JP Morgan priced its first ever revolving home equity line of credit (HELOC) securitization off the JP Morgan Mortgage Trust shelf on Thursday, the third HELOC deal priced in the US RMBS market in a month.
The $165m transaction, named JPMMT 2023-HE1, comprises four tranches rated from AAA to BBB by Fitch. The $126.2m AAA rated ‘A-1’ tranche landed at 175bp above SOFR, tighter than the 185bp to 190bp guidance. The $14m AA rated ‘M-1’ class was priced at 250bp, compared to the 225bp to 235bp guidance. The $12.1m A rated ‘M-2’ tranche was priced at 300bp, also wider than the 275bp to 285bp guidance, and the $12.6m BBB rated ‘M-3’ tranche landed at 350bp, compared to the 340bp to 350bp guidance.
The certificates are backed by 2,269 non-seasoned prime quality second-lien HELOC loans, according to a presale report by Fitch Ratings. The aggregate available credit line on the loans is expected to be $37.99m.
This is the third HELOC transaction in the RMBS market in a month, following the $192m GRADE 2023-SEQ3 priced on May 26 and the $172m FIGRE 2023-HE2 priced on June 8, according to Finsight.
However, the transaction shows a stronger borrower profile compared to GRADE 2023-SEQ3, which has similar collateral of newly originated second-lien residential mortgage loans. This transaction has a higher FICO score at 747 and a lower sustainable loan-to-value ratio (sLTV) at 73.4%, compared to the 735 FICO score and 81.4% in GRADE 2023-SEQ3.
