The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.

All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.

Ratings: Year of the downgrade

The record number of ratings downgrades in structured finance has fundamentally altered the market’s dynamic.

Shammi Malik, Henderson Global Investors

"There haven’t been many cases where downgrades haven’t been justified"
Shammi Malik, Henderson Global Investors

In 2007, the global structured finance market suffered more tumult than ever before. For the first time, structured finance issuance actually fell below the previous year’s level. Unsurprisingly, this decrease was driven by the US RMBS and CDO markets, which fell 45% and 17% respectively. For the ratings agencies, the number of downgrades on structured finance securities reached new highs. The 12-month downgrade rate (measured as the proportion of rated securities that are downgraded at any point over the past year) for securities rated by Moody’s in the global structured finance market was a record 7.4%, up from 1.2% the year before. That accounts for 8,725 ratings from 2,116 deals, with 98% of those downgrades coming from the home equity loans, RMBS and CDO markets. On a less holistic level, US structured finance CDOs, the source of much of the sub-prime grief, experienced a 12-month downgrade rate in excess of 20%, from just 3.2% last year. It is a similar story at the other rating agencies, with widespread downgrades on predominantly 2006 and 2007 vintage securities backed by sub-prime assets.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.


Unlimited access to and

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually


Unlimited access to and, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors


Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree