CDOs previously highly rated could be marked down to the lower rungs of investment grade, or even to junk. Those rated in investment grades will almost certainly be marked down to junk, Fitch said.
Fitch said it might downgrade $36.8 billion worth of CDOs due to the “unprecedented downgrade of underlying collateral in a short time,” referring to the subprime loan crisis. Fitch is currently revising its CDO rating system.