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Moody's Investors Service Inc.

Moody's Assigns Provisional Ratings to JPMorgan Chase Bank's RMBS

Strategic Insights

— 1 min read

Moody's Investors Service has assigned provisional ratings to 44 classes of residential mortgage-backed securities (RMBS) to be issued by Chase Home Lending Mortgage Trust 2025-7, sponsored by JPMorgan Chase Bank, N.A. The securities are backed by a pool of prime jumbo and GSE-eligible residential mortgages originated and serviced by JPMorgan Chase Bank, N.A.

Key Takeaways:

  • Moody's has assigned provisional ratings to 44 classes of RMBS, with 26 classes rated Aaa (sf) and 18 classes rated Aa1 (sf).
  • The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality, and the servicing arrangement.
  • The expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.12%, and reaches 4.57% at a stress level consistent with Moody's Aaa ratings.
  • The ratings are sensitive to changes in credit protection, obligor defaults, and the value of the mortgaged property.
  • Poor servicing, errors on the part of transaction parties, inadequate governance, and fraud can negatively impact transaction performance.
  • The performance of RMBS remains highly dependent on servicer procedures, and changes in servicing transfers or policy can impact performance.

Statistics:

  • 44 classes of RMBS have been assigned provisional ratings.
  • 26 classes are rated Aaa (sf), accounting for 59.1% of the total rated classes.
  • 18 classes are rated Aa1 (sf), accounting for 40.9% of the total rated classes.
  • The expected loss for this pool in a baseline scenario-mean is 0.30%.
  • The expected loss for this pool in a baseline scenario-median is 0.12%.
  • The expected loss at a stress level consistent with Moody's Aaa ratings is 4.57%.

Sources:

  • Moody's Ratings, "Moody's Assigns Provisional Ratings to JPMorgan Chase Bank's RMBS," June 10, 2024.
  • https://ratings.moodys.com/rmc-documents/425169.
  • Moody's Ratings, "Moody's Approach to Rating US RMBS Using the MILAN Framework," July 2024.

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