By Markowitz H.M.
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Additional resources for Foundations of Portfolio Theory
In fact, some funds require that a manager divest a security once its rating falls below investment grade. Issue Ratings and Notching Lenders and investors are concerned not only with the likelihood of a borrower defaulting (or the probability of default) but also with the amount to be recovered following a default (or loss given default). Therefore CRAs not only provide an opinion of a borrower’s creditworthiness but also give an indication of prospective recovery of particular debt issues. Incorporating loss indicators into credit ratings is referred to as notching.
A supermajority is typically 67% to 80% of lenders and is sometimes required for certain material changes such as changes in amortization (in-term repayments) and release of collateral. Used periodically in the mid-1990s, these provisions fell out of favor by the late 1990s. Covenants Loan agreements have a series of restrictions that dictate, to varying degrees, how borrowers can operate and carry themselves ﬁnancially. For instance, one covenant may require the borrower to maintain its existing ﬁscal-year end.
Therefore, it is argued that CRAs could be tempted to produce softer ratings to retain the business of larger clients. However, there are several factors that mitigate this potential conﬂict of interest. First, the CRAs note that damage to their reputation from poor rating opinions is far greater than the beneﬁt of large issuer fees. Second, the CRAs argue that the large number of issuers means that no single issuer can have material economic inﬂuence. Finally, the CRAs have detailed policies and procedures (discussed later in this chapter) to prevent such conf licts Understanding the Role of Credit Rating Agencies • 33 from arising.