Fitch Releases Loss Severity Scale

February 23, 2009

Fitch Ratings released its criteria for its structured finance loss severity (LS) rating scale last week. The rating agency said that the new scale was established to complement the existing Long-Term Credit (LTC) ratings for these securities. 'It's important to point out that the long-term credit ratings speak to the probability that a bond will default,' said Glenn Costello, managing director and chief portfolio risk officer for U.S. structured finance at Fitch. 'But it doesn't address the risk of major losses on that particular bond, assuming it has defaulted.'

The full article is available to Asset Securitization Report's subscribers only

Already a print subscriber? As a print subscriber, you are entitled to online access. Please click here to activate your account.