Fitch places 73 CDO tranches with Delphi exposure on negative rating watch
Fitch Ratings has placed 40 tranches from 15 public collateralised debt obligations (CDOs) and 33 tranches from 24 private CDOs on negative rating watch. The total exposure of these rated transactions is €1.27 billion.
Those transactions referencing Delphi that Fitch rated and did not place on negative rating watch are expected to have sufficient credit enhancement to absorb the loss, assuming a 5% recovery rate.
The rating agency said this rate was derived from the midpoint of the recovery rating assigned to Delphi's senior unsecured debt - typically ranked equally with the deliverable obligation within synthetic CDOs.
Managed deals account for 22% of the CDOs on negative rating watch.
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