ABS rating effect explored

Pic© Ralf Roletschek - Fahrradtechnik und Fotografie

Category: ABS CDO CLOs


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Rating changes can have a significant impact on an ABS bond's price and value. While investors are less reliant on ratings than they were before the financial crisis, rating agencies continue to play a significant role in bond pricing.

An analysis by TwentyFour Asset Management of the 10-year Portugal sovereign bond reveals that larger rating changes correlate to larger spread changes.

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