Moody’s has responded to continuing price volatility by opting for negative ratings actions on several commercial paper programmes and special investment vehicles (Sivs) worth approximately $14 billion.
The rating agency is modelling the expected loss on these deals with reference to the price decline observed during the months of July and August. Tranches unable to sustain a price decline of two times that seen in this period will lose their triple-A ratings.
“If the portfolio market value of a
The week on Risk.net, July 7-13, 2018Receive this by email