Fitch Sees ABS CDO Super Seniors At Risk Of Default

Some super senior tranches among the $16 billion of AAA collateralized debt obligations placed on watch by Derivative Fitch are expected to default, according to analysts.

  • 30 Oct 2007

--Aaron Johnson

Some super senior tranches among the $16 billion of AAA collateralized debt obligations placed on watch by Derivative Fitch are expected to default, according to analysts. The tranches most at risk are from 2006 and 2007 vintage mezzanine CDOs of asset-backed securities, due to their exposure to ...

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3 Lloyds Bank 7,329 24 9.17
4 Citi 6,748 19 8.44
5 JP Morgan 5,220 8 6.53

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