DBRS Morningstar Finalizes Provisional Credit Ratings on Chase Home Lending Mortgage Trust 2023-RPL3

DBRS, Inc. (DBRS Morningstar) finalized its provisional credit ratings on the Mortgage Certificates, Series 2023-RPL3 (the Certificates) issued by Chase Home Lending Mortgage Trust 2023-RPL3 (CHASE 2023-RPL3 or the Trust):

-- $400.1 million Class A-1-A at AAA (sf)
-- $35.3 million Class A-1-B at AAA (sf)
-- $435.4 million Class A-1 at AAA (sf)
-- $24.0 million Class A-2 at AA (low) (sf)
-- $12.8 million Class M-1 at A (low) (sf)
-- $9.3 million Class M-2 at BBB (low) (sf)
-- $6.3 million Class B-1 at BB (low) (sf)
-- $4.0 million Class B-2 at B (low) (sf)

The AAA (sf) credit rating on the Class A-1-A, Class A-1-B, and Class A-1 Certificates reflects 12.95% of credit enhancement, provided by subordinated notes in the transaction. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 8.15%, 5.60%, 3.75%, 2.50%, and 1.70% 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 2,314 loans with a total principal balance of $526,509,254 as of the Cut-Off Date (September 30, 2023).

JPMorgan Chase Bank, N.A. (JPMCB) will serve as the Sponsor and Mortgage Loan Seller of the transaction. JPMCB will act as the Representing Party, Servicer, 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 210 months seasoned on average. As of the Cut-Off Date, 99.7% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method, and 0.3% is in bankruptcy. All the bankruptcy loans are currently performing. Approximately 99.5% and 83.4% 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, 99.1% of the loans are modified. The modifications happened more than two years ago for 93.8% of the modified loans. Within the pool, 1,011 mortgages have non-interest-bearing deferred amounts, which equates to 9.7% 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 its 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 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 credit 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.

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 the rated certificates are the Current Interest, Interest Shortfall and the Class Principal Balance.

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

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

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

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

Governance (G) Factors
There were no Governance factor(s) that had a relevant or significant 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 ratings 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/421227.

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 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://www.dbrsmorningstar.com/about/methodologies.

-- 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 info@dbrsmorningstar.com.