Fitch Eyes CDO Subprime-Linked Classes

Forty-eight classes from 14 structured finance collateralized debt obligations have been placed on Rating Watch Negative by Fitch Ratings.The actions, which affect approximately $1.2 billion of notes in CDOs issued in 2006 and 2007, were attributed to Fitch's ongoing review of structured finance CDOs in which "significant portions" of the portfolio have been downgraded or watchlisted by Fitch or other major rating agencies. "In addition to public rating actions, this collateral portfolio review identified concentrations of subprime [residential mortgage-backed securities] bonds issued in 2006 where expected losses may be significantly higher than the ratings suggest," Fitch said. The rating agency said CDO tranches watchlisted as a result of recent subprime RMBS credit deterioration now represent approximately 20.2% of Fitch-rated U.S. structured finance CDOs. Fitch can be found on the Web at http://www.fitchratings.com.