Five classes of notes from Slate CDO 2007-1 Ltd./LLC, a hybrid collateralized debt obligation partly collateralized by commercial mortgage-backed securities, have been placed on Rating Watch Negative by Fitch Ratings. The affected securities are classes A3, B1, B2, B3, and C. The negative rating actions were attributed to a decline in the portfolio's credit quality resulting from Fitch downgrades of 11 tranches from seven CMBS B-piece resecuritizations. Fitch said 55% of the Slate CDO 2007-1 portfolio consists of credit default swaps, primarily referencing CMBS and CMBS B-piece resecuritizations, and 45% consists of cash CMBS, commercial real estate CDO cash securities, and cash CMBS B-piece resecuritizations.
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