CDO Subprime-Linked Classes on Watch

Twenty-six classes from 12 structured finance collateralized debt obligations have been placed on Rating Watch Negative by Fitch Ratings.The actions, which affect approximately $603 million of notes in CDOs issued between 2001 and 2006, were attributed to collateral deterioration related to recently downgraded or watchlisted subprime residential mortgage-backed securities. The affected CDOs are as follows: Bluegrass ABS CDO III Ltd.; Diversified Asset Securitization Holdings III LP; Fulton Street CDO Ltd./Funding Corp.; Independence IV CDO Ltd.; Independence V CDO Ltd.; Independence VII CDO Ltd.; Libertas Preferred Funding I Ltd.; Northlake CDO I Ltd.; Oceanview CBO I Ltd.; Pacific Coast CDO Ltd.; South Coast Funding III Ltd.; and Whately CDO I Ltd./Corp. Fitch said CDO tranches placed on Rating Watch Negative as a result of recent subprime RMBS credit deterioration now total approximately $1.4 billion of notes from $16 billion of CDOs, representing approximately 17% of Fitch-rated U.S. CDOs.