Fitch Ratings recently downgraded four classes of notes of Bistro 2006-6, a synthetic balance sheet CDO, established by JPMorgan Securities. The following tranches were downgraded; the $300 million class A notes were downgraded to 'AA-' from 'AAA'; the $100 million class B notes were downgraded to 'BB' from 'AA'; the $100 million class C notes were downgraded to 'C' from 'CCC-'; and the $30 million class D notes were downgraded to 'D' from 'C'. The rating agency cited deterioration in credit quality and higher than expected credit protection payments under credit default swaps as reasons for the action. Bistro 2000-6 was established by JPMorgan to provide credit protection on a $4 billion portfolio of investment grade loans.

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