Fitch Downgrades Subprime-Backed CDOs

Fitch Ratings has downgraded 91 classes of notes from 17 collateralized debt obligations backed partly by subprime residential mortgage-backed securities. Among the affected securities are: 10 classes of notes issued by Duke Funding High Grade III Ltd.; eight classes issued by Monterey CDO Ltd./LLC; eight classes issued by Dalton CDO Ltd.; eight classes issued by Orient Point CDO Ltd.; seven classes issued by Kleros Preferred Funding II Ltd.; six classes issued by ABS CDO II Ltd./LLC; six classes issued by Bernoulli High Grade CDO I Ltd./Inc.; six classes issued by Broderick CDO 1 Ltd.; six classes issued by Ipswich Street CDO Ltd./LLC; six classes issued by Fort Sheridan ABS CDO Ltd.; five classes issued by Duke Funding X CDO Ltd./Corp.; four classes issued by C-BASS CBO XIV Ltd.; three classes issued by Benazzi CDO 2005-1 Ltd.; three classes issued by TORO ABS CDO I Ltd.; one class issued by Salisbury International Investments Ltd.; and one class issued by Marathon Structured Funding I LLC. Fitch attributed the downgrades to "significant collateral deterioration" in the portfolios' subprime RMBS and, in most cases, alternative-A RMBS and structured finance CDOs with underlying exposure to subprime RMBS. the rating agency can be found online at http://www.fitchratings.com.