Morningstar DBRS Assigns Provisional Credit Ratings to Chase Home Lending Mortgage Trust 2025-2

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2025-2 (CHASE 2025-2) as follows:

-- $314.5 million Class A-2 at (P) AAA (sf)
-- $314.5 million Class A-3 at (P) AAA (sf)
-- $314.5 million Class A-3-X at (P) AAA (sf)
-- $235.9 million Class A-4 at (P) AAA (sf)
-- $235.9 million Class A-4-A at (P) AAA (sf)
-- $235.9 million Class A-4-X at (P) AAA (sf)
-- $78.6 million Class A-5 at (P) AAA (sf)
-- $78.6 million Class A-5-A at (P) AAA (sf)
-- $78.6 million Class A-5-X at (P) AAA (sf)
-- $188.7 million Class A-6 at (P) AAA (sf)
-- $188.7 million Class A-6-A at (P) AAA (sf)
-- $188.7 million Class A-6-X at (P) AAA (sf)
-- $125.8 million Class A-7 at (P) AAA (sf)
-- $125.8 million Class A-7-A at (P) AAA (sf)
-- $125.8 million Class A-7-X at (P) AAA (sf)
-- $47.2 million Class A-8 at (P) AAA (sf)
-- $47.2 million Class A-8-A at (P) AAA (sf)
-- $47.2 million Class A-8-X at (P) AAA (sf)
-- $38.9 million Class A-9 at (P) AAA (sf)
-- $38.9 million Class A-9-A at (P) AAA (sf)
-- $38.9 million Class A-9-X at (P) AAA (sf)
-- $48.4 million Class A-11 at (P) AAA (sf)
-- $48.4 million Class A-11-X at (P) AAA (sf)
-- $48.4 million Class A-12 at (P) AAA (sf)
-- $48.4 million Class A-13 at (P) AAA (sf)
-- $48.4 million Class A-13-X at (P) AAA (sf)
-- $48.4 million Class A-14 at (P) AAA (sf)
-- $48.4 million Class A-14-X at (P) AAA (sf)
-- $48.4 million Class A-14-X2 at (P) AAA (sf)
-- $48.4 million Class A-14-X3 at (P) AAA (sf)
-- $48.4 million Class A-14-X4 at (P) AAA (sf)
-- $401.8 million Class A-X-1 at (P) AAA (sf)
-- $9.0 million Class B-1 at (P) AA (low) (sf)
-- $9.0 million Class B-1-A at (P) AA (low) (sf)
-- $9.0 million Class B-1-X at (P) AA (low) (sf)
-- $6.6 million Class B-2 at (P) A (low) (sf)
-- $6.6 million Class B-2-A at (P) A (low) (sf)
-- $6.6 million Class B-2-X at (P) A (low) (sf)
-- $4.5 million Class B-3 at (P) BBB (low) (sf)
-- $2.6 million Class B-4 at (P) BB (low) (sf)
-- $854.0 thousand Class B-5 at (P) B (low) (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts.

Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 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, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation.

The (P) AAA (sf) credit ratings on the Certificates reflect 5.90% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.80%, 2.25%, 1.20%, 0.60%, and 0.40% of credit enhancement, respectively.

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

The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2025-2 (the Certificates). The Certificates are backed by 410 loans with a total principal balance of $449,491,640 as of the Cut-Off Date (February 01, 2025).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 66.1% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule.

JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool 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 with a Stable trend by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware 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, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors.

Natural Disasters/Wildfires
The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas (such as those impacted by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer ordered property damage inspections (PDI) for properties located in Los Angeles County, designated as a disaster zone, and all were reported to have no damage.

The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane).

Morningstar DBRS' credit rating on the certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations 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/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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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 (January 02, 2025) https://dbrs.morningstar.com/research/445477.

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.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024)
https://dbrs.morningstar.com/research/428623
-- Third-Party Due-Diligence and Representations & Warranties Criteria for U.S. RMBS Transactions (September 30, 2024)
https://dbrs.morningstar.com/research/440091
-- Legal Criteria for U.S. Structured Finance (December 3, 2024)
https://dbrs.morningstar.com/research/444064
-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024)
https://dbrs.morningstar.com/research/440086

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