Fitch Downgrades Subprime Securities

Fifty-four classes of mortgage-backed securities from several issuers have been downgraded by Fitch Ratings as a result of changes to its subprime loss forecasting assumptions.Fitch also placed 35 classes on Rating Watch Negative and affirmed the ratings on classes with outstanding balances of about $3 billion. Among the securities affected by the latest downgrades were: 14 classes from Credit-Based Asset Servicing & Securitization LLC series 2007-CB4; 11 classes from Natixis mortgage pass-through certificates, series 2007-HE2; 11 classes from Credit Suisse First Boston Home Equity Asset Trust series 2007-2; and 10 classes from Carrington mortgage pass-through certificates, series 2007-FRE1. 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."