Rating Agency Developments

On January 28, S&P refined its methodology and assumptions for U.S. credit card ABS. The principal updates include: (i) comparing all credit card master trust portfolios with S&P’s Bankcard Credit Card Quality Index, (ii) establishing a ‘AAA’ peak charge-off rate of 33% for the benchmark pool, (iii) evaluating the credit risk of an actual pool relative to that of the benchmark pool as well as its peer group, and (iv) adjusting the actual pool’s specific ‘AAA’ stressed charge off rates to reflect a number of factors.  S&P Release.

On January 28, S&P revised its interest rate assumptions for U.S. RMBS with a first distribution date in January 2010.  S&P Release.

On January 26, S&P changed its analysis approach for state housing finance agency (HFA) mortgage insurance fundsS&P Release.  

On January 27, Moody’s revised its loss projections for U.S. Option ARM RMBS issued from 2005 through 2007.  Moody’s Release.   

On January 28, DBRS released its methodologies for rating U.S. auto lease and retail auto loan securitizations.  DBRS Retail Auto Loan MethodologyDBRS Auto Lease Methodology.  

On January 26, DBRS published its final rating methodology for U.S. ABS backed by rental car fleets.  DBRS ReleaseDBRS Methodology.

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