Poor collateral performance was responsible for most of the downgrades in European structured finance during the fourth quarter of 2009, according to Andrew South, a senior director at Standard & Poor’s Rating Services. South reports that of 1,574 rating actions in the quarter 18 were downgrades, with collateralized debt obligations accounting for 70% of the total. Collateral performance also caused the bulk of downgrades among European residential mortgage-backed securities and asset-backed securities. In addition, the quarter saw the firs downgrades in U.K. prime RMBS since the crisis began.
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