More than 350 additional classes of first-lien subprime mortgage pass-through certificates were downgraded by Fitch Ratings on Feb. 28 as a result of changes to its subprime loss forecasting assumptions. Fitch also affirmed the ratings on classes with outstanding balances of $6 billion. The securities affected by the latest downgrades were 208 classes from 19 J.P. Morgan deals and 150 classes from 12 First Franklin deals. 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." Fitch can be found on the Web at http://www.fitchratings.com.
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