Fitch Downgrades Subprime Securities

Sixty classes of mortgage-backed securities from four issuers have been downgraded by Fitch Ratings as a result of changes to its subprime loss forecasting assumptions.Fitch also placed seven classes on Rating Watch Negative, removed two classes from Rating Watch Negative, and affirmed the ratings on classes with outstanding balances of approximately $6.8 billion. Securities affected by the latest downgrades were as follows: 28 classes from five issues of SAIL mortgage pass-through certificates; 26 classes from eight issues of Morgan Stanley mortgage pass-throughs; five classes from one issue of Saxon Asset Securities Trust mortgage pass-throughs; and one class of SASCO mortgage pass-throughs. 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."