Chase Home Lending Mortgage Trust 2024-6 (CHASE 2024-6) is issuing $621.23 million of pass-through certificates. The certificates are supported by 499 loans with a total balance of $621.66 million.
The pool comprises prime-quality, fully amortizing, first lien fixed-rate residential mortgages originated by
The pool has moderate geographic concentration, with California representing 19.5% of the pool and the top three states 44.8%.
Chase is the pool's servicer. All the loans are traditional, non-agency, prime jumbo loans, originated in accordance with the new general Qualified Mortgage rule, Morningstar DBRS says.
The loans have low loan-to-value ratio ratios, strong borrower credit, and full documentation on substantially all the loans. All have been clean since origination; there are no investment property loans, and no interest-only loans, Morningstar DBRS says.
Compared with CHASE 2024-5, this transaction has a lower original FICO score (768 versus 773), a higher sustainable loan-to-value (83.1% versus 78.6%), higher weighted average liquid reserves ($680,591 versus $573,954, as calculated by Fitch), and a lower debt-to-income ratio (DTI: 33.8% versus 35.5%, according to Fitch).
The biggest difference with prior Chase transactions is that the borrowers' monthly income ($39,613) is higher, which is supportive of their ability to repay these loans, Fitch said.
According to Morningstar DBRS, the non-zero WA liquid reserves for the loans are approximately $680,591, which is enough to cover over five years of average monthly mortgage payments. On average, 10.2% of loans in the entire pool have liquid reserves higher than their current loan balance.
Fitch has assigned a final AAA rating to classes A-1 through A-12 and also to the A-9-X, A-10-X, A-11-X interest-only certificates. These agree with DBRS Morningstar's provisional ratings.
The A-X-1 class and ten classes of B certificates were also rated by the two agencies.
The AAA credit ratings on the certificates reflect 5.90% of credit enhancement provided by subordinated certificates, Morningstar DBRS says.
Fitch based mortgage cash flow and loss allocation on a senior-subordinate, shifting-interest structure, which locks out subordinate classes from unscheduled principal or prepayments payments for five years.
On the downside, Fitch considers the home price values of the pool to be 10.3% above a long-term sustainable level, while Morningstar DBRS flags weaknesses in the Representations and Warranties (R&W) framework, and a slightly higher default risk for the 16.1% of the loans which were taken to finance second homes with.
The expected closing date was June 26, 2024, according to Morningstar DBRS.
