CMBS

Rating Agency Updates

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On November 18, Fitch noted that restrictions in dialogue between U.S. CMBS special servicers and rating agencies caused by SEC Rule 17g-5 may have the unintended consequence of producing unnecessary rating volatility. Fitch Release.

On November 16, S&P clarified its methodology and assumptions for assessing borrower-level SPEs in U.S. CMBS pools. S&P Release.

On November 17, Fitch updated its criteria for surveillance of U.S. fixed-rate CMBS transactions. Fitch Release.

On November 15, Fitch updated its criteria report outlining its methodology to analyze the credit quality of derivative product companies. Fitch Release. Fitch Report.

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Rating Agency Developments

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On June 29, Fitch announced that it will begin reviewing ratings on U.S. FFELP student loan ABS based on its updated surveillance criteria which incorporates a more refined approach to basis risk. Release.

On July 2, Fitch released a report detailing its rating criteria for asset managers on a national scale.  Fitch’s National Asset Manager Rating scale provides investors with a relative measure of an asset management organization’s vulnerability to operational and investment management failures relative to other managers in the same country. Release. 

On June 25 and 30, Moody’s released comprehensive reports outlining its current approach to rating CMBS and RMBS transactions in Japan. CMBS Release. RMBS Release. 

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Rating Agency Developments

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On June 25, S&P announced the categories of debt instruments whose ratings will carry a structured finance identifier as required under the new European regulation on credit rating agencies. The symbol will be applied to all relevant structured finance ratings globally by early September. S&P Release.

On June 24, S&P revised its methodology for deriving recovery rates for U.S. CMBS held in re-REMICs or CDO transactions. S&P Release.

On June 24, Fitch released a report on ratings comparability which discusses Fitch’s goal of comparability of default risk across asset classes for like-rated securities. Fitch Release.

On June 21, S&P published updated assumptions for loan losses that banks in Spain will experience under their credit stress testing methodology. S&P Release.

On June 21, S&P published its revised methodology and assumptions for global railcar and container lease securitizations. S&P Release.

On June 22, DBRS published its methodology for rating Canadian equipment finance securitizations. DBRS Release.

Note: Free registration is required for S&P and Fitch releases and reports.

TALF Updates

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On November 30, the New York Fed issued revised TALF documents and FAQs. The revised documents consist of: (i) the Form of Certification as to TALF Eligibility for CMBS and (ii) the Master Loan and Security Agreement. The New York Fed also announced that all borrowers have consented to an extension by one day of the period of time in which monthly principal and interest on underlying collateral is to be distributed. MLSA. MLSA (showing changes). FAQs. FAQ (showing changes). CMBS Certification. CMBS Certification (showing changes). New York Fed Release.