Standard & Poor's Ratings Services (S&P) has lowered ratings on 15 tranches from nine collateralized debt obligation (CDO) transactions and removed them from CreditWatch with negative implications. The downgrades reflect credit deterioration and S&P's negative rating actions on the underlying subprime residential mortgage-backed securities (RMBS), among other factors.
The 15 downgraded cashflow and hybrid tranches have a total issuance amount of $5.641 billion. Five of the nine affected transactions are mezzanine structured finance CDOs of asset-backed securities (ABS), which are collateralized, in large part, by mezzanine tranches of RMBS and other structured finance securities, S&P says.
The remaining four transactions are high-grade structured finance CDOs of ABS that wereÂ primarily collateralized at origination by tranches of RMBS and other securities rated A through AAA.
S&P affirmed its ratings on 48 other tranches from 11 transactions and removed three of them from CreditWatch negative.
SOURCE: Standard & Poor's