Synthetic CDO downgrades
Posted in CDO, Ratings Agencies by phorgyphynance on July 19, 2007
This S&P article via Calculated Risk
Ratings On 75 U.S. Synthetic CDOs Of ABS Lowered Following U.S. Subprime RMBS Review
Of the 92 ratings actions listed in the S&P article, it looks to me like
- 15 of them were AAA (3 downgraded to A),
- 27 of them were AA (4 downgraded to BBB),
- 30 of them were A
- 20 of them were BBB
There is very likely going to be forced selling for the 15 AAA securities and certainly with the 20 BBB securities breaching the barrier into junk status, i.e. high yield.
2 Responses
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Do you have any idea about the sizes ? 50mn BBB for example is close to nothing.
Good question! I don’t know the answer. I’ll update if I find out. The original article didn’t mention sizes (unless I missed it on the first skim).