Five classes of notes issued by Delphinus CDO 2007-1 Ltd., a collateralized debt obligation consisting largely of residential mortgage-backed securities, have been placed on Rating Watch Negative by Fitch Ratings.The affected securities are classes C, D-1, D-2, D-3, and E. Fitch also affirmed the ratings on eight other classes in the transaction. The negative rating actions were attributed to deterioration in collateral credit quality. The deal has a revolving portfolio, of which RMBS constitute 88.9%, commercial MBS constitute 0.6%, and structured finance CDOs constitute 6.75%, Fitch reported. It consists primarily of 2006 and 2007 vintage subprime collateral. The rating agency can be found online at http://www.fitchratings.com.
Processing Content
