Fitch Downgrades More B&C Classes

Seventy additional classes of subprime mortgage pass-through certificates were downgraded by Fitch Ratings on March 28 as a result of changes to its subprime loss forecasting assumptions. Fitch also placed four classes of subprime pass-throughs on Rating Watch Negative and affirmed the ratings on classes with outstanding balances of approximately $1.6 billion. The securities affected by the latest downgrades were: 30 classes from four issues of Centex Home Equity Loan Trust mortgage pass-throughs; 18 classes from two issues of CSFB Home Equity pass-throughs; 12 classes from one issue of SG Mortgage Securities Trust pass-throughs; nine classes from two issues of Countrywide pass-throughs; and one class from an issue of Aames Mortgage Investment Trust pass-throughs. 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."