Fitch unveils new structured product ratings

The agency proposes supplying additional ratings on three aspects of the products: loss given default or loss severity; collateral quality assessment; and rating outlooks.

Fitch said loss severity ratings would allow investors to assess the extent to which a loss would be realised in a tranched security, which current ratings do not predict. Collateral quality measures, which it describes specifically in the context of mortgage-backed securities, would permit them to distinguish between the worth of the structure and its credit enhancements, and the strength of the underlying assets on a five-level scale. And the rating volatility score would reflect the complexity of the structure, the breadth of its underlying market and the reliability of the agency's database - all of which affect the probability of a rapid change in credit rating.

In February this year, Fitch announced a proposed overhaul of its structured product ratings that saw some products take cuts of up to 10 notches; other agencies followed suit with revised scales and methodologies in an attempt to recover the reputation they lost during the onset of the credit crisis.

See also: Restoring ratings
A matter of trust
Surprise over "severe" Fitch CDO cuts

  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: