Fitch Eyes $97B of RMBS-Exposed CDOs

Fitch Ratings has placed $97 billion of notes from 197 collateralized debt obligations with exposure to residential mortgage-backed securities on Rating Watch Negative. The action, which affects 902 tranches of structured finance CDOs, reflects continued deterioration in the U.S. subprime mortgage market stemming from high-risk mortgages and declining home prices. "In light of this ongoing deterioration, Fitch's RMBS group announced increased loss expectations of 21% and 26%, respectively," the rating agency said. The placement of the structured finance CDOs on Rating Watch Negative was based primarily on exposure to subprime RMBS and to other CDOs with such exposure, Fitch said. the rating agency can be found online at http://www.fitchratings.com.