rating Methodology
- Global Structured Finance Counterparty Methodology
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About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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