The mess Parmalat has spilled across the capital markets continues to spread, as Fitch Ratings downgraded Tullas CDO last week, an action largely stemming - though not entirely - from its exposure to the Italian milk maker. The CDO, however, does not stand alone, as the rating agency has placed 11 public CDOs on watch for downgrade since late December, just as Parmalat unraveled and filed for Chapter 11 bankruptcy.

In the action on Tullas, about $298 million of class A notes were downgraded to BB-' from BBB-' and $6 million of class B notes were downgraded to B-' from BB-'. Issued in 2001, Tullas was a static $350 million CDO underwritten by Barclays Capital. The deal held ABS collateral, as well as emerging-market bonds and some corporate bonds. The CDO contained assets held physically and through credit-linked notes (CLNs).

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