KBRA Affirms Ratings for VERUS 2024-4 and VERUS 2024-5, Maintains Watch Developing on JPMMT 2015-5
22 May 2025 | New York
KBRA recently reviewed the ratings from three RMBS transactions—J.P. Morgan Mortgage Trust 2015-5 (JPMMT 2015-5), Verus Securitization Trust 2024-4 (VERUS 2024-4), Verus Securitization Trust 2024-5 (VERUS 2024-5)—resulting in 12 rating affirmations across the two VERUS transactions and 17 ratings from JPMMT being maintained on Watch Developing. The related transactions are listed further below with links to the appropriate page on kbra.com which show the applicable ratings. The affirmations reflect generally stable collateral and structure performance, as evidenced by increased credit support for rated classes and minimal losses since issuance.
KBRA is maintaining its placement of the ratings from JPMMT 2015-5 on Watch Developing due to interest shortfalls on certain rated classes (Classes B-3 and B-4) as of the April 2025 distribution. The ratings for JPMMT 2015-5 were initially placed on Watch Developing on February 21, 2025. KBRA notes that none of the rated classes have experienced principal losses, and the interest shortfalls have not been of a size or duration such that it would prompt rating actions at this time; however, KBRA is evaluating the potential duration of the shortfalls. Classes B-3, B-4 and B-5, have had outstanding interest shortfalls as of February 2024; classes B-1 and B-2 have had interest shortfalls that have since been reduced to zero. KBRA communicated with the issuer and trustee to gain insight into the cause of the interest shortfalls. KBRA is monitoring the ongoing recoveries of these interest shortfalls and will consider the associated timing and recovery as part of its Watch resolution.
KBRA performed its analysis in accordance with its RMBS methodology. In performing these rating actions, KBRA considered transaction performance to date, updated home values via home price indexation, updated expected loss estimates, and capital structure behavior under various cash flow stress scenarios, where applicable. The rating actions, along with related deal and tranche performance information, are available in spreadsheet form in the accompanying KBRA RMBS Surveillance KCAT report.
Certain subordinate classes of the transactions listed below may have experienced losses and/or interest shortfalls. However, KBRA notes that none of the rated classes have experienced losses.
We note that, in general, these RMBS assets and liabilities can have long weighted average lives and structural features that provide for changes in payment priority over time. KBRA often considers seasoning in determining the extent of positive rating actions effectuated in a manner that also considers a transaction’s structure. This includes features such as the remaining size of more senior certificates, principal payments to subordinate tranches, and credit enhancement floor provisions. These features are weighed against, among other things, the tenor of the rated classes and the length of performance history associated with the collateral pool. In light of these considerations, KBRA has taken the rating actions as discussed above, determining that the rated classes were able to withstand the rating stresses applied within an acceptable tolerance.
For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures: