JPMorgan Chase Bank's latest sponsored residential mortgage-backed securities (RMBS) deal will issue about $378.6 million in pass-through certificates, backed by a portfolio of first-lien, fixed-rate mortgages.
With an expected closing date of August 31, the deal, Chase Home Lending Mortgage Trust 2026-AGY2 (CHASE 2026-AGY2), will issue notes through class A and B notes, with interest rates ranging from 0.55% to 5.79%, according to Morningstar DBRS.
With 651 loans, the current pool is noticeably larger than that of the previous deal, the CHASE 2026-AGY1.
Credit enhancement levels range from 15.00% on the A2 notes to 0.35% on the B5 tranche, DBRS said. The certificates have a final scheduled distribution date of August 2057, the rating agency said.
J.P. Morgan Securities leads a group of initial purchasers that includes Academy Securities, AmeriVet Securities and Cantor Fitzgerald, according to DBRS.
The capital structure includes subordination, derived from a senior-subordinate repayment structure. Notes will also be repaid through shifting-interest structure that includes performance triggers and credit enhancement floors, the rating agency said.
CHASE 2026-AGY2 also features a lock-out class and senior enhancement floor to manage potential tail risk and maintain credit support to the transaction. In the case of subordinate classes of certificates, if the principal amount of any subordinate class, and of all subordinate classes, is less than or equal to 0.75% of the interest percentage of collateral principal balance at issuance, then the portion of the subordinate principal distribution amount will be redirected to the more senior subordinate certificates, DBRS said.
It will do that on a pro rata basis, if the principal balance of the more senior classes are still outstanding, the rating agency said.
There is also a senior enhancement floor of 0.90% of the interest percentage of collateral principal balance at issuance, the rating agency said. The feature captures a certain level of credit support from leaking out of the capital structure when it is performing within expectations, DBRS said.
Virtually all the underlying loans in the current pool are financing primary residences, and they have an average balance of $581,714, with a weighted average (WA) coupon of 6.06%. Borrowers have a WA FICO score of 761, DBRS said.
