S&P Downgrades 67 CDO Tranches

Standard & Poor's Ratings Services has lowered its ratings on 67 tranches (totaling $7.65 billion) from 10 U.S. cash flow and hybrid collateralized debt obligation transactions. S&P said nine of the affected transactions are mezzanine structured finance CDOs of asset-backed securities, which are collateralized in large part by mezzanine tranches of residential mortgage-backed securities and other structured finance securities. The other is a "high-grade" structured finance CDO of ABS, which the rating agency defines as one backed at origination predominantly by triple-A and double-A rated tranches of RMBS and other structured finance assets. The downgrades reflect various factors, including credit deterioration, recent negative rating actions on subprime RMBS securities, and changes to the recovery rate and correlation assumptions S&P uses to assess RMBS held within CDO collateral pools. S&P can be found on the Web at http://www.standardandpoors.com.