Fitch Eyes E*Trade CDO Classes

Fives classes of securities issued by E*Trade ABS CDO I Ltd. and E*Trade ABS CDO I LLC and supported in part by residential and commercial mortgage-backed securities have been placed on Rating Watch Negative by Fitch Ratings.The affected securities are as follows: class B third-priority secured floating-rate notes due 2037; classes C-1 and C-2 mezzanine secured floating-rate notes due 2037; $12.5 million of preference shares due 2037; and approximately $4.9 million of composite securities due 2037. The collateralized debt obligation is supported by RMBS, CMBS, CDOs, and asset-backed securities, Fitch said. The rating agency said a June 30 trustee report on the transaction indicates that 0.86% of the portfolio had defaulted. "The portfolio default and rating performance has increased the risk to the notes to a point where the risk may no longer be consistent with their respective ratings," Fitch said.