S&P Revises CDO Assumptions

Standard & Poor's has revised the correlation and recovery assumptions it uses to rate certain new collateralized debt obligations and to perform surveillance on CDO transactions backed by residential mortgage-backed securities. The changes were made due to "the observed difference between actual and originally expected behavior of certain RMBS collateral." Transactions affected by the revised correlation and recovery assumptions are as follows: CDOs backed by prime, alternative-A and subprime credit, home equity loans, and tax-lien RMBS issued in the United States during or after the fourth quarter of 2005; CDOs backed by other CDOs that are backed primarily by the affected collateral; any CDO backed by RMBS issued before the fourth quarter of 2005; and any CDO backed by tranches of any other CDO, other than affected CDOs.