DBRS Morningstar Assigns Provisional Ratings to Chase Home Lending Mortgage Trust 2023-1

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2023-1 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2023-1 (CHASE 2023-1):

-- $375.2 million Class A-1 at AAA (sf)
-- $375.2 million Class A-1-A at AAA (sf)
-- $375.2 million Class A-1-X at AAA (sf)
-- $340.9 million Class A-2 at AAA (sf)
-- $340.9 million Class A-3 at AAA (sf)
-- $340.9 million Class A-3-X at AAA (sf)
-- $255.7 million Class A-4 at AAA (sf)
-- $255.7 million Class A-4-A at AAA (sf)
-- $255.7 million Class A-4-X at AAA (sf)
-- $85.2 million Class A-5 at AAA (sf)
-- $85.2 million Class A-5-A at AAA (sf)
-- $85.2 million Class A-5-X at AAA (sf)
-- $34.3 million Class A-6 at AAA (sf)
-- $34.3 million Class A-6-A at AAA (sf)
-- $34.3 million Class A-6-X at AAA (sf)
-- $375.2 million Class A-X-1 at AAA (sf)
-- $11.8 million Class B-1 at AA (low) (sf)
-- $6.0 million Class B-2 at A (low) (sf)
-- $3.4 million Class B-3 at BBB (sf)
-- $2.2 million Class B-4 at BB (sf)
-- $1.0 million Class B-5 at B (low) (sf)

Classes A-1-X, A-3-X, A-4-X, A-5-X, A-6-X, and A-X-1 are interest-only (IO) certificates. The class balances represent notional amounts.

Classes A-1, A-1-A, A-3, A-4, A-5, and A-6 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents.

Classes A-2, A-3, A-4, A-4-A, A-5, and A-5-A are super senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-6 and Class A-6-A certificates) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 6.45% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect 3.50%, 2.00%, 1.15%, 0.60%, and 0.35% of credit enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 356 loans with a total principal balance of $401,033,526 as of the Cut-Off Date (September 1, 2023).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of seven months. All of the loans are traditional, nonagency, prime jumbo mortgage loans. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule.

J.P. Morgan Chase Bank N.A (JPMCB) is the Originator and Servicer of 100.0% of the pool.

For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities.

U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by DBRS Morningstar) will act as Securities Administrator. U.S. Bank Trust National Association will act as and Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a precrisis structure.

DBRS Morningstar’s credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates).

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the rating is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023; https://www.dbrsmorningstar.com/research/420108).

Other methodologies referenced in this transaction are listed at the end of this press release.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023),
https://www.dbrsmorningstar.com/research/413297

-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
https://www.dbrsmorningstar.com/research/415687

-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023),
https://www.dbrsmorningstar.com/research/420333
-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023),
https://www.dbrsmorningstar.com/research/414076

-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008

-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023),
https://www.dbrsmorningstar.com/research/420106

-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023),
https://www.dbrsmorningstar.com/research/420107

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].