Fitch Ratings released rating notches for its existing CDO asset manager rating (CAM rating) scale. The move was viewed as the logical next step in offering more differentiation for managers, but Fitch also received requests from investors asking for more distinctions. It is currently in place and will be applied to any new ratings. Current CAM ratings will be updated when asset managers go through their annual review.
"For the broad CDO investor universe, I think ratings will continue to gain traction with investors as they look for a way to distinguish as they choose which investors to invest with,"Vincent Matsui, senior director, said. "Notches are a natural evolution of what Fitch is trying to do to provide that information to CDO investors."
Currently asset managers are assigned ratings of CAM1 to CAM5; CAM1 is the highest. Ratings will now include plus and minus designations for further differentiation. Fitch has also formalized CAM rating stress adjustments for CDO tranches rated B+ through CCC-. Matsui explained Fitch rates the manager and then uses that CAM rating to apply to the CDO tranches done by that manager.