Fitch Downgrades More B&C Classes

More than 200 additional classes of subprime mortgage pass-through certificates were downgraded by Fitch Ratings on March 4 as a result of changes to its subprime loss forecasting assumptions. Fitch also placed more than 100 classes of subprime pass-throughs on Rating Watch Negative and affirmed the ratings on classes with outstanding balances of more than $5 billion. The securities affected by the latest downgrades were 95 classes from six Structured Asset Securities Corp. deals, 53 classes from nine J.P. Morgan deals, 29 classes from two BNC deals, 24 classes from two Wells Fargo Home Equity Trust deals, and 11 classes from one Societe Generale Mortgage Securities Trust deal. Fitch also placed the following securities on Rating Watch Negative: 31 classes from two Saxon deals, 29 classes from two SASCO deals, 25 classes from two Asset Backed funding Corp. deals, and 18 classes from one First Franklin Mortgage Loan Trust deal. 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.