KBRA has assigned preliminary ratings to seven classes of Mortgage Participation Pass-Through Certificates from J.P. Morgan Mortgage Trust 2024-HE3 (JPMMT 2024-HE3), a $402.7 million residential mortgage-backed securities (RMBS) transaction. This transaction is sponsored by J.P. Morgan Mortgage Acquisition Corp. and FOCUS III Advisory, LLC, primarily consisting of second lien home equity line of credit (HELOC) loans.
The underlying loan pool is approximately three months seasoned and comprises 5,433 loans. The largest contributing originators are United Wholesale Mortgage, LLC, accounting for 39.8%, and loanDepot.com, LLC, representing 35.3%. The HELOCs are structured as interest-only (IO) adjustable-rate mortgages, with the majority (95.8%) having IO terms of ten years. Most loans feature a 20-year amortization term (92.7%) and initial draw windows of two years (2.0%), three years (91.3%), five years (4.0%), or ten years (2.7%). As of the August 30, 2024 cut-off date, borrowers in the pool have drawn $511.9 million against a combined credit limit of $599.8 million, resulting in an aggregate utilization rate of 85.3%. The unpaid principal balance of $402.7 million reflects the participation percentage allocated to JPMMT 2024-HE3 from the total drawn amount, with a participation rate of 78.7%.
For further details, you can access the rating and relevant documents here.
Methodologies
- RMBS: U.S. RMBS Rating Methodology
- Structured Finance: Global Structured Finance Counterparty Methodology
- ESG: Global Rating Methodology
Disclosures
Additional information on key credit considerations, sensitivity analyses affecting credit ratings, and ESG factors that may influence ratings can be found in the full rating report linked above.
A comprehensive description of the material sources used in preparing the credit rating, including the methodologies and sensitivity analyses applied, is available in the Information Disclosure Form(s) here.
For information on the meaning of each rating category, please refer to this link.
Further disclosures related to this rating action are also available in the referenced Information Disclosure Form(s). More about KBRA’s policies, methodologies, rating scales, and disclosures can be found at www.kbra.com.
About KBRA
Kroll Bond Rating Agency, LLC (KBRA) is a comprehensive credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. KBRA Europe Limited is registered with the European Securities and Markets Authority, and KBRA UK Limited is recognized by the UK Financial Conduct Authority. Additionally, KBRA is designated by the Ontario Securities Commission as a rating organization for asset-backed securities and is recognized as a Credit Rating Provider by the National Association of Insurance Commissioners.
