Fitch may cut Merit Holdings notes

Fitch Ratings said it placed Merit Holdings Ltd.'s A-rated $150 million credit linked notes due February 10, 2011 on Rating Watch negative, reflecting a view on the credit risk of the notes.

The action comes after the release of the agency's new corporate CDO rating criteria.

The rating reflects a portfolio credit risk with an average portfolio quality of BBB-/BB+ and a high geographic concentration of 96.8% exposure to the United States, Fitch said.

Given Fitch's view of concentration and the current credit quality of the portfolio, the agency said the credit enhancement level of 3.02% does not seem sufficient to justify the current rating of these notes.

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