Fitch Downgrades Subprime Securities

Twenty-five classes of mortgage-backed securities from three issuers have been downgraded by Fitch Ratings as a result of changes to its subprime loss forecasting assumptions.Fitch also placed nine classes on Rating Watch Negative and affirmed the ratings on classes with outstanding balances of nearly $1 billion. Securities affected by the latest downgrades were as follows: 11 classes from two issues of GSAMP mortgage pass-through certificates; seven classes from two issues of Structured Asset Securities Corp. mortgage pass-throughs; and seven classes of Asset Backed Funding Corp. 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."