CDOs of ABSs reach events of default

Mark Pengelly
01 Mar 2008

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Ninety-eight collateralised debt obligations of asset-backed securities (CDOs of ABSs) rated by Standard and Poor's (S&P) have reached so-called events of default (EODs).

The agency reported 98 deals issued between 2006 and 2007 had reached an EOD by February 13. The figure includes cashflow, hybrid, mezzanine and high-grade CDOs of ABSs, as well as CDO-squared transactions.

"Nearly all CDOs of ABSs originated in 2006 and 2007 are in deep trouble," says Ratul Roy, head of structured credit

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