Five classes of notes issued by Vertical ABS CDO 2006-1 Ltd./Corp., a collateralized debt obligation consisting largely of subprime mortgage-backed securities, have been downgraded and removed from Rating Watch Negative by Fitch Ratings. The downgrades were as follows: class A-S1VF, from BBB-plus to CCC; class A-1, from BBB to CC; class A-2, from BB-plus to CC; class A-3, from B-plus to C; and class B, from CCC to C. The downgrades were attributed to collateral deterioration involving subprime residential MBS, alternative-A RMBS, and structured finance CDOs with underlying exposure to subprime RMBS. Vertical 2006-1 is a hybrid cash flow and synthetic structured finance CDO.
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