Standard & Poor's lowered its ratings on 29 tranches from nine U.S. CDO of ABS deals as well as removed 12 of these ratings from CreditWatch negative.
The rating agency also placed four of the lowered ratings on CreditWatch negative, and 13 of
the lowered ratings remain on CreditWatch negative, indicating a considerable likelihood of further downgrades, according to S&P. Additionally, the firm affirmed its ratings on 26 other tranches.
According to a release from S&P, the downgrades reflect a number of factors, such as credit
deterioration and its recent negative rating actions on U.S. subprime RMBS. The firm's CreditWatch placements mostly impact deals for which a significant portion of the collateral assets now have ratings on CreditWatch with negative implications or that have significant exposure to assets rated in the 'CCC' category.
The 29 downgraded U.S. cash flow and hybrid tranches have an issuance total of $4.539 billion. Six of the nine affected transactions are mezzanine structured finance CDOs of ABS, which are backed largely by RMBS mezzanine tranches of RMBS as well as other SF securities. The other three are high-grade SF CDOs of ABS that were collateralized at origination mostly by 'AAA' through 'A' rated tranches of RMBS and other SF securities.
According to the agency, the affirmations reflect current credit support levels that analysts from firm believe are enough to maintain the current ratings.
S&P said it will continue to monitor the CDO deals it rates and take rating actions, such as CreditWatch placements, when appropriate.