WARF

yoyogi · February 28th, 2005, 6:10 am

does anyone have guideline regarding Moody's WARF?

mrbadguy · February 28th, 2005, 1:10 pm

Warf or weighted average rating factor is a measure of credit quality giving exponentially bigger weigths to companies with lower ratings. It’s a number corresponding to an average rating for f.income portfolios. Usually it’s used to assess credit quality of CDO underlying bond portfolios. Have a look to Moody's and Fitch websites.

skulig · February 5th, 2007, 2:24 pm

Any possibility you could be a little more exact, i.e. I've searched the sites and cannot find the definition. Any chance anyone that knows could put in a link with a table. For example, a WARF of 2250... what letter (approx) does that correspond to?

pcaspers · February 5th, 2007, 3:17 pm

think it is the quotient expected loss of a portfolio / expected loss of a corresponding pure AAA-portfolioso the EL of a portfolio with WARF 2250 is 2250times the EL of the same portfolio with all names replaced by AAA ones.

silmana5 · July 19th, 2007, 8:29 am

hi,moosdy's WARF is the rating factor for a portfolio that directly translates into a cummulative probability of default. a WARF of 2250 means that there is 22.5% probability of default for each of the independent, uncorrelated assets defaulting in 10 years.WARF is t he 10 year idealized cumulative defailt rate.you can refer to the following table for better understanding: (this is moodys WARF table)Aaa 1Aa1 10Aa2 20Aa3 40A1 70A2 120A3 180Baa1 260Baa2 360Baa3 610Ba1 940Ba2 1350Ba3 1766B1 2220B2 2720B3 3490Caa1 4770Caa2 6500Caa3 8070

matal · October 20th, 2007, 12:31 pm

Does anyone have a link to or name of a Moody's publication which explains WARF and gives the actual weighting factors? I have numbers that are different for the Caa cohort - specifically, I was given a WARF table by someone where the Caa has a weighting of 10000 and is not broken down into Caa1 through Caa3.Trying to get it from the horse's mouth so to speak... hence looking for a Moody's reference.

tbrann · October 31st, 2007, 9:18 pm

Just phone up the europe number on their website and ask for the structured finance / CDO group. Pretty much any analyst there should be able to email you a PDF.T