Interest Rate Risk

Rating Agency Developments

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On March 22, S&P released its methodology for Canadian credit card ABS.  S&P Release. 

On March 20, Fitch updated its criteria for stressing interest rate risk in structured finance transactions.  Fitch Report. 

On March 19, S&P  released its U.S. public finance long-term municipal pool methodology.  S&P Methodology.

On March 19, Fitch updated its rating guidelines for CP programs issued with external support.  Fitch Report.

On March 19, Moody’s released its finance company global rating methodology.  Moody’s Report. 

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Rating Agency Developments

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On March 23, S&P issued a request for comment on proposed changes to its covered bond criteria for assessing counterparty and supporting party risk. Comments must be submitted by May 4. S&P Release.

On March 21, Fitch updated its criteria for stressing interest rate risk in structured finance transactions. The criteria have been extended to transaction cash flows indexed to interest reference rates for Australian Dollars, New Zealand Dollars, Korean Won, Singapore Dollars, Taiwanese Dollars, Indian Rupee, and South African Rand. Fitch Release.

On March 18, Fitch updated its methodology for rating debt of Native American gaming issuers. Fitch Release.

On March 21 and 22, DBRS updated its methodologies in several areas, including: Canadian Residential Mortgage Servicer Evaluations, Canadian Mutual Fund Companies, Canadian Mortgage Insurance Companies, and Canadian Covered Bonds. DBRS Methodologies.

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Rating Agency Developments

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On February 12, Fitch discontinued its U.S. ABS Seller/Servicer Ratings product and withdrew all existing U.S. ABS Seller/Servicer Ratings and related criteria.  Fitch Release. 

On February 17, Fitch updated its criteria for stressing interest rate risk for all existing and new structured finance transactions, which are applicable to all structured finance asset classes and covered bonds’ ratings.  Fitch Release. 

On February 16, S&P announced that it plans to comply with the European Regulation on Credit Rating Agencies (in force from December 2009) and that by September 7, all ratings on structured finance transactions will include an additional “(SF)” symbol.  S&P Release.

On February 19, Fitch announced that it intends to add “sf” to all of its structured finance ratings.  Fitch Release.

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