Fitch Downgrades Subprime-Backed CDOs

Fitch Ratings has downgraded 30 classes of notes from eight collateralized debt obligations backed primarily or partly by subprime residential mortgage-backed securities. The affected securities are: seven classes issued by Jupiter High-Grade CDO III Ltd.; five classes issued by Davis Square Funding III Ltd.; four classes issued by Pacific Bay CDO Ltd.; four classes issued by South Coast Funding II Ltd.; three classes issued by South Coast Funding VI Ltd.; three classes issued by Grenadier Funding Ltd.; three classes issued by Davis Square Funding II Inc.; and one class issued by Millstone Funding Ltd. Fitch attributed the downgrades to "significant collateral deterioration" in the portfolios' subprime RMBS and, in some cases, alternative-A RMBS, commercial MBS, prime MBS, and structured finance CDOs with underlying exposure to subprime RMBS.