Moody’s Revises Structured Finance CDO Assumptions

Moody’s Investors Service has revised its expected loss assumptions used for surveillance of ratings of structured finance CDO transactions holding 2006 vintage subprime residential MBS, saying it expects continued performance deterioration among those securities. The changes have already been implemented. For purposes of monitoring its ratings of structured-finance CDOs with exposure to that vintage, Moody’s will rely on certain projections of the lifetime average cumulative losses for 2006’s quarterly vintages of RMBS.