DBRS Morningstar Finalizes Provisional Ratings on Chase Home Lending Mortgage Trust 2019-1

DBRS, Inc. (DBRS Morningstar) finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-1 (the Certificates) issued by Chase Home Lending Mortgage Trust 2019-1:

-- $370.1 million Class A-1 at AAA (sf)
-- $346.5 million Class A-2 at AAA (sf)
-- $323.4 million Class A-3 at AAA (sf)
-- $323.4 million Class A-3-A at AAA (sf)
-- $323.4 million Class A-3-X at AAA (sf)
-- $242.5 million Class A-4 at AAA (sf)
-- $242.5 million Class A-4-A at AAA (sf)
-- $242.5 million Class A-4-X at AAA (sf)
-- $80.8 million Class A-5 at AAA (sf)
-- $80.8 million Class A-5-A at AAA (sf)
-- $80.8 million Class A-5-X at AAA (sf)
-- $192.2 million Class A-6 at AAA (sf)
-- $192.2 million Class A-6-A at AAA (sf)
-- $192.2 million Class A-6-X at AAA (sf)
-- $131.1 million Class A-7 at AAA (sf)
-- $131.1 million Class A-7-A at AAA (sf)
-- $131.1 million Class A-7-X at AAA (sf)
-- $50.3 million Class A-8 at AAA (sf)
-- $50.3 million Class A-8-A at AAA (sf)
-- $50.3 million Class A-8-X at AAA (sf)
-- $53.4 million Class A-9 at AAA (sf)
-- $53.4 million Class A-9-A at AAA (sf)
-- $53.4 million Class A-9-X at AAA (sf)
-- $27.5 million Class A-10 at AAA (sf)
-- $27.5 million Class A-10-A at AAA (sf)
-- $27.5 million Class A-10-X at AAA (sf)
-- $23.1 million Class A-11 at AAA (sf)
-- $23.1 million Class A-11-X at AAA (sf)
-- $23.1 million Class A-12 at AAA (sf)
-- $23.1 million Class A-13 at AAA (sf)
-- $23.6 million Class A-14 at AAA (sf)
-- $23.6 million Class A-15 at AAA (sf)
-- $345.4 million Class A-16 at AAA (sf)
-- $24.7 million Class A-17 at AAA (sf)
-- $370.1 million Class A-X-1 at AAA (sf)
-- $370.1 million Class A-X-2 at AAA (sf)
-- $23.1 million Class A-X-3 at AAA (sf)
-- $23.6 million Class A-X-4 at AAA (sf)
-- $10.2 million Class B-1 at AA (sf)
-- $10.2 million Class B-1-A at AA (sf)
-- $10.2 million Class B-1-X at AA (sf)
-- $4.9 million Class B-2 at A (sf)
-- $4.9 million Class B-2-A at A (sf)
-- $4.9 million Class B-2-X at A (sf)
-- $3.5 million Class B-3 at BBB (sf)
-- $3.5 million Class B-3-A at BBB (sf)
-- $3.5 million Class B-3-X at BBB (sf)
-- $2.0 million Class B-4 at BB (sf)
-- $985.0 thousand Class B-5 at B (sf)
-- $18.7 million Class B-X at BBB (sf)
-- $985.0 thousand Class B-5-Y at B (sf)

Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-X-1, A-X-2, A-X-3, A-X-4, B-1-X, B-2-X, B-3-X, B-X, B-5-Y, B-6-Y and B-6-Z are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-3-X, A-3-A, A-4, A-4-A, A-4-X, A-5, A-5-A, A-5-X, A-6, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-10, A-12, A-13, A-14, A-16, A-17, A-X-2, A-X-3, B-1, B-2, B-3, B-X, B-5-Y, B-6-Y and B-6-Z are exchangeable certificates. These classes can be exchanged for combinations of exchange notes as specified in the offering documents.

Classes A-2, A-3, A-3-A, 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-9, A-9-A, A-10, A-10-A, A-11, A-12 and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation.

The AAA (sf) rating on the Class A Certificates reflects over 4.00% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect over 2.95%, 1.90%, 1.10%, 0.65% and 0.45% of credit enhancement, respectively.

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

The Certificates are backed by 669 loans with a total principal balance of $393,722,880 as of the Cut-Off Date (October 1, 2019). The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of up to 30 years. All the loans in the pool are conforming mortgage loans originated by JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS Morningstar) that were eligible for purchase by Fannie Mae or Freddie Mac. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related report.

The mortgage loans will be serviced by JPMCB. For this transaction, the servicing fee payable is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee and the aggregate 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.

Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS Morningstar) will act as Securities Administrator, U.S. Bank National Association will act as Delaware Trustee and JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) Reviewer.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due-diligence review.

This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS Morningstar to be limiting compared with traditional lifetime R&W standards in certain DBRS Morningstar-rated securitizations.

The full description of the strengths, challenges and mitigating factors is detailed in the related rating report.

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

The principal methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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@dbrs.com.

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA