Moody’s adjusts analysis of sovereign risk
Moody’s Investors Service has published a report focused on two factors it says can impact the availability of information required to predict stress scenarios in any given country.
The factors are described as “the maximum achievable rating in a given country – the Local Current Country Risk Ceiling – and the applicable portfolio credit enhancement for this rating.”
In its report, Moody’s said that adjustments proposed – for determining loss distrubutions taking into account these two factors – took into account feedback from market participants, who responded to a call for comment by the rating agency.
Moody’s said it would update the market shortly on any rating action stemming from adjustments to its analysis.
Further details are available in Moody’s report – Structured finance transactions: Assessing the impact of sovereign risk – available from moodys.com.