Structured Finance

Rating Agency Developments

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On January 23, Fitch released its criteria for analyzing interest rate stresses in structured finance transactions and covered bonds.  Fitch Report.

On January 22, DBRS released its methodology for rating wind power projects.  DBRS Report.

On January 22, DBRS released its methodology for rating solar power projects.  DBRS Report.

On January 22, S&P released its methodology for rating Japanese CMBS.  S&P Report.

On January 22, Fitch released an exposure draft seeking comments for sovereign risk impact on rating structured finance and covered bonds.  Fitch Report.

On January 21, DBRS released its request for comment for rating supranational institutions.  DBRS Report.

On January 21, DBRS released its cash flow assumptions for rating CLOs and CDOs backed by corporate debt.  DBRS Report.

On January 21, DBRS released its methodology for rating CLOs and CDOs backed by large corporate debt.  DBRS Report.

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Rating Agency Developments

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On December 5, DBRS released its master European structured finance surveillance methodology.  DBRS Report.

On December 4, Fitch released its criteria for U.S. wireless tower transactions.  Fitch Report.

On December 4, Fitch updated its guidelines for rating prerefunded U.S. municipal bonds.  Fitch Report

On November 30, S&P released its methodology for assigning ratings to bonds in the U.S. based on escrowed collateral.  S&P Release.　

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Rating Agency Developments

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On August 30, Fitch issued a release on the potential wide-ranging implications for structured finance transactions by FATCA.  Fitch Release. 

On August 28, Moody’s released a report summarizing, by industry sector, the multiples of rent expense that are generally used in global standard adjustments to capitalize leases that companies account for as operating leases. Moody’s Report.

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Global ABS 2012 Conference

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Orrick is an exhibitor sponsor of Global ABS 2012 Conference, which will be hosted by Information Management Network (IMN) at Square Brussels Meeting Center in Brussels, Belgium on June 12-14. More than 3,500 structured finance professionals are expected to attend. The agenda will include, among others, topics such as global regulatory changes that impact securitization; restoring confidence in the ABS markets; and CMBS, RMBS, and real estate and market fundamentals. For more information, please click here.

Rating Agency Developments

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On May 17, Fitch issued a release setting forth its view that the final guidance regarding internal stress testing for large banks released by bank regulators is sound and sufficiently flexible to allow for firms to comply. Fitch Release.

On May 17, Fitch released a report detailing the statistical analysis underlying the revised basis spread stresses for FFELP ABS transactions included in its updated criteria for rating FFELP student loan ABS. Fitch Release.  Fitch Report.

On May 15, S&P released its short-term/long-term ratings linkage criteria for corporate and sovereign issuers. S&P Release.

On May 15, Moody’s released its approach to quantifying set-off risk for securitizations and covered bonds originated by U.K. deposit-taking institutions. Moody’s Report.

On May 14, Moody’s released its approach to rating structured finance CDOs. Moody’s Report.

On May 14, Fitch updated its criteria for U.S. auto lease ABS. Fitch Report.

On May 11, S&P issued its methodology for assessing when a guarantor’s failure to honor a payment obligation under a guarantee would be a default and how it would affect the guarantor’s issuer credit rating. S&P Release.

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Rating Agency Developments – Week of February 13, 2012

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On February 7, DBRS released its methodology for CLOs and CDOs of large corporate credit. DBRS Methodology.

On February 7, DBRS released its Canadian surveillance methodology for CDOs of large corporate credit. DBRS Methodology.

On February 7, DBRS released its cash flow assumptions for corporate credit securitizations. DBRS Methodology.

On February 6, DBRS released its swap criteria for European structured finance transactions. DBRS Methodology.

On February 6, DBRS released its operational risk assessments for European ABS and SME CLO servicers. DBRS Methodology.

On February 6, DBRS released its operational risk assessments for European RMBS servicers. DBRS Methodology.

On February 6, DBRS released its master European structured finance surveillance methodology. DBRS Methodology.

On February 6, DBRS released its legal criteria for European structured finance transactions. DBRS Methodology.

Rating Agency Developments – Week of January 9, 2012

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On December 28, S&P updated its methodology for analyzing corporate profitability when determining issuer credit ratings for global corporate issuers. S&P Release.

On December 27, S&P issued an advance notice of criteria change for its methodology for rating second-lien U.S. RMBS transactions. S&P Release.

On December 22, S&P released its outlook assumptions for the U.S. residential mortgage market. S&P Release.

On December 20, S&P updated its project finance construction and operations counterparty methodology. S&P Release.

On December 19, DBRS released its methodology for rating global structured finance CDO restructurings. DBRS Release.

On December 19, DBRS released its unified interest rate model for global structured finance CDO restructurings. DBRS Release.

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Rating Agency Developments

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On October 6, Fitch updated is structured finance CDO rating criteria. Fitch Release.

On October 4, Fitch outlined its structured finance rating process. Fitch Release.

On September 30, Fitch updated its guidelines on managing criteria and models. Fitch Release.

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SEC Re-Proposes Shelf Eligibility Conditions for Asset-Backed Securities and Solicits Additional Comment on Proposed Asset-Level Information Requirements

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In April 2010, the Securities and Exchange Commission (“SEC”) proposed “Regulation AB II,” a series of new and amended rules that, if adopted, would substantially revise the offering process, disclosure and reporting requirements for publicly-issued asset-backed securities (“ABS”) and impose new disclosure standards for privately-issued structured finance products.

At an open meeting on July 26, 2011, the SEC re-proposed certain of its Regulation AB II rule proposals in light of the provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act and comments received on its original rule proposals. Specifically, the SEC re-proposed rules relating to the eligibility criteria for shelf registrations of ABS and related filing deadlines for transaction agreements, and solicited additional comment on its proposal to require asset-level information about pool assets. The deadline for comments on the re-proposed rules is October 4, 2011.

Please click here to access our complete update, which includes a brief overview of relevant portions of the original proposals, as well as an overview of the re-proposed rules and request for additional comment.

Rating Agency Developments

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On August 12, Fitch updated its core corporate criteria reports. Fitch Release.

On August 11, Fitch updated its criteria for rating insurance-linked securities. Fitch Release.

On August 11, Fitch updated its criteria for rating SPV currency swap obligations in structured finance transactions. Fitch Release.

On August 11, Fitch updated its criteria for rating repackaged senior structured finance notes. Fitch Release.

On August 10, Fitch updated its assumptions used in assessing the credit risk of residential mortgage loan pools in various regions. Fitch Portuguese Release. Fitch Italian Release. Fitch German Release. Fitch European Release.

On August 10, Fitch updated its corporate and project finance CDO rating criteria. Fitch Release.

On August 10, Fitch published its Asia-Pacific (APAC) RMBS criteria and updated its Australian RMBS rating criteria as an addendum to this report. The APAC RMBS framework will replace the Australian Residential Mortgage Default Criteria (dated April 2008) and the Criteria for Rating Japanese RMBS (dated November 2001). Fitch Release (APAC RMBS). Fitch Release (Australian RMBS).

On August 10, Fitch published its global criteria for lenders’ mortgage insurance in RMBS transactions. Fitch Release.

On August 10, Fitch published its APAC consumer ABS rating criteria. Fitch Release.

On August 10, Fitch updated its U.S. water and sewer revenue bond rating criteria. Fitch Release.

On August 9, Fitch updated its structured finance rating caps criteria. Fitch Release.

On August 5, Fitch updated its rating criteria for toll roads, bridges, and tunnels. Fitch Release.

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