Fitch Ratings has downgraded 18 tranches and affirmed two tranches of the Madrid RMBS I, II and III transactions following a performance review.

This included the downgrades of 'AAA' tranches. The downgrades reflect the deteriorating performance of the underlying pools as the three transactions have seen defaults well above expectations and due to the high LTV nature of the loans in the pools in a decreasing housing market, expected recoveries are likely to be lower.

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