Other B&C Securities Downgraded

In addition to the more than 130 additional classes of subprime mortgage-backed securities downgraded because of revised subprime loss assumptions (see item above), Fitch Ratings has also downgraded 43 additional classes of B&C MBS that it did not link to the changed assumptions.Fitch also affirmed the ratings on 49 classes from the same transactions. Among the MBS affected by the downgrades were: 15 classes from seven Structured Asset Securities Corp. deals; 11 classes from four IndyMac SPMD deals; eight classes from five Meritage Mortgage Corp. deals; five classes from four Centex Home Equity Loan deals; and four classes from one Terwin Mortgage Trust deal. The downgrades were attributed to deterioration in the relationship between credit enhancement and loss expectations.