From Expect[ed] Loss:
Update (02.23.09): Fitch Releases Loss Severity Scale
Update 2 (08.12.09): S&P announces it "may offer a new type of rating on U.S. home-loan bonds reflecting its expectations for how much might be recovered after the securities default." The “stressed recovery ratings” would apply to prime, Alt-A and subprime mortgage bonds with credit ratings of BB+ or below that had originally been granted AAA ratings.
1 comment:
this is good thanks. at best, loans now trading in 50s and 60s. can't keep such high recovery rate assumptions for them even if these are long term products.
Post a Comment