Fitch Downgrades $37.2 Billion in Global CDOs

Fitch Ratings today took out the big red pen to a whopping $37.2 billion in collateralized debt obligations, hitting 84 transactions with often severe downgrades. Hopefully you aren’t entirely surprised, as I’d warned about the pending downgrades on November 7 — but it will nonetheless be interesting to see what happens next. Fitch said its latest rating actions were based on the continued credit deterioration of the underlying collateral, as well as changes to the default forecasting assumptions underlying Fitch’s Default VECTOR Model. The updated assumptions also reflected increased probabilities of default with respect to recent vintage subprime residential mortgate-backed securities and SF CDOs, the agency said. 66 classes remain on negative watch, according to Fitch; that’s a total of $22.2 billion in current balance if my math is correct. Here is the full list of downgraded securities (Excel format), which shows even AAA rated securities being dropped to CCC — a HUGE drop in rating. For more information, visit http://www.fitchratings.com.