Fitch Ratings placed $5.4 billion of rated liabilities, across 120 classes of 15 TruPS CDOs, on Rating Watch Negative today. In five of the 15 transactions affected by the ratings actions, Fitch placed the entire capital structure on Rating Watch Negative.
The ratings actions reflect continued deterioration in the credit quality of underlying issuers of trust preferred securities and subordinated debt, Fitch said, citing homebuilders, mortgage REITs and specialty finance companies in particular. The rating agency currently has a Negative Rating Outlook on the homebuilder, residential and commercial mortgage REIT sectors.
Fitch estimated that an average of 22.9% of the portfolios underlying the 15 CDOs are currently rated 'CCC+' or below, ranging between 6.6% and 45.8%, according to public and shadow ratings performed by the rating agency.
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