S&P lowers ratings on 2.312 bln usd worth of US CDO of ABS transactions

S&P lowers ratings on 2.312 bln usd worth of US CDO of ABS transactions

	Published : Fri, 17 Aug 2007 05:05 By : Agencies Print this Story

MUMBAI (Thomson Financial) - Standard & Poor's Ratings Services lowered its ratings on 50 tranches from 12 US cash flow and hybrid collateralized debt obligations (CDO) of asset-backed securities (ABS) transactions.

These tranches represent an issuance of 2.312 bln usd and 47 of these ratings had been on negative watch before the downgrades.

S&P also affirmed its ratings on another 19 tranches from six CDO of ABS transactions and removed them from negative watch.

These represent an issuance amount of 692.6 mln usd.

All of the affected CDO transactions are collateralized in part by mezzanine tranches of US residential mortgage-backed securities (RMBS) backed by first-lien subprime mortgage collateral, S&P said.

On July 12, S&P cut its ratings on more than 600 US RMBS classes collateralized by US first-lien subprime mortgages.

Subsequently, on July 19, it lowered its ratings on more than 400 US RMBS classes backed by US closed-end second-lien mortgages; and on Aug 7, it placed its ratings on more than 200 RMBS classes backed by US first-lien Alternative-A (Alt-A)

mortgage collateral on negative watch.

Including today's downgrades, S&P has lowered its ratings on 75 tranches from 18 cash flow and hybrid CDO transactions to date as a result of exposure to RMBS securities that have seen negative credit migration, and another 127 tranche ratings from 41 cash flow and hybrid CDO transactions are currently on negative watch.

The 75 downgraded tranches represent an issuance amount of 3.29 bln usd; the 127 tranches with ratings on negative watch represent an issuance amount of 3.642 bln usd.

Aside from these actions on cash flow and hybrid CDOs, S&P has also lowered 96 tranche ratings from 77 non-excess-spread synthetic CDO transactions and placed 10 tranche ratings from four actively managed non-excess-spread synthetic CDO transactions on negative watch.

The 96 downgraded synthetic CDO tranches represent 2.101 bln usd in issuance; the 10 synthetic CDO tranches with ratings on watch represent 210.8 mln usd in issuance.

TFN.newsdesk@thomson.com

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