S&P to ease CLO and CDO ratings methodology

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By Alexander Saeedy
15 Apr 2019

S&P Global Ratings has announced that it intends to recalibrate its CLO ratings tools to better account for years of performance data that show the firm’s models predicted more defaults than have occurred across CLO and CDO asset classes.

“We now have 10 years of additional data on corporate ratings performance since we introduced our current CLO rating framework in 2009,” S&P wrote in an FAQ published last week. “Backtesting shows that the portfolio default rate predicted by CDO Evaluator under a modest economic stress scenario exceeded ...

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