Standard & Poor'splaced the ratings of 76 tranches from 19 U.S. cash flow and hybrid CDO transactions on CreditWatch with negative implications today. The affected tranches total $2.163 billion and affect 10 trust-preferred CDOs collateralized by trust-preferred securities issued by REIT transactions, the rating agency said. The other nine transactions are ABS CDOs collateralized by mezzanine structured finance securities, including first lien subprime RMBS.
In total 193 tranche ratings from 57 cash flow and hybrid CDO transactions are currently on CreditWatch with negative implications due to exposure to RMBS securities with negative credit migration. The ratings of 25 tranches from six cash flow and hybrid CDO transactions were also lowered representing $973 million in issuance.
S&P has also lowered the ratings of 96 tranches from 77 non-excess-spread synthetic CDOs and placed seven tranche ratings from one actively managed non-excess-spread synthetic CDO transaction on CreditWatch with negative implications. The affected tranches are worth approximately $2.24 billion.