The bankruptcy of Delphi Corp., the largest U.S. auto parts manufacturer, is expected to have some impact on U.S. synthetic and cash CDOs, according to a report issued last Thursday by Moody's Investors Service.

Any subsequent rating downgrades will depend on the extent of exposure to Delphi and the ultimate recovery values of those affected securities. Synthetic structures are likely to take the brunt of any negative implications.

As of press time, the rating agency had identified 177 U.S. CDOs with Delphi exposure, including 71 cash deals and 106 synthetic. Across those U.S. cash CDOs with Delphi exposure, the proportion of portfolios comprising Delphi obligations ranges from 0.1 to 3.7%, according to Moody's, and U.S. synthetic deal Delphi concentration ranges from less than 0.1% to 1.6%. In all, 324 deals were identified to have exposure to the ailing auto parts supplier, which filed for Chapter 11 bankruptcy protection Oct. 8. (see related story p 1).

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