Chase Home Lending Mortgage Trust 2026-AGY2 is set to raise $378.7 million in RMBS by going to market with a deal backed by 651 first-lien residential mortgage loans, Morningstar DBRS states.
The transaction is the second securitization from this shelf and has a pool of fully amortizing fixed-rate mortgages.
The asset pool for the transaction comprises entirely fixed-rate, prime, agency-eligible mortgages that Fannie Mae and Freddie Mac can purchase. It has no investment-property or interest-only mortgages. The loans have original terms of 25 to 30 years and an average age of three months as of the August 1 cutoff date, Morningstar DBRS says.
All loans were underwritten based on an automated underwriting system designated by Fannie Mae or Freddie Mac. All loans in the pool were also originated under the new general Qualified Mortgage rule, Morningstar DBRS states.
According to Morningstar DBRS Morningstar, JPMorgan Chase Bank is both the originator and servicer of the entire pool. For this deal, a servicing fee of 0.25% per annum applies on each distribution date.
Citibank will serve as securities administrator and Delaware trustee. JPMorgan Chase Bank will serve as custodian, and Pentalpha Surveillance will be the representations and warranties reviewer.
The transaction will use a senior-subordinate, shifting-interest cash flow structure that accounts for performance triggers and credit enhancement floors.
This deal features high-quality credit attributes, according to Morningstar DBRS. These attributes include low LTV ratios, strong borrower credit, and full documentation on almost all loans.
The mortgages were generally originated to borrowers with comparatively high income and, on average, strong reserves. The entire pool falls under the QM and ability-to-repay rules. Roughly 99.7% of the loans are designated as QM safe harbor, and one loan is designated QM rebuttable presumption, Morningstar DBRS states.
However, potential drawbacks include that this transaction uses a representations and warranties (R&W) framework with certain weaknesses, including materiality factors and knowledge qualifiers.
The R&W provider might encounter financial stress that would prevent it from fulfilling repurchase obligations, and sunset provisions may allow certain R&W to expire within two years after the closing date. Morningstar DBRS views this framework as more limited than traditional lifetime R&W standards in some Morningstar DBRS-rated securitization transactions.
Morningstar DBRS's preliminary AAA (sf) credit ratings on the deal's certificates indicate 7.25% credit enhancement provided by subordinated certificates. The preliminary AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf) and (P) B (sf) credit ratings correspond to credit enhancements of 4.20%, 2.25%, 1.15%, 0.65% and 0.35%, respectively.
