Fitch Downgrades RMBS-Linked CDO Classes

Five classes of notes issued by Acacia CDO 10 Ltd., a collateralized debt obligation linked to residential mortgage-backed securities, have been downgraded by Fitch Ratings. The downgrades in the cash flow structured finance CDO were as follows: class A-1, from AAA to B; class A-2, from AAA to CCC; class B, from AAA to CC; class C, from AA-minus to C; and class D, from BBB to C. All the downgraded classes were removed from Rating Watch Negative. The downgrades were attributed to "significant collateral deterioration" in RMBS. Nearly half, 48.3%, of the portfolio consists of prime RMBS, while the remainder consists of alternative-A RMBS, 29.4%; commercial MBS, 11.8%; subprime RMBS, 6.1%; and CDOs, 4.5%. The rating agency can be found online at http://www.fitchratings.com.