Chase is in the market with a $482.5 million prime residential mortgage-backed securities (RMBS) transaction, secured by a portfolio of loans with a slightly higher concentration self-employed borrowers and lower liquid reserves.
All of the notes to be issues from Chase Home Lending Mortgage Trust, 2026-6, are fixed-rate and will be supported by a portfolio of clean current mortgages, according to ratings analysts at Fitch Ratings.
Self-employed borrowers represent just 23.1% of the pool, and liquid reserves were $858,428 compared with 21.9% and $1 million, respectively, in the Chase 2026-5 pool, according to Fitch analysts' observations.
Otherwise, Fitch said, the prime quality mortgage pool has an average outstanding $1.2 million mortgage, leverage of a 74.4% loan-to-value (LTV), borrowers with a weighted average (WA) FICO score of 772 and a debt-to-income ratio of 33.4%.
For the AAA notes, Fitch estimates a default probability of 9.4%, and a loss severity of 36.5%, about the same as the Chase 2026-5 series, analysts said.
All the notes have a legal final maturity of April 2057 and carry interest rates ranging from 4.50% on the A5B tranche through 4.59% on the A14 tranche, Fitch said.
Among the subordinate notes, interest rates include 5.55% and 5.80% on the B1A and B2A tranches, respectively, Fitch said. The B3 through B6 subordinate tranches carry rates of 6.05%, Fitch said.
Credit enhancement levels include 15.00% on the A5, A8 and A14 through A17; 5.05% on the A9 tranche; 2.85% on the B1 tranche; 1.70% on the B2A tranche; and 0.90%, 0.45% and 0.25% on the B3, B4 and B5, respectively.
Cash flows and losses follow a senior-subordinate and shifting-interest structure, Fitch said. Subordinate notes will be locked out from unscheduled principal or prepayments—receiving only scheduled principal—for five years, the rating agency said.
"The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction," Fitch analysts wrote.
Geographically, California borrowers accounted for a higher concentration of borrowers in the Chase 2026-6 pool, 21.6%, compared with the Chase 2026-5 portfolio, whose largest segment of borrowers came from New York, with 17.6% of the pool.
Fitch assigns AAA from the A5 tranches to the AX1 tranche; AA- and A- to the B1 and B2 notes; and BBB-, BB- and B- to the B3, B4 and B5 tranches, respectively.
