Fitch Ratings downgraded Independence CDO I and placed Independence CDO II on watch for a downgrade, the agency announced today. According to Fitch, the actions were associated with credit deterioration of the underlying portfolios.
Independence II has $18.5 million, or 4.6% of its portfolio, invested in manufactured housing ABS that has been downgraded to 'CCC+' or below.
Independence II closed in mid-2001 and is comprised of RMBS, ABS, CMBS, REITs and CDOs. Its $291 million class A notes, rated 'AAA', its $78 million class B notes rated 'AA-' and its $14.6 million class C notes rated 'BBB', were all placed on negative watch.
Independence CDO I, which is through its reinvestment period, was issued in late 2000 with almost half comprised of ABS, followed by a mix of RMBS, CMBS, and a small bucket of CDOs. It is managed by Declaration Management & Research LLC.
According to Fitch, the $217.8 class A notes of Independence I were downgraded to 'AA' from 'AAA'; the $50 million B notes were downgraded to 'A-' from 'AA-'; and the $15 million C notes were downgraded to 'BB' from 'BBB'. Fitch said the A/B and C overcollateralization ratios have decreased to 107.28% and 101.7%, respectively. Both O/C ratios continue to pass their trigger levels.