Seventy-eight additional classes of subprime mortgage pass-through certificates were downgraded by Fitch Ratings on April 9 as a result of changes to its subprime loss forecasting assumptions. Fitch also affirmed the ratings on classes with outstanding balances of more than $1.1 billion. The pass-through securities affected by the latest downgrades were: 47 classes from six issues by C-BASS; 20 classes from three issues by Fieldstone; and 11 classes from three issues by Terwin Mortgage Trust. 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."
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