At least three structured finance CDOs are seeing credit migration to a degree that is making several investors nervous, since these deals are highly leveraged, according to buyside and rating agency sources.

Diversified Asset Securitization Holdings I (DASH I), known as the first visible SF CDO issued in 1999, has seen $6.5 million in defaulted securities while the transaction has only $10 million in equity support. Prudential Securities was the underwriter and Asset Allocation & Management is the manager.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.