eTravel Wire - KBRA Assigns Preliminary Ratings to Chase Home Lending Mortgage Trust 2024-RPL1 (CHASE 2024-RPL1)

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NEW YORK ~ New York - KBRA, a leading credit rating agency, has assigned preliminary ratings to nine classes of mortgage certificates from Chase Home Lending Mortgage Trust 2024-RPL1 (CHASE 2024-RPL1). The pool consists of 2,475 seasoned, re-performing residential mortgages with a total unpaid principal balance (UPB) of $555.4 million as of the cut-off date on January 31, 2024. This includes $62.2 million (11.2%) in non-interest-bearing deferred principal.

The majority of the mortgage pool is made up of pre-GFC legacy loans from Washington Mutual Bank (67.5%) and JPMorgan Chase Bank, National Association (JPMCB; 32.3%). These loans were originated between 2004 and 2008.

KBRA's rating approach involved a thorough analysis of the mortgage pool using its KBRA RMBS Credit Model and Residential Asset Loss Model (REALM). The agency also examined third-party loan file due diligence results, conducted cash flow modeling analysis on the transaction's payment structure, reviewed key transaction parties, and assessed the legal structure and documentation of the transaction. More details on this analysis can be found in KBRA's U.S. RMBS Rating Methodology.

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The rating and relevant documents can be accessed by clicking here. The full report can be viewed here.

KBRA has also released related publications including CHASE 2024-RPL1 Tear Sheet and RMBS KBRA Comparative Analytic Tool (KCAT). Methodologies used in determining these ratings include RMBS: U.S. RMBS Rating Methodology, Structured Finance: Global Structured Finance Counterparty Methodology, and ESG Global Rating Methodology.

In accordance with their policies, KBRA has provided further information on key credit considerations and sensitivity analyses that could affect these ratings. They have also disclosed any ESG factors that may have influenced the change in credit rating or outlook. This information can be found in the full rating report referenced above.

The agency has also provided an Information Disclosure Form, which includes a description of all substantially material sources used in preparing the credit rating and information on the methodology(ies) used to determine the rating. This form can be accessed here.

For a better understanding of each rating category, KBRA has provided a guide which can be found here.

Additional disclosures related to this rating action can be found in the Information Disclosure Form referenced above. More information on KBRA's policies, methodologies, rating scales, and disclosures can be found on their website at www.kbra.com.

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