Cash CDOs: Fitch identified three European cash CDOs with notable exposure: Panther CDO I, Marylebone CBO 3, and Eurostar II CDO. No immediate action was taken. According to S&P, approximately 16 U.S. cash CDOs have Enron exposure, though none above the low 1% range. S&P is currently looking into blind-pool balance-sheet CLOs, of which there are approximately 35 with currently undetermined (if any) exposure.
Synthetic CDOs: Fitch announced that approximately 17 to 20 of its rated deals have Enron exposure, and subsequently placed four tranches of CDOs on watch for downgrade: the triple-B class of Hights 2001-1, the triple-B class of Hights 20001-6, and two classes of BAC Synthetic CLO 200-1 (which was downgraded by Moody's last week). S&P said that Enron appears in 50 transactions as a reference entity, most of which are in investment-grade synthetic CDOs.
CDS: Fitch estimated that Enron's credit, which was one of the most publicly traded names in the credit protection market, accounts for as much as 1% of the entire derivatives market. Several Enron credit-linked notes have already been downgraded by S&P. Further, Enron was a counterparty, or credit seller, in an undetermined number of transactions.
CMBS: BofA identified TRIZE 2001-TZHA as having direct exposure. Cashflow from Enron accounts for 4.1% of the deal.
ABCP: Enron's program, Enron Funding Corp., is in the process of winding down.
