Leaving to one side profound uncertainty about investors’ risk appetite for CDO product in the medium term, there is a strong possibility that the triple-A rating will become a rarity in structured credit.
First, Fitch raised the market’s ire by proposing to shift its methodology on synthetic corporate risk CDOs to a dramatically more conservative stance. The agency predicted, following the implementation of the new model, five-notch downgrades on average for deals rated under previous assumptions.
Access intelligence that drives action
To unlock this research, enter your email to log in or enquire about access
