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CIT is in 53% of CSOs, says Fitch
Friday, July 17, 2009
Fitch Ratings says that a credit event by CIT would have only a minimal impact on its investment-grade ratings of CSOs, even though the name is present in 147 transactions – or 53% of the deals it rates. However, Fitch said that some tranches currently rated BBB and BB could be downgraded as a result of a credit event.
A credit event would produce realised losses in 26 single-tranche CSOs rated by Fitch if recoveries were 40%. Some 35 deals would be hit if recoveries were as low as 5%.
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CLO index levels:
| Index | 21 May |
|
| CFlux USD AAA | ↑ | 96.2 |
| CFlux USD AA | ↑ |
88.3 |
| CFlux USD A | ↓ | 84.1 |
| CFlux USD BBB | ↓ | 75.3 |
| CFlux USD BB | ↓ |
74.1 |
| CFlux USD EQ | ↑ | 77.5 |
