Fitch Assigns Final Ratings to Chase Home Lending Mortgage Trust 2026-8

The deal is backed by a pool of 342 fixed-rate home loans totaling $434.43 million in scheduled balances, with all assets solely originated and serviced by JPMorgan Chase Bank, National Association.

Collateral Structure and Borrower Credit Quality

The underlying mortgage pool exhibits strong borrower credit quality and liquidity metrics, according to Fitch Ratings data. A vast majority of the pool—99.91%—qualifies as safe-harbor qualified mortgage average prime offer rate loans. The remaining 0.09% consists of qualified mortgage rebuttable presumption average prime offer rate loans. Collateral strength is further reflected by a weighted average FICO score of 772 and a weighted average combined loan-to-value ratio of 75.85%. Additionally, weighted average liquid reserves in the pool total $677,912.52, which supports borrower capacity.

Stress Scenarios and Projected Losses

Fitch Ratings evaluates residential mortgage-backed securities performance by linking outcomes directly to the underlying mortgage pool while incorporating both loan-level characteristics and macroeconomic factors. Under its ‘AAA’ rating stress scenario, the rating agency projects a 9.58% probability of default for Chase Home Lending Mortgage Trust 2026-8.

The agency places final loss severity at 36.86% under the ‘AAAsf’ rating stress. These factors produce an expected loss of 3.53% for the transaction. Certificates in the deal are structured as fixed-rate instruments capped at the net weighted average coupon, or based on the net weighted average coupon. Some classes utilize floating-rate or inverse floating-rate structures tied to the SOFR index, while maintaining similar net weighted average coupon caps.