As a result of a rating action taken against Enron Corp. last week, Standard & Poor's lowered its ratings on five structured synthetic transactions related to the company - a move that was not completely unexpected (see ASR 10/29 p. 1). In addition, the ratings on the transactions were removed from CreditWatch with negative implications and placed on CreditWatch with developing implications. As its liquidity dried up over the last few years, Enron issued a few large credit-linked synthetic ABS deals (see ASR 5/21 p. 3) involving credit swaps referencing itself as a corporate obligor. Four transactions from the Enron Credit Linked Notes Trust series were lowered from a rating of BBB-/Watch Neg to B-/Watch Neg, as was the rating of Yosemite Securities Trust I.

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