Fifteen classes of notes issued by two Nautilus collateralized debt obligations linked to alternative-A and subprime residential mortgage-backed securities have been downgraded by Fitch Ratings. All the downgraded classes were removed from Rating Watch Negative. The affected securities are as follows: eight classes from Nautilus RMBS CDO IV Ltd./LLC and seven classes from Nautilus RMBS CDO III Ltd./LLC. Both are static cash flow CDOs. The downgrades were attributed to credit deterioration within the portfolio and underlying exposure to alt-A and subprime RMBS.
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