Glacier Funding III CDO Classes Downgraded

Three classes of notes issued by Glacier Funding CDO III, a collateralized debt obligation that includes mortgage-backed securities, have been downgraded by Fitch Ratings.The downgrades were as follows: class B notes, from AA to A; class C notes, from BBB to BB; and class D notes, from BB-plus to B (and removed from Rating Watch Negative). Fitch also affirmed the ratings on two other classes in the CDO. "Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically subprime residential mortgage-backed securities, since the last rating action on March 13, 2007," the rating agency said. "Further, Glacier III's portfolio contains a sizable exposure (39%) to subprime [residential MBS] of 2005, 2006, and 2007 vintages, which are experiencing higher levels of delinquencies and defaults."