Fitch Affs $1.7B & Downgrs $98.1MM from 19 Chase Funding Loan 2003 & 2004 Subprime Deals

2008-04-30 23:51:11 -

- Fitch Ratings has taken the following rating actions on Chase Funding Loan Acquisition Trust mortgage pass-through certificates. Unless stated otherwise, any bonds that were previously placed on Rating Watch Negative are removed. Affirmations total $1.7 billion and downgrades total $98.1 million.

Chase 2003-C1 Group 1

--$22.0 million class IA-4 affirmed at 'AAA';

--$23.8 million class IA-5

affirmed at 'AAA';

--$4.8 million class IM-1 affirmed at 'AA+';

--$4.5 million class IM-2 affirmed at 'A+';

--$3.4 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 5.07%;

--Realized Losses to date (% of Original Balance): 1.05%.

Chase Funding Loan Acquisition Trust 2003-C2 Total Pool

--$40.2 million class IA-1 affirmed at 'AAA';

--$1.4 million class IA-P affirmed at 'AAA';

--Notional class IA-X affirmed at 'AAA';

--$81.8 million class IIA-1 affirmed at 'AAA';

--$4.3 million class IIA-P affirmed at 'AAA';

--Notional class IIA-X affirmed at 'AAA';

--$5.2 million class B-1 affirmed at 'AA';

--$3.9 million class B-2 affirmed at 'A';

--$3.4 million class B-3 affirmed at 'BBB';

--$1.8 million class B-4 affirmed at 'BB';

--$0.4 million class B-5 affirmed at 'B';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 0.32%;

--Realized Losses to date (% of Original Balance): 0.12%.

Chase 2003-1 Group 1

--$36.7 million class IA-5 affirmed at 'AAA';

--$24.6 million class IA-6 affirmed at 'AAA';

--$4.7 million class IM-1 affirmed at 'AA+';

--$4.1 million class IM-2 affirmed at 'A+';

--$2.1 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 4.99%;

--Realized Losses to date (% of Original Balance): 1.14%.

Chase 2003-1 Group 2

--$11.8 million class IIA-2 affirmed at 'AAA';

--$11.1 million class IIM-1 downgraded to 'A+' from 'AA+';

--$2.4 million class IIM-2 downgraded to 'BBB+' from 'A+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 22.63%;

--Realized Losses to date (% of Original Balance): 1.59%.

Chase 2003-2 Group 1

--$48.1 million class IA-5 affirmed at 'AAA';

--$28.6 million class IA-6 affirmed at 'AAA';

--$6.0 million class IM-1 affirmed at 'AA+';

--$4.6 million class IM-2 affirmed at 'A+';

--$3.2 million class IB affirmed at 'A-';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 4.46%;

--Realized Losses to date (% of Original Balance): 0.79%.

Chase 2003-2 Group 2

--$17.3 million class IIA-2 affirmed at 'AAA';

--$14.7 million class IIM-1 downgraded to 'AA-' from 'AA+';

--$3.6 million class IIM-2 downgraded to 'BBB+' from 'A+';

--$0.3 million class IIB downgraded to 'BBB+' from 'A-';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 22.31%;

--Realized Losses to date (% of Original Balance): 1.38%;

Chase 2003-3 Group 1

--$11.6 million class IA-4 affirmed at 'AAA';

--$51.5 million class IA-5 affirmed at 'AAA';

--$31.1 million class IA-6 affirmed at 'AAA';

--$7.4 million class IM-1 affirmed at 'AA+';

--$5.7 million class IM-2 affirmed at 'A+';

--$4.2 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 4.45%;

--Realized Losses to date (% of Original Balance): 0.63%.

Chase 2003-3 Group 2

--$16.8 million class IIA-2 affirmed at 'AAA';

--$5.7 million class IIM-1 affirmed at 'AA+';

--$2.4 million class II-M2 affirmed at 'A+';

--$0.5 million class IIB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 15.18%;

--Realized Losses to date (% of Original Balance): 1.37%.

Chase 2003-4 Group 1

--$40.0 million class IA-4 affirmed at 'AAA';

--$91.6 million class IA-5 affirmed at 'AAA';

--$56.9 million class IA-6 affirmed at 'AAA';

--$14.8 million class IM-1 affirmed at 'AA+';

--$11.4 million class IM-2 affirmed at 'AA-';

--$10.0 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 3.88%;

--Realized Losses to date (% of Original Balance): 0.52%.

Chase 2003-4 Group 2

--$23.1 million class IIA-2 affirmed at 'AAA';

--$11.5 million class IIM-1 downgraded to 'A+' from 'AA';

--$4.6 million class IIB downgraded to 'B' from 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 16.97%;

--Realized Losses to date (% of Original Balance): 1.60%.

Chase 2003-5 Group 1

--$78.6 million class IA-4 affirmed at 'AAA';

--$95.8 million class IA-5 affirmed at 'AAA';

--$60.0 million class IA-6 affirmed at 'AAA';

--$18.5 million class IM-1 affirmed at 'AA+';

--$11.4 million class IM-2 affirmed at 'A+';

--$11.4 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 2.06%;

--Realized Losses to date (% of Original Balance): 0.39%.

Chase 2003-5 Group 2

--$24.1 million class IIA-2 affirmed at 'AAA';

--$10.3 million class IIM-1 downgraded to 'AA-' from 'AA+';

--$3.0 million class IIM-2 downgraded to 'BBB+' from 'A+';

--$1.4 million class IIB downgraded to 'BB+' from 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 16.64%;

--Realized Losses to date (% of Original Balance): 1.09%.

Chase Funding Trust Series 2003-6 GROUP 1

--$19.8 million class IA-3 affirmed at 'AAA';

--$107.9 million class IA-4 affirmed at 'AAA';

--$102.6 million class IA-5 affirmed at 'AAA';

--$66.2 million class IA-6 affirmed at 'AAA';

--$61.3 million class IA-7 affirmed at 'AAA';

--$26.0 million class IM-1 affirmed at 'AA+';

--$19.5 million class IM-2 affirmed at 'AA-';

--$18.2 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 2.11%;

--Realized Losses to date (% of Original Balance): 0.29%.

Chase Funding Trust Series 2003-6 GROUP 2

--$32.0 million class IIA-2 affirmed at 'AAA';

--$16.7 million class IIM-1 affirmed at 'AA+';

--$4.3 million class IIM-2 downgraded to 'A-' from 'A+';

--$1.7 million class IIB downgraded to 'B' from 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 15.97%;

--Realized Losses to date (% of Original Balance): 1.17%.

Chase Funding Trust, Series 2004-1 GROUP 1

--$33.8 million class IA-4 affirmed at 'AAA';

--$48.3 million class IA-5 affirmed at 'AAA';

--$31.1 million class IA-6 affirmed at 'AAA';

--$25.2 million class IA-7 affirmed at 'AAA';

--$11.0 million class IM-1 affirmed at 'AA+';

--$8.3 million class IM-2 affirmed at 'A+';

--$5.3 million class IB affirmed at 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 3.23%;

--Realized Losses to date (% of Original Balance): 0.68%.

Chase Funding Trust, Series 2004-1 GROUP 2

--$41.1 million class IIA-2 affirmed at 'AAA';

--$23.7 million class IIM-1 affirmed at 'AA+';

--$5.7 million class IIM-2 downgraded to 'A' from 'AA-';

--$1.9 million class IIB downgraded to 'BBB' from 'BBB+';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 16.66%;

--Realized Losses to date (% of Original Balance): 0.81%.

Chase Funding Trust, Series 2004-2 GROUP 1

--$56.2 million class IA-4 affirmed at 'AAA';

--$48.9 million class IA-5 affirmed at 'AAA';

--$39.8 million class IA-6 affirmed at 'AAA';

--$9.2 million class IM-1 affirmed at 'AA';

--$9.2 million class IM-2 affirmed at 'A';

--$10.1 million class IB affirmed at 'BBB';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 2.28%;

--Realized Losses to date (% of Original Balance): 0.47%.

Chase Funding Trust, Series 2004-2 GROUP 2

--$16.3 million class IIA-2 affirmed at 'AAA';

--$13.5 million class IIM-1 downgraded to 'A' from 'AA';

--$6.4 million class IIM-2 downgraded to 'BB+' from 'A';

--$1.7 million class IIB downgraded to 'C/DR5' from 'BBB';

Deal Summary

--Originators: Chase;

--60+ day Delinquency: 20.23%;

--Realized Losses to date (% of Original Balance): 1.11%.

Chase Funding Loan Acquisition Trust, Series 2004-AQ1

--$70.2 million class A-2 affirmed at 'AAA';

--$31.3 million class M-1 affirmed at 'AA';

--$20.0 million class M-2 affirmed at 'A';

--$5.2 million class M-3 affirmed at 'A-';

--$2.2 million class B-1 affirmed at 'BBB+';

--$2.0 million class B-2 affirmed at 'BBB';

--$2.2 million class B-3 downgraded to 'BB' from 'BBB-';

--$2.5 million class B-4 downgraded to 'B+' from 'BB+';

--$0.4 million class B-5 downgraded to 'B' from 'BB';

Deal Summary

--Originators: Ameriquest;

--60+ day Delinquency: 15.67%;

--Realized Losses to date (% of Original Balance): 1.82%.

Additional details are available in the following research, available at www.fitchratings.com

--'Downgrade Criteria for Recent Vintage U.S. Subprime RMBS' (Aug. 8, 2007);

All of Fitch's ratings criteria for US subprime RMBS available at www.fitchratings.com/subprime. For a list of deals currently under analysis please visit www.fitchratings.com/smartview.

Further information regarding current delinquency, loss, and credit enhancement statistics is also available at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

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