Fitch Downgrades Subprime Securities

Forty-five 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 31 classes on Rating Watch Negative and affirmed the ratings on classes with outstanding balances of about $1.5 billion. Among the securities affected by the latest downgrades were: 13 classes from Option One mortgage pass-through certificates; 11 classes from Wells Fargo Home Equity asset-backed certificates; 10 classes from WaMu Home Equity asset-backed certificates; and nine classes of SG Mortgage Securities asset-backed certificates. The rating actions were attributed to changes in 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." The rating agency can be found online at http://www.fitchratings.com.