Morningstar DBRS Assigns Provisional Credit Ratings to Chase Home Lending Mortgage Trust 2024-RPL3

DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Certificates, Series 2024-RPL3 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-RPL3 (Chase 2024-RPL3 or the Trust):

-- $390.2 million Class A-1-A at AAA (sf)
-- $42.7 million Class A-1-B at AAA (sf)
-- $432.9 million Class A-1 at AAA (sf)
-- $18.5 million Class A-2 at AA (high) (sf)
-- $12.9 million Class M-1 at A (sf)
-- $7.6 million Class M-2 at BBB (high) (sf)
-- $5.6 million Class B-1 at BB (high) (sf)
-- $2.7 million Class B-2 at B (high) (sf)

The AAA (sf) credit rating on the Class A-1-A, A-1-B and A-1Certificates reflect 20.00%, 11.25% and 11.25% of credit enhancements, respectively, provided by subordinated notes in the transaction. The AA (high) (sf), A (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 7.45%, 4.80%, 3.25%, 2.10%, and 1.55% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of primarily seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage certificates (the Certificates). The Certificates are backed by 2,297 loans with a total principal balance of $513,437,404 as of the Cut-Off Date (May 31, 2024).

JPMorgan Chase Bank, N.A. (JPMCB) will serve as the Sponsor and Mortgage Loan Seller of the transaction. JPMCB will also act as the Servicer, Mortgage Loan Seller, and Custodian. DBRS Morningstar rates JPMCB's Long-Term Issuer Rating and Long-Term Senior Debt at AA and its Short-Term Instruments rating R-1 (high), all with Stable trends.

The loans are approximately 215 months seasoned on average. As of the Cut-Off Date, 99.4% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method, and 0.6% is in bankruptcy. All the bankruptcy loans are currently performing. Approximately 98.4% and 78.7% of the mortgage loans have been zero times (x) 30 days delinquent for the past 12 months and 24 months, respectively, under the MBA delinquency method.

Within the portfolio, 98.7% of the loans are modified. The modifications happened more than two years ago for 95.9% of the modified loans. Within the pool, 1,110 mortgages have non-interest-bearing deferred amounts, which equates to 12.3% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current balance, including the applicable non-interest-bearing deferred amounts.

One of the Sponsor's majority-owned affiliates will acquire and retain a 5% vertical interest in the transaction, consisting of an uncertificated interest in the issuing entity, to satisfy the credit risk retention requirements. Such uncertificated interest represents the right to receive at least 5% of the amounts collected on the mortgage loans (net of fees, expenses, and reimbursements).

There will not be any advancing of delinquent principal or interest on any mortgage by the Servicer or any other party to the transaction; however, the Servicer is generally obligated to make advances in respect of taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

For this transaction, the servicing fee payable for the 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.

On any Distribution Date when the aggregate unpaid principal balance (UPB) of the mortgage loans is less than 10% of the aggregate Cut-Off Date UPB, the Servicer (and it's successors and assignees) will have the option to purchase all of the mortgage loans at a purchase price equal to the sum of the UPB of the mortgage loans, accrued interest, the appraised value of the real estate owned (REO) properties, and any unpaid expenses and reimbursement amounts (Optional Clean-Up Call).

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Certificates, but such shortfalls on Class M-1 and more subordinate bonds will not be paid from principal proceeds until Class A-1-A, Class A-1-B, and Class A-2 are retired.

The credit ratings reflect transactional strengths that include the following:
-- Relatively strong credit quality;
-- Seasoning;
-- Current delinquency status;
-- Satisfactory third-party due-diligence review;
-- Structural features; and
-- Representations and warrants standard.

The transaction also includes the following challenges:
-- No servicer advances of delinquent principal and interest and
-- Assignments and endorsements.

The full description of the strengths, challenges, and mitigating factors is detailed in the related report.

Morningstar DBRS' credit rating on the addresses 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 Current Interest, Interest Shortfall, and Class Principal Balance.

Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' ratings do not address the payment of any Net WAC Shortfall based on its position in the cash flow waterfall.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS 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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (23 January 2024) https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in US Dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (31 August 2023) https://dbrs.morningstar.com/research/420108.

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

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.

Morningstar DBRS 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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit 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://dbrs.morningstar.com/about/methodologies.

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023), https://dbrs.morningstar.com/research/413297
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023), https://dbrs.morningstar.com/research/420333
-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023), https://dbrs.morningstar.com/research/414076
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205
-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023), https://dbrs.morningstar.com/research/420106
-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023), https://dbrs.morningstar.com/research/420107

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