Four classes of notes issued by Orion 2006-1 Ltd./LLC, a collateralized debt obligation linked to subprime residential mortgage-backed securities, have been downgraded by Fitch Ratings. The downgrades in the hybrid cash and synthetic structured finance CDO were as follows: class A, from BB-minus to CC; class B, from B to CC; class C, from CCC to CC; and class D, from CCC-minus to CC. All four classes were removed from Rating Watch Negative. Fitch said the downgrades stemmed from "significant collateral deterioration" in the portfolio, especially from U.S. subprime RMBS and structured finance CDOs with underlying exposure to subprime RMBS.
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