Fitch Ratings has begun reviewing the ratings on its corporate collateralized debt obligation (CDO) rating portfolio, and says that it expects the review to have a widely variable impact on ratings.
The review follows the announcement of Fitch’s updated corporate CDO methodology. It maintains ratings on 483 corporate CDO transactions to which the new criteria will apply.
“The impact of the new rating criteria is expected to vary widely, depending on the reference portfolio and CDO structure. CDO structures with portfolio concentrations and negative asset rating migration will be most affected,” says John Olert, managing director and head of Global Structured Credit at Fitch.
In a new report, the rating agency highlights the risk drivers that are more clearly differentiated in the new criteria and demonstrates the effect in terms of rating affirmations and downgrades on the sample CDO ratings.
“The final ratings are determined by rating committee, which considers qualitative portfolio and structural analysis as well as quantitative model results,” says Phil McDuell, managing director and head of Structured Credit for EMEA and Asia Pacific. “The final rating actions may also be influenced by any interim action on the part of the manager to reduce portfolio risk.”
Fitch reviewing CDO ratings
- By: IE Staff
- May 21, 2008 May 21, 2008
- 11:10