Fitch places 73 CDO tranches with Delphi exposure on negative rating watch

According to the New York-based rating agency, it has rated 136 CDOs that reference Delphi – the Michigan-based auto parts manufacturer that filed for Chapter 11 bankruptcy protection on October 8. Fitch said these deals’ total notional exposure to Delphi is equivalent to €3.89 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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• Topics
• Fitch Ratings
• Structured products
• Credit derivatives