Fitch first to report CDO exposure to WorldCom

Following the downgrade of WorldCom’s senior unsecured ratings from B to CC by Fitch - on June 26 - the agency said on June 28 that about 70 of the CDOs it has assigned ratings to have some exposure to WorldCom, with a total exposure of $570 million. The WorldCom exposure for each CDO ranges between less than $1 million and $70 million.

Fitch has placed one or more tranches of 15 CDOs on ratings watch with negative implications. The number of tranches per transaction varies, from five tranches of the Eurostar I CDO placed on ratings watch, to one tranche of Marylebone Road CBO I.

In addition, Fitch identified a further four CDOs which are already on ratings watch with negative implications with exposure to WorldCom.

The full list of the CDOs placed on negative rating outlook are: BAC Synthetic CLO 2000-1; Brooklands Euro Referenced Linked Notes 2001-1; Dresdner RCM Caywood Scholl CBO I; Epoch 2000-1; Epoch 2001-1; Eurostar I; Helix Capital BV Series 2002-12; Marylebone Road I; Marylebone Road II; Northwestern Investment Management Company I; North Street Referenced Linked Notes 2000-1; North Street Referenced Linked Notes 2000-2; PPM America High Yield I; Shyppco Finance; and Solar Investment Grade II.

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• Topics
• Fitch Ratings
• Structured products
• Environment-Renewables
• Credit derivatives
• Securitisation