DBRS Morningstar Finalizes Provisional Ratings on Chase Home Lending Mortgage Trust 2023-RPL1

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the Mortgage Certificates, Series 2023-RPL1 (the Certificates) issued by Chase Home Lending Mortgage Trust 2023-RPL1 (CHASE 2023-RPL1 or the Trust):

-- $400.1 million Class A-1-A at AAA (sf)
-- $20.5 million Class A-1-B at AAA (sf)
-- $420.6 million Class A-1 at AAA (sf)
-- $24.3 million Class A-2 at AA (high) (sf)
-- $15.5 million Class M-1 at A (high) (sf)
-- $11.0 million Class M-2 at BBB (high) (sf)
-- $7.8 million Class B-1 at BBB (low) (sf)
-- $5.0 million Class B-2 at BB (sf)

The AAA (sf) rating on the Class A-1-A, Class A-1-B, and Class A-1 Certificates reflects 15.90% of credit enhancement, provided by subordinated notes in the transaction. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and BB (sf) ratings reflect 11.05%, 7.95%, 5.75%, 4.20%, and 3.20% of credit enhancement, respectively.

Other than the classes specified above, DBRS Morningstar 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 and funded by the issuance of mortgage certificates (the Certificates). The Certificates are backed by 2,565 loans with a total principal balance of $526,395,515 as of the Cut-Off Date (March 31, 2023).

J.P. Morgan Mortgage Acquisition Corp. will serve as the Sponsor and Mortgage Loan Seller of the transaction. JPMorgan Chase Bank, National Association (JPMCB) will act as the Representing Party, Servicer, and Custodian. DBRS Morningstar's ratings on JPMCB's Long-Term Issuer Rating and Long-Term Senior Debt are AA with Stable trends, and the Short-Term Instruments rating is R-1 (high) with a Stable trend.

The loans are approximately 202 months seasoned on average. As of the Cut-Off Date, 99.5% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method, and 0.5% is in bankruptcy. All the bankruptcy loans are currently performing. Approximately 97.6% and 91.4% 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, 98.4% of the loans are modified. The modifications happened more than two years ago for 99.1% of the modified loans. Within the pool, 949 mortgages have non-interest-bearing deferred amounts, which equates to 9.4% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in the related 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 assigns) 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.

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, A-1-B, and A-2 are retired.

The ratings reflect transactional strengths that include the following:
-- Credit quality relative to reperforming pools,
-- Seasoning,
-- Current delinquency status,
-- Satisfactory third-party due-diligence review,
-- Structural features, and
-- Representations and warranties 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.

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/396929 (May 17, 2022).

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

The principal methodology applicable to the ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410473).

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/413218.

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

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

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

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

The 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 (August 30, 2022),
https://www.dbrsmorningstar.com/research/402153
-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 11, 2020),
https://www.dbrsmorningstar.com/research/366613
-- Representations and Warranties Criteria for U.S. RMBS Transactions (April 22, 2020),
https://www.dbrsmorningstar.com/research/359902
-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008
-- Operational Risk Assessment for U.S. RMBS Originators (November 23, 2022),
https://www.dbrsmorningstar.com/research/405664
-- Operational Risk Assessment for U.S. RMBS Servicers (November 23, 2022),
https://www.dbrsmorningstar.com/research/405665

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.