Fitch Ratings has affirmed 35, downgraded three, and placed two classes on Rating Watch Negative from the following Chase Funding mortgage pass-through certificates:
Series 2001-4 Group 1
--$29 million class A affirmed at 'AAA';
--$3.7 million class IM-1 affirmed at 'AA';
--$1.7 million class IM-2 affirmed at 'A';
--$1.8 million class IB affirmed at 'BBB'.
Series 2001-4 Group 2
--$6.8 million class A affirmed at 'AAA';
--$8.5 million class IIM-1 downgraded to 'A+' from 'AA';
--$0.4 million class IIM-2 downgraded to 'BBB+' from 'A'.
Series 2002-3 Group 1
--$32.2 million class A affirmed at 'AAA';
--$2.7 million class IM-1 affirmed at 'AA';
--$2.1 million class IM-2 affirmed at 'A';
--$821,000 class IB downgraded to 'BBB' from 'A-', placed on Rating Watch Negative.
Series 2002-3 Group 2
--$9.5 million class A affirmed at 'AAA';
--$10.5 million class IIM-1 affirmed at 'AA+';
--$2 million class IIM-2 affirmed at 'A+';
--$106,000 class IIB affirmed at 'A-'.
Series 2003-2 Group 1
--$80.3 million class A affirmed at 'AAA';
--$6.2 million class 1M-1 affirmed at 'AA+';
--$4.8 million class 1M-2 affirmed at 'A+';
--$3.4 million class 1B affirmed at 'A-'.
Series 2003-2 Group 2
--$21.6 million class A affirmed at 'AAA';
--$14.6 million class IIM-1 affirmed at 'AA+';
--$3.6 million class IIM-2 affirmed at 'A+';
--$309,000 class IIB affirmed at 'A-'.
Series 2003-6 Group 1
--$373.5 million class A affirmed at 'AAA';
--$27.1 million class IM-1 affirmed at 'AA+';
--$20.3 million class IM-2 affirmed at 'AA-';
--$19 million class IB affirmed at 'BBB+'.
Series 2003-6 Group 2
--$31.9 million class A affirmed at 'AAA';
--$20.1 million class IIM-1 affirmed at 'AA+';
--$4.5 million class IIM-2 affirmed at 'A+';
--$1.9 million class IIB rated 'BBB+', placed on Rating Watch Negative.
Series 2004-1 Group 1
--$146 million class A affirmed at 'AAA';
--$11.6 million class IM-1 affirmed at 'AA+';
--$8.8 million class IM-2 affirmed at 'A+';
--$5.6 million class IB affirmed at 'BBB+'.
Series 2004-1 Group 2
--$43.6 million class A affirmed at 'AAA';
--$27.7 million class IIM-1 affirmed at 'AA+';
--$6.2 million class IIM-2 affirmed at 'AA-';
--$2.4 million class IIB affirmed at 'BBB+'.
All of the mortgage loans in the aforementioned transactions were either originated or acquired by Chase Manhattan Mortgage Corporation. The collateral consists of fixed- and adjustable-rate subprime mortgage loans and is secured by first and second lien mortgages or deeds of trust on residential properties. As of the November 2007 distribution date, the transactions are seasoned from a range of 45 to 71 months, and the pool factors (current collateral balance as a percentage of original collateral balance) range from approximately 5% to 47%. Chase Home Finance, LLC, rated 'RPS1' by Fitch, is the servicer for all of the mortgage loans.
The affirmations reflect a stable relationship between credit enhancement (CE) and future expected losses, and affect approximately $986.9 million in outstanding certificates. The downgrades reflect a deteriorating relationship between CE and expected losses, and affect approximately $9.8 million in outstanding certificates. In addition $2.8 million in outstanding certificates was placed on Rating Watch Negative.
All transactions contain two groups; the first comprises 100% fixed-rate loans while the second group comprises adjustable-rate loans. Each group benefits from its own overcollateralization (OC), as well as from shared excess spread.
For the 2001-4 series which is seasoned 71 months, groups 1 and 2 pool factors (current collateral balance as a percentage of initial collateral balance) are 14% and 5% respectively. Both groups are at their target OC amounts. The amount of collateral in the 60+ buckets is approximately 10.58% and 24.34%, while cumulative losses to date are 1.80% and 2.26% respectively.
For the 2002-3 series, which is seasoned 62 months, groups 1 and 2 pool factors (current collateral balance as a percentage of initial collateral balance) are 19% and 6% respectively. OC is not fully funded for both groups. The amount of collateral in the 60+ buckets is approximately 6.13% and 22.10%, while cumulative losses to date are 1.49% and 1.77% respectively.
For the 2003-2 series, which is seasoned 55 months, groups 1 and 2 pool factors (current collateral balance as a percentage of initial collateral balance) are 26% and 8% respectively. OC is not fully funded for both groups. The amount of collateral in the 60+ buckets is approximately 4.99% and 20.64%, while cumulative losses to date are 0.70% and 1.25% respectively.
For the 2003-6 series, which is seasoned 47 months, groups 1 and 2 pool factors (current collateral balance as a percentage of initial collateral balance) are 47% and 14% respectively. Both groups are at their target OC amounts. The amount of collateral in the 60+ buckets is approximately 1.80% and 16.06%, while cumulative losses to date are 0.25% and 0.93% respectively.
For the 2004-1 series, which is seasoned 45 months, groups 1 and 2 pool factors (current collateral balance as a percentage of initial collateral balance) are 39% and 13% respectively. Both groups are at their target OC amounts. The amount of collateral in the 60+ buckets is approximately 2.73% and 17.17%, while cumulative losses to date are 0.59% and 0.65% respectively.
For further information regarding CE, losses, and delinquencies, please visit the Fitch Ratings web site at www.fitchratings.com.
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