Three-quarters of CSOs hit by at least one credit event, says S&P

Standard & Poor's said yesterday that about 75% of the synthetic CDOs (CSOs) rated by its London office contained at least one of the recent investment grade credit events, with Lehman Brothers the most widely refererenced of these names - see table below.

The rating agency also published a list of the mostly widely referenced obligators in "European" CSOs. It includes a number of names that trade at distressed prices, notably the monolines FSA (held by 48% of deals), MBIA (42% of deals) and Ambac (40% of deals), as well as AIG (46% of deals).

The rating agency recently announced that it is downgrading around 800 CSO tranches, as a result of the credit events, credit deterioration, and a recent change to its methodology for rating these deals.