On December 15, S&P released an advanced notice of proposed ratings criteria changes to CLO tranches. On December 16, S&P released an advanced notice of proposed ratings criteria changes to CMBS ratings. In each case, S&P noted that the number and severity of rating downgrades for the respective securities would likely increase in 2009 and that there would likely be an increase in recommended credit enhancement levels. S&P Ratings Criteria Update – CMBS. S&P Ratings Criteria Update – CLOs.

On December 16, Fitch Ratings predicted that loan modifications for loans underlying 2005 -2007 vintage RMBS will increase over the next twelve months from virtually none to 15% of all such loans.  Press Release.

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