J.P. Morgan Mortgage Trust 2023-1 is preparing to issue some $410.4 million in mortgage-backed certificates backed by a pool of prime-quality, fixed-rate mortgages, mostly sourced from United Wholesale Mortgage.
United Wholesale Mortgage accounts for the largest portion of originations, but at 25.1%, it doesn't account for the majority of loans in the pool, according to a pre-sale report from Fitch Ratings. Various originators—each of whom contribute less than 10% of loans to the pool—account for the other 74.9%.
Almost all the underlying loans, or 99.5% qualify as safe harbor qualified mortgage loans (SHQM) made to borrowers with very strong credit profiles. Also, 100% were underwritten following a full documentation On a weighted average (WA) basis the loans have an original credit score of 759; a combined loan-to-value (CLTV) ratio of 75.8%, which translates to a sustainable LTV of 81.9%.
The collateral characteristics paint a picture of an affluent borrower who lives in a large coastal city and is getting a large mortgage to finance a primary or secondary residence. Some 34% of the loans were extended to borrowers in California. Borrowers in the Los Angeles-Long Beach-Santa Ana MSA account for 12.8%, followed by 6.2% of borrowers in the Miami-Fort Lauderdale-Miami Beach area, and 5.4% in the San Francisco-Oakland-Fremont area.
While the loans are of very high credit quality, an almost equal portion of them (97.4%) are considered nonconforming, and 2.6% represents conforming loans. Some 359 mortgages are in the pool, while 54.5%, or 169 of the home loans, are over $1 million, and the largest is $2.9 million.
Fitch expects to assign ratings of 'AAA' throughout the capital structure, from the most senior A-5-A through A-12-X; 'AA+' from the A-13-A notes through the A-X-1; then 'BBB-' through 'B-' from the B-3 through B-5 notes.
The notes have a legal final maturity date of June 2053.
