Downgrades Linked to Fitch Subprime Changes

Forty-six classes of mortgage pass-through certificates in subprime securitizations by five issuers have been downgraded by Fitch Ratings as a result of changes to the rating agency's subprime loss forecasting assumptions.Fitch also affirmed the ratings on classes with outstanding balances of nearly $5 billion. Among the downgrades were the following securities: 18 classes from three IndyMac ABS Inc. issues; 11 classes from one GE-WMC Mortgage Securities LLC issue; nine classes from two Terwin Mortgage Trust issues; six classes from three Asset Backed Funding Corp. issues; and two classes from one GS Mortgage Securities Corp. issue. The rating actions were attributed to changes to Fitch's subprime loss forecasting assumptions that "better capture the deteriorating performance of pools from 2006 and late 2005 with regard to continued poor loan performance and home price weakness."