Fitch last week completed what might be the first CDO default study based entirely on actual CDO collateral data, as opposed to using the high-yield market as a proxy for high-yield CDO default and recovery statistics.

Notably, Fitch believes that its data dispels the J-Curve methodology - the belief that by holding a defaulted asset, as it approaches workout, the recovery value will increase. Fitch maintains the opposite is often true.

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