Fitch Ratings has downgraded 12 classes of notes from three collateralized debt obligations backed partly by subprime residential mortgage-backed securities. The affected securities are four classes of notes issued by Robeco High Grade CDO I Ltd.; four classes issued by C-BASS CBO XV Ltd.; and four classes issued by C-BASS CBO XVI Ltd. All three transactions are static cash flow CDOs. All the downgraded classes were removed from Rating Watch Negative. Fitch attributed the downgrades to "significant collateral deterioration" in the portfolios, especially subprime RMBS, alternative-A RMBS, and -- in two of the three CDOs -- structured finance CDOs with underlying exposure to subprime RMBS.
Processing Content
