KBRA Resolves Watch Developing on JPMMT 2015-5, Downgrades Class B-4 and Affirms Remaining Ratings
20 Aug 2025 | New York
KBRA recently reviewed the ratings from JPMMT 2015-5, resulting in a rating downgrade for Class B-4 from ‘AA+ (sf)’ to ‘A (sf)’. The ratings for each of the 16 remaining rated classes, each of which are senior to the Class B-4, were affirmed at ‘AAA’. Concurrently, all outstanding ratings were removed from Watch Developing, where they were initially placed in February 2025. The rating affirmations reflect the transaction’s increased credit support for the rated classes and our expectations regarding the performance of the remaining loans in the pool. The rating downgrade for Class B-4 reflects the persistent disruption in interest payments that has continued for 18 months as of the most recent payment date.
JPMMT 2015-5 is a securitization of Prime Jumbo residential mortgage collateral which is seasoned, on average, 148 months. As of the most recent payment date, the collateral pool factor was 5.1%, with approximately 30 loans remaining. The collateral in the transaction has performed positively since issuance with no collateral losses reported to date, and none of the rated classes have experienced losses or write-downs. However, all rated classes started experiencing interest shortfalls in February 2024, which are being recovered over time from ongoing trust cash flow in accordance with the transaction’s waterfall. The shortfalls resulted from an atypical payoff of a large balance loan, where administrative issues and servicer discretion relating to the recoupment of advances reduced available distributions.
Currently, only Classes B-3 and B-4 have outstanding shortfalls of $79,430 and $402,092, respectively. The non-rated Class B-5 has an interest shortfall of $576,759. KBRA affirmed the rating of Class B-3 at ‘AAA (sf),’ as remaining shortfalls are expected to be recouped within approximately three payment dates. KBRA expects the Class B-4 interest shortfalls to not be recovered for a longer time period – potentially 12 or more months, which resulted in the downgrade.
KBRA performed its analysis in accordance with its methodology and rating definitions. 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.
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