Fitch Ratings placed 150 SF CDO transactions, representing $36.8 billion, on Rating Watch Negative last week, following a global review of about $300.1 billion of outstanding debt. Of the deals affected, $4.2 billion of SF CDO liabilities remain on Rating Watch Negative.

Of the $23.9 billion of AAA rated securities on Rating Watch Negative, approximately two-thirds, or $16 billion, represent 'AAA' rated tranches of mezzanine subprime, and CDO squared transactions. The ratings from these deals are expected to suffer the most severe downgrades, Fitch said.  While a full analysis remains to be completed, preliminary indications are the rating agency expects to carry out a three-to-four rating category average downgrade - in the range of 'BBB' to 'BB-'. The remaining $7.8 billion of 'AAA' rated notes on Rating Watch Negative are from high grade subprime RMBS, prime/Alt-A SF CDOs, and synthetic SF CDOs of all types. Downgrades are expected to be one-to-two ratings categories ranging from 'AA' to 'A-'. 'AA', 'A', and 'BBB' are expected to be downgraded to below investment grade. Fitch expects to take further actions on the ratings within the next 30 days. The rating agency will hold a conference call tomorrow to discuss its actions.

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