Standard & Poor's cut the ratings of 50 tranches from 11 US cash flow and hybrid CDO transactions. The downgraded tranches have a total issuance amount of $5.502 billion.

"We removed 23 of the lowered ratings from CreditWatch with negative implications. The ratings on 27 of the downgraded tranches remain on CreditWatch with negative implications, indicating a significant likelihood of further downgrades," said S&P.

The CreditWatch placements primarily affect transactions for which a significant portion of the collateral assets currently have ratings on CreditWatch negative or have significant exposure to assets rated in the 'CCC' category. Two of the 11 affected transactions are high-grade structured finance (SF) CDOs of ABS, which are CDOs collateralized at origination primarily by 'AAA' through 'A' rated tranches of residential mortgage-backed securities (RMBS) and other SF securities. Eight of the 11 transactions are mezzanine SF CDOs of ABS, which are collateralized in large part by mezzanine tranches of RMBS and other SF securities. The other transaction is a CDO of CDOs that was collateralized at origination primarily by notes from other CDOs, as well as by tranches from RMBS and other SF transactions.

S&P said the CDO downgrades reflect a number of factors, including credit deterioration and recent negative rating actions on US subprime RMBS securities.

To date, including the CDO tranches listed below and including actions on both publicly and confidentially rated tranches, S&P has lowered our ratings on 3,456 tranches from 823 US cash flow, hybrid, and synthetic CDO transactions as a result of stress in the US residential mortgage market and credit deterioration of U.S. RMBS.

In addition, 1,381 ratings from 418 transactions are currently on CreditWatch negative for the same reasons. In all, the credit rating agency has downgraded $380.356 billion of CDO issuance. Additionally, ratings on $36.165 billion in securities have not been lowered but are currently on CreditWatch negative, indicating a high likelihood of future downgrades.

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