KBRA Assigns Preliminary Ratings to J.P. Morgan Mortgage Trust 2024-HE3 (JPMMT 2024-HE3)

KBRA Assigns Preliminary Ratings to J.P. Morgan Mortgage Trust 2024-HE3 (JPMMT 2024-HE3)

KBRA assigns preliminary ratings to 7 classes of Mortgage Participation Pass-Through Certificates from J.P. Morgan Mortgage Trust 2024-HE3 (JPMMT 2024-HE3), a $402.7 million RMBS transaction sponsored by J.P. Morgan Mortgage Acquisition Corp. (J.P. Morgan) and FOCUS III Advisory, LLC (FOCUS) consisting mostly of second lien home equity line of credit (HELOC) loans. The underlying pool is seasoned approximately three months and comprises 5,433 loans, with United Wholesale Mortgage, LLC (39.8%) and loanDepot.com, LLC (35.3%) representing the largest contributing originators. The HELOCs are interest-only (IO) adjustable-rate mortgages, with IO terms of mostly ten years (95.8%). Most of the loans feature 20-year (92.7%) amortization terms, and HELOC initial draw windows of two (2.0%), three (91.3%), five (4.0%) or ten (2.7%) years. As of the August 30, 2024 cut-off date, the borrowers in the pool have drawn $511.9 million from a combined credit limit of $599.8 million for an aggregate utilization rate of 85.3%. The $402.7 unpaid principal balance represents the participation percentage allocated to JPMMT 2024-HE3 from the $511.9 million total drawn amount as of the cut-off date; participation rate equals 78.7%.

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Methodologies

• RMBS: U.S. RMBS Rating Methodology
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. 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.

Doc ID: 1006145

Analytical Contacts

Tom Reilly, Director (Lead Analyst)
+1 646-731-2317
tom.reilly@kbra.com

Daniel Hall, Senior Director
+1 646-731-2421
daniel.hall@kbra.com

Jack Kahan, Senior Managing Director, Head of Global RMBS (Rating Committee Chair)
+1 646-731-2486
jack.kahan@kbra.com

Business Development Contact

Daniel Stallone, Managing Director
+1 646-731-1308
daniel.stallone@kbra.com

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