Close to 20,000 individual asset-backed securities have been downgraded by the main ratings agencies this year as a result of the sub-prime mortgage crisis in the US, a turn of events that has "stunned" investors and provoked unprecedented levels of credit volatility this year, a new report said.

Deutsche Bank credit analysts in the US wrote in new research that bond investors have not only been stunned by some 19,795 separate downgrades this year compared with 2,539 for all of 2006, but also the degree to which the rating downgrades are impacting the highest-rated universe of securities.