methodology

Rating Agency Developments

 

On October 17, 2016, DBRS issued a report entitled: CMBS North American SurveillanceReport.

On October 14, 2016, Moody’s issued a report entitled: Moody’s Approach to Rating Securities Backed by Pools of Both FFELP and Private Student Loans. Report.

On October 14, 2016, DBRS issued a report entitled: Global Methodology for Rating Finance CompaniesReport.

Delegated Regulation on RTS Specifying Criteria for Setting MREL under BRRD published in OJ

 

On September 3, 2016, the Commission Delegated Regulation ((EU) 2016/1450) supplementing the Bank Recovery and Resolution Directive (2014/59/EU) (BRRD) with regulatory technical standards (RTS) highlighting the criteria relating to the methodology for setting the minimum requirement for own funds and eligible liabilities (MREL) has been published in the Official Journal of the EU (OJ).

Article 45(6) of the BRRD specifies certain criteria that a resolution authority must consider when determining the level of MREL for a BRRD institution. Article 45(2) of the BRRD gave the European Commission the power to adopt a Delegated Regulation containing RTS further specifying the Article 45(6) assessment criteria.

The RTS contain provisions relating to the interpretation of the six assessment criteria set out in Article 45(6). They also permit resolution authorities to provide a transitional period for reaching the final MREL for firms or entities to which resolution tools have been applied.

The Delegated Regulation was adopted by the Commission on May 23, 2016. It shall enter into force 20 days after its publication in the OJ (i.e. September 23, 2016).

Rating Agency Developments

 

On August 16, Moody’s supplemented its approach to rating residential mortgage-backed securities (RMBS) in China. Report.

On August 16, Fitch updated its country ceilings cross-sector criteria report. Report.

On August 16, Fitch updated its criteria for rating sukuk. Report.

On August 15, Moody’s updated its rating methodology for U.S. charter schools. Report.

On August 12, Fitch published its U.S. residential mortgage-backed securities (RMBS) non-performing loans rating criteria. Report.

On August 12, Fitch updated its solid waste revenue bond rating criteria. Report.

On August 11, Fitch updated its criteria for rating currency swap obligations of an SPV in structured finance transactions and covered bonds. Report.

On August 11, Fitch updated its criteria for rating tolled roads, bridges and tunnels. Report.

On August 11, Moody’s updated its approach to rating securities backed by FFELP student loans. Report.

Rating Agency Developments

 

On August 10, 2016, KBRA published its rating methodology for global closed-end fund securities issuances. Report.

On August 10, 2016, KBRA published its rating methodology for global investment funds. Report.

On August 10, 2016, KBRA published its rating methodology for enhanced equipment trust certificates and secured aircraft debt. Report.

On August 10, 2016, KBRA published its rating methodology for global passenger airlines. Report.

On August 9, 2016, Fitch updated its rating criteria for sports facilities, leagues and franchises. Report.

On August 8, 2016, S&P published its methodology for rating corporate cash flow and synthetic collateralized debt obligations (CDOs). Report.

On August 8, 2016, S&P published its methodology for rating above the sovereign in structured finance transactions. Report.

On August 4, 2016, Fitch published its rating criteria for SHFA mortgage insurance or guarantee funded programs. Report.

On August 4, 2016, Fitch updated its rating criteria for commercial mortgage-backed securities and loans in EMEA. Report.

Rating Agency Developments

On August 2, 2016, Moody’s issued a report entitled: Moody’s Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans.  Report.

On August 1, 2016, S&P issued a report entitled: General: Global Methodology for Rating Retranchings of ABS, CMBS, and RMBS.  Report.

On July 29, 2016, DBRS issued a report entitled: Global Methodology for Rating Banks and Banking Organisations.  Report.

On July 28, 2016, Fitch issued a report entitled: Fitch Updates Global Rating Criteria for CLOs and Corporate CDOs.  Report.

On July 28, 2016, Fitch issued a report entitled: Fitch: No Rating Changes from Update to Global LMI Criteria in RMBS.  Report.

EBA Final Draft RTS on Assessment Methodology for Internal Ratings-Based Approach

The European Banking Authority (EBA) has published final draft regulatory technical standards (RTS) on the specification of the assessment methodology for competent authorities regarding compliance of an institution with the requirements to use the internal ratings-based (IRB) approach in accordance with Articles 144(2), 173(3) and 180(3)(b) of the Capital Requirements Regulation (Regulation 575/2013) (CRR).

The final draft RTS provide a mapping of the minimum IRB requirements as laid down in Chapter 3, Title II, Part Three of the CRR, into fourteen chapters. Each chapter starts with a brief description of the assessment criteria to be used by competent authorities relating to verification requests and of the methods to be used by competent authorities in this context.  Under the IRB approach, institutions determine their own funds requirements for credit risk, taking into account their own estimates of risk parameters.  Competent authorities may, under the CRR, permit institutions to use the IRB approach, provided that the relevant conditions set out in the CRR are met.

The draft RTS are available here and will now be submitted to the European Commission for endorsement.

Rating Agency Developments

On July 19, 2016, DBRS published its criteria for rating CLOs backed by loans to European SMEs (small and medium-sized enterprises).  Report.

On July 18, 2016, Fitch published its criteria for assigning new and existing ratings to sovereign issuersReport.

On July 18, 2016, Fitch published an addendum that supplements its counterparty criteria for structured finance and covered bondsReport.

On July 14, 2016, DBRS published an update to its criteria for evaluating servicers in North American CMBS transactions.  Report.

On July 14, 2016, DBRS published its criteria for rating European covered bondsReport.

On July 14, 2016, DBRS published its master European structured finance surveillance methodology.  Report.

Rating Agency Developments

On June 21, 2016, Fitch issued a report titled: Rating Non-Financial Corporates Above the Country Ceiling. Press release.

On June 20, 2016, Fitch issued a report titled: Canadian RMBS Loan Loss Model Criteria. Press release.

On June 17, 2016, Fitch issued a report titled: U.S. RMBS Surveillance and Re-REMIC Criteria. Press release.

On June 16, 2016, Fitch issued a report titled: Criteria for Rating U.S. Timeshare Loan ABS. Press release.

On June 16, 2016, Fitch issued a report titled: Criteria for Rating Caps and Limitations in Global Structured Finance Transactions. Press release.

Rating Agency Developments

On June 8, 2016, Fitch issued a report entitled: Fitch Updates Distressed Debt Exchange Rating Criteria.  Press release.

On June 7, 2016, Moody’s issued a report entitled: Global Property and Casualty Insurers.  Report.

On June 6, 2016, Kroll issued a report entitled: Methodology for Rating Interest-Only Certificates in CMBS Transactions.  Report.

On June 6, 2016, Fitch issued a report entitled: Fitch Publishes Rating Criteria for SHFA MBS Pass-Through Bonds.  Press release.

On June 6, 2016, Fitch issued a report entitled: Fitch Publishes The Annual Manual: U.S. Leveraged Finance Primer.  Press release.

On June 2, 2016, S&P issued a report entitled: ABS: North America Railcar Lease-Backed ABS Methodology And Assumptions.  Report.