Fitch Ratings has downgraded two classes of notes from two collateralized debt obligations issued by Blue Heron Funding and backed partly by subprime residential mortgage-backed securities. The class B notes of Blue Heron Funding V Ltd. and Blue Heron Funding IX Ltd. were downgraded from A-minus to C and removed from Rating Watch Negative. Fitch also affirmed the ratings on the certificates issued by the two transactions. The rating agency attributed the downgrades to "significant collateral deterioration" in the portfolios' subprime RMBS, structured finance CDOs with underlying exposure to subprime RMBS, and (in the case of Blue Heron IX) alternative-A RMBS.
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