S&P Eyes 331 Classes in CDOs of ABS

Standard & Poor's Ratings Services has placed on CreditWatch negative 331 classes from 79 U.S. cash flow and hybrid collateralized debt obligations of asset-backed securities. S&P attributed the negative rating actions to "stress in the U.S. residential mortgage market and credit deterioration of U.S. RMBS." The rating agency said 51 of the 79 affected CDO transactions are mezzanine structured finance CDOs of ABS collateralized substantially by mezzanine tranches of U.S. subprime RMBS. The remaining 28 are high-grade structured finance CDOs of ABS backed largely by senior tranches of subprime and other types of RMBS, as well as by senior tranches of CDOs of ABS, the rating agency said. The actions followed the April 15 placement on CreditWatch negative of 559 classes from 103 U.S. residential mortgage-backed securities supported by first-lien subprime mortgage collateral rated from January to June 2007. S&P can be found online at http://www.standardandpoors.com.