Analyzing Structured Product Ratings

Evaluates rating agency methodology application with loss model inputs, correlation assumptions, and tranche-level credit assessment across ABS, MBS, CLO, and other securitized products.

When To Use

• Reviewing a new-issue presale report or rating letter to understand tranche-level credit support
• Comparing Moody's, S&P, Fitch, or DBRS/Kroll methodologies on the same transaction
• Assessing whether a rating action (upgrade, downgrade, watch placement) is consistent with stated methodology
• Evaluating sensitivity of ratings to changes in default, recovery, or correlation assumptions
• Preparing investment committee memos that incorporate third-party rating analysis
• Reviewing surveillance reports for deteriorating collateral performance vs. original rating assumptions

Inputs To Gather