Fitch Downgrades NIM Securities

Over 140 classes of net interest margin notes from more than 20 issuers have been downgraded by Fitch Ratings as a result of the performance of the NIM securities and, in the vast majority of cases, of changes to its subprime loss forecasting assumptions.Fitch also affirmed the ratings on more than 70 NIM classes. Among the NIM securities affected by the latest downgrades are: 26 classes from 13 Structured Asset Investment Loan Trust deals; 17 classes from 17 Structured Asset Backed Receivables deals; 10 classes from four Park Place deals; eight classes from three J.P. Morgan deals; and seven classes from six Structured Asset Securities Corp. deals. The rating actions were attributed to actual pay-down performance of the NIM securities to date compared with initial projections, as well as 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 online at http://www.fitchratings.com.