The class C and D deferrable floating-rate notes issued by Dalton CDO Ltd., a collateralized debt obligation linked to residential mortgage-backed securities, have been placed on Rating Watch Negative by Fitch Ratings.The negative rating actions were attributed to a deterioration in the collateral credit quality in the long portfolio, which consists of asset-backed securities CDOs, RMBS, and collateralized loan obligations. Dalton is a hybrid structured finance CDO that combines the use of synthetic and cash assets as well as funded and unfunded liabilities.
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