S&P's recalibrated criteria result in downgrade watch for CDO tranches
Standard & Poor's said changes in its rating criteria for collateralized debt obligations, including the addition of qualitative and quantitative tests, will make its CDO ratings easier to compare with other sectors' ratings. However, the changes resulted in about $578 billion in CDO tranches being put on watch for downgrade. "We believe that adding quantitative and qualitative elements to our analysis -- entirely apart from the Monte Carlo default simulations we run -- will provide a more robust analysis than using only simulation models," said S&P Chief Credit Officer Thomas Gillis.
Wall Street Journal, The | 09/17
This story published in SIFMA SmartBrief on 09/18/2009
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