CDOs of ABSs "in deep trouble"

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

“Nearly all CDOs of ABSs originated in 2006 and 2007 are in deep trouble,” said Ratul Roy, head of structured credit strategy at Citi in New York. Continual tranche downgrades among mezzanine CDOs of ABSs, he added, were in turn putting more high-grade CDOs of ABSs at risk.

High-grade deals, by

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