Report title: Projected Loss Analysis Criteria for Existing Structured Finance CDOs
from Fitch Research
11 page (7161 word) report published Aug 25, 2008

Price $275.00 available for immediate download
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About Fitch Research

...As a complement to its standard simulation-based approach to monitor SF CDOs, Fitch Ratings has developed a bottom-up approach to analyze underlying U.S. RMBS. The new approach utilizes U.S. RMBS loss estimates generated by Fitch s RMBS ratings group, stressing these loss estimates to understand the potential leveraged effect on SF CDO loss estimates. This asset-level projected loss analysis (PLA) a llows Fitch to more effectively identify and quantify expected losses in SF CDOs. Fitch s PLA builds off its U.S. RMBS analysis of recent distressed vintages, wherein an expected loss is calculated for each mortgage pool and estimates of the multiple of the expected loss that each U.S. RMBS bond ca n withstand are calculated. This process is documented in recent U.S. RMBS criteria reports. In the PLA analysis, these loss expectations and loss coverage multiples are aggregated by vintage and then averaged by original rating category to determine vi ntage- and rating-specific...

Report Type: Criteria Report
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