Moody’s readies axe for mezz and junior, four notch cut ahead

23 Aug 2012

Moody’s could downgrade a swathe of junior and mezzanine tranches in European structured finance transactions by up to four notches under a new ratings approach that it is consulting on.

The changes are intended to account for the impact of a sharp fall in a sovereign’s credit quality.

The revised approach increases the potential impact of "low probability, severe events" across the capital structure of structured finance transactions, and not just on senior tranches.

Moody’s will do this by ...

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