Fitch Eyes Chase ABS Classes

Four classes of Chase Funding Mortgage Loan asset-backed certificates have been placed on Rating Watch Negative by Fitch Ratings.The affected securities are the IB classes of series 1999-1 group 1, series 1999-2 group 1, series 1999-3 group 1, and series 1999-4 group 1. In addition, Fitch upgraded one class and affirmed the ratings on 13 classes in the four transactions. The watchlist placements were attributed to losses in recent months, which have prevented the overcollateralization from maintaining its target amount. Additionally, the group 1 of each transaction no longer benefits from the cross-collateralized excess spread of the group 2. As a result of the increased losses and the reduction in cross-collateralized excess spread, monthly losses have generally exceeded the monthly excess spread for the past six months. The pools consist of fixed-rate subprime mortgage loans secured by first-lien mortgages or deeds of trust on residential properties.