Three classes of notes issued by Mid Ocean CBO 2000-1 Ltd., a collateralized debt obligation that includes mortgage-backed securities, have been downgraded by Fitch Ratings.Class A-1L has been downgraded from BB to B-minus/DR2, and classes A-2 and A-2L have been downgraded from CCC/DR4 to C/DR4. The rating agency attributed the downgrades to "poor collateral performance and substantial interest rate swap costs" that have caused the portfolio to generate insufficient interest proceeds to fully cover the interest obligations on Mid Ocean's liabilities. The transaction, a CDO managed by Deerfield Capital Management, is composed of residential MBS, commercial MBS, asset-backed securities, and other CDOs.
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