Not long having put 430 mortgage-backed CDOs up for review, Fitch has announced its latest slew of downgrades.
Approximately $97bn of rated notes across 197 CDOs are now on rating watch negative, with full downgrades expected to follow shortly. The full list is here.
Of the total on review, around $67bn of tranches have already been downgraded by Fitch (in November 2007).
Fitch is the most bearish of the three major rating agencies – having just raised its loss expectations on subprime collateral to 26 per cent. (And as soon as it did so, downgrading $139bn of CDO notes)
Moody’s currently has an average cumulative loss assumption on 2006 subprime CDO collateral of 18 per cent, while Standard & Poor’s is at 19 per cent.
The number of CDOs breaching default triggers, meanwhile, continues to tick up, with more too being pushed towards liquidation. Moody’s estimate that around half of all CDOs tripping event of default triggers will accelerate and suspend payments to junior noteholders.