McGraw-Hill, the parent company of S&P, received a so-called Wells Notice from the SEC last Thursday, which said that the commission could fine the company for alleged securities violations related to a 2007 collateralized debt obligation deal that S&P rated.

“S&P has been cooperating with the commission in this matter and intends to continue to do so,” McGraw-Hill said in the statement.

An S&P spokesman did not offer further comment.

The CDO deal in question, known as Delphinus CDO 2007-1, was arranged by Mizuho International and Delaware Investments acted as the collateral manager. In 2007, S&P had a AAA rating on the security, which was backed largely by subprime mortgages. The agency eventually lowered the rating on the CDO to junk by the end of 2008. If the SEC decides to act, the agency can slap S&P with a civil fine, force disgorgement of fees and or seek other appropriate equitable relief.

This is the latest action in a string of SEC investigations into mortgage bond deals that went bust during the financial crisis. Earlier this month, the Wall Street Journal reported that Citigroup (C) and Credit Suisse (CS) are in talks with the SEC to settle charges relating to its role in a $1 billion CDO it created in 2007. JP Morgan (JPM) paid $154 million earlier this year to settle civil charges related to a bad mortgage bond deal.

A Wells Notice is not a formal allegation or finding of wrongdoing, and a recipient can try to convince the SEC not to act. And a notice doesn’t mean that the SEC will actually do anything. The commission sent a notice to fellow credit rating agency Moody’s (MCO) last May, saying that Moody’s registration statement was “rendered false and misleading” due to violations of company policy. That case was dropped.

The SEC notice comes amid a shake-up at McGraw-Hill (MHP). The storied publisher plans to split into two publicly traded companies by the end of 2012. McGraw-Hill Markets will include S&P, the S&P index business, and J.D. Power and Associates. McGraw-Hill Education will include the education services business.

S&P, along with Moody’s, are reportedly under investigation by the Department of Justice for their role in the recent credit crisis.

And S&P has lately been in the news for its decision this August to lower the United States’ sovereign credit rating from AAA to AA+. S&P’s president Deven Sharma stepped down soon after and was replaced by Citibank’s chief operating officer Douglas Peterson.