New York-based ratings agency Moody’s Investor Services announced on September 4 it might downgrade several constant proportion debt obligations (CPDOs) after discovering another error in its securities monitoring.
Moody’s has placed €854 million worth of European CPDOs under review following the discovery of a coding error in the model used to monitor the securities since late June. Moody’s says the error does not stem from a fault in rating rationale or methodology. The review is expected to be completed by September 15, and is likely to prompt a one- or two-notch downgrade for the CPDOs affected, which are rated between A3 and B1 at present.
Moody's said this latest error is unrelated to the mis-ratings scandal that engulfed the company in July, when it was revealed it had acted to avoid making the CPDO downgrades implied by a change in its analysis model in early 2007.
But three of the static deals facing downgrade have already been affected by the previous model error.
Moody’s head of structured finance, Noel Kirnon, left the firm in July following the announcement of disciplinary proceedings over mis-rating of European CPDOs.
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