Moody's publishes latest ABS CDO downgrade numbers

Moody’s says that structured finance CDO tranches that it is still reviewing for downgrade totalled $185.3 billion at the end of last year. According to its latest ratings surveillance update, outstanding negative reviews total 2,120 tranches from 580 CDOs. The reviews for downgrade account for 46.6% of all US ABS CDO securities that Moody’s rates.

The rating agency says that it downgraded 243 tranches from 75 US structured finance CDO deals in December, totaling $23.3 billion. In 2007 overall, Moody’s downgraded 1,390 tranches from 462 ABS CDOs, totalling US$75.9 billion.
Less than 5% of US ABS CDO securities issued in 2004 and 2005 were downgraded, compared to 39.1% and 53.1% from 2006 and 2007 vintages.

Approximately 1.6% of securities issued in 2006 or 2007 and originally rated Aaa were downgraded to Caa or below. For ABS CDO securities originally rated Aa, 9.2% of the tranches issued in 2006 or 2007 were downgraded to Caa or below. For securities originally rated A, Baa and Ba, the figure was 20.3%, 36.1% and 54.2%.