Standard & Poor's Ratings Services has placed its ratings on 35 classes from 18 U.S. synthetic collateralized debt obligation deals on CreditWatch with negative implications.When pari passu tranches are combined, the 35 ratings represent 25 credit classes, S&P said. "The CreditWatch placements are due to an update of S&P's credit opinion regarding the risks associated with the credit behavior of non-investment-grade entities," the rating agency said. "In addition, our assessment of how that behavior is correlated also has been updated." The updated assumptions have been incorporated into S&P's CDO Evaluator model, the latest version of which (version 3.0) was released Dec. 19 for global synthetic CDOs. The 35 classes represent approximately 4% of S&P's total publicly rated U.S. synthetic CDO tranches, the rating agency reported. S&P can be found online at http://www.standardandpoors.com.

Subscribe Now

Authoritative analysis and perspective for every segment of the mortgage industry

30-Day Free Trial

Authoritative analysis and perspective for every segment of the mortgage industry