Morningstar DBRS Finalizes its Provisional Credit Ratings on Chase Home Lending Mortgage Trust 2024-DRT1

DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2024-DRT1 (the Notes) issued by Chase Home Lending Mortgage Trust 2024-DRT1 (CHASE 2024-DRT1) as follows:

-- $25.7 million Class A-2 at AAA (sf)
-- $25.7 million Class A-2-A at AAA (sf)
-- $25.7 million Class A-2-X at AAA (sf)
-- $9.2 million Class B-1 at AA (low) (sf)
-- $6.8 million Class B-2 at A (low) (sf)
-- $5.0 million Class B-3 at BBB (low) (sf)
-- $2.9 million Class B-4 at BB (low) (sf)
-- $0.8 million Class B-5 at B (low) (sf)

Classes A-2-X is interest-only (IO) notes. The class balances represent notional amounts.

Classes A-2, and B-6-X are exchangeable notes. These classes can be exchanged for combinations of depositable notes as specified in the offering documents.

The AAA (sf) credit ratings on the Notes reflect 5.10% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.35%, 2.05%, 1.10%, 0.55%, and 0.40% of credit enhancement, respectively.

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

Morningstar DBRS finalized its provisional ratings on Chase Home Lending Mortgage Trust 2024-DRT1 (CHASE 2024-DRT1), a securitization of a portfolio of first-lien adjustable-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2024-DRT1 (the Notes). The Notes are backed by 455 loans with a total principal balance of $523,524,196 as of the Cut-Off Date (July 31, 2024).

The pool consists of fully amortizing adjustable-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of 10 months. All of the loans are traditional, nonagency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule.

On or prior to the Closing Date, the Issuing Entity will enter into a credit agreement where JPMCB will make all of the Class A-1 Loans to the Issuing Entity. The Class A-1 Loans will be secured by the Trust Estate and are not-offered debt. The Issuing Entity will use the proceeds from the Class A-1 Loans to purchase the mortgage loans from the Depositor. The Depositor will then use those amounts and the proceeds from the sale of the Notes to purchase the mortgage loans from the Mortgage Loan Seller. JPMCB is the Originator of 100.0% of the pool.

The mortgage loans will be serviced by JPMCB. NewRez LLC doing business as Shellpoint Mortgage Servicing (Shellpoint) will act as Special Servicer for loans that become 90 days delinquent. Unique to the CHASE 2024-DRT1 transaction, the largest holder of the most subordinate class outstanding, initially the Class B-6 Notes (Controlling Holder), will have the right to terminate the Servicer and Special Servicer at any time post-closing without cause.

There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the related Servicers or any other party to the transaction; however, the related Servicers are obligated to make advances in respect of homeowner's association (HOA) fees in super lien states and in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.

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 payment to the securities.

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

The transaction employs a senior-subordinate cash flow structure that incorporates performance triggers and credit enhancement floors.

Morningstar DBRS' 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).

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, or Governance factors 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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in U.S. 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 (28 June 2024) https://dbrs.morningstar.com/research/435279.

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.

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 (June 28, 2024),
https://dbrs.morningstar.com/research/435258
-- 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 (June 28, 2024),
https://dbrs.morningstar.com/research/435282
-- Representations and Warranties Criteria for U.S. RMBS Transactions (June 28, 2024),
https://dbrs.morningstar.com/research/435273
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205
-- Operational Risk Assessment for U.S. RMBS Originators (June 28, 2024),
https://dbrs.morningstar.com/research/435259
-- Operational Risk Assessment for U.S. RMBS Servicers (June 28, 2024),
https://dbrs.morningstar.com/research/435261

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.