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.
More on Regulation
Industry concerns over unintended consequences of tougher regulation
NDFs in 10 currencies to be authorised for clearing in Europe
SEC fines HFT firm $1m for using algorithms to sway Nasdaq closes
Operational losses to be borne solely by CCPs, says CPMI-Iosco
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.