European Structured Finance Rating Transitions:

Size: px
Start display at page:

Download "European Structured Finance Rating Transitions:"

Transcription

1 Special Comment February 2007 Contact Phone New York Jian Hu Hadas Alexander Julia Tung Richard Cantor London David Rosa Frankfurt Detlef Scholz Paris Paul Mazataud European Structured Finance Rating Transitions: Summary Opinion Moody's fifth annual European 1 structured finance rating transitions study reviews the 2006 and historical rating transition experiences both on an aggregate basis and across asset classes. The average credit quality of European structured finance securities continued to improve in 2006 relative to 2005, as the number of upgrades (totaled 163) greatly exceeded the number of downgrades (totaled 68). Both the frequencies of downgrades and upgrades declined across all broad structured finance sectors (see Figure 1). In addition, no tranches were downgraded into below in In the ABS and RMBS sectors, ratings were especially stable as 97% of the ratings remained unchanged in In the CMBS sector, upgrades exceeded downgrades by almost four to one, resulting in a positive 11.6% rating drift, significantly higher than all other major structured finance sectors. As in 2005, downgrades continued to be concentrated in the CDO sector, accounting for almost 90% of all downgrades in the region in Static synthetic arbitrage transactions accounted for 82% of all CDO downgrades and 72% of all downgrades in European structured finance in Upgrade activity was also significant for CDOs, making up 43% of all upgrades for European structured finance. Figure 1 - European Structured Finance 12-Month Rating Transition Rates in 2006, 2005, and Average over by Sector Downgrade Rate Upgrade Rate European Structured Finance 1.6% 2.0% 4.1% 3.7% 7.3% 3.9% ABS 0.1% 0.7% 1.5% 2.0% 2.8% 2.3% CDOs 3.4% 3.8% 9.3% 4.0% 8.3% 4.4% CMBS 2.1% 3.0% 3.3% 8.0% 12.3% 5.3% RMBS 0.0% 0.3% 0.3% 3.3% 7.9% 4.3% European Corporate 7.7% 7.1% 11.7% 10.5% 14.1% 9.3% Global Structured Finance 1.9% 2.0% 3.9% 5.8% 6.0% 4.1% Global Corporate 8.9% 8.3% 13.6% 13.0% 13.9% 9.7% 1. This study includes deals issued in the Middle East and Africa. Please see the appendix for data sample criteria and a glossary of terms.

2 Table of Contents Page An Overview of Rating Distributions and Rating Transitions... 3 Sector Specific Analysis ABS CDOs CMBS RMBS Rating Transitions in Other Sectors Repacks Structured Covered Bonds Appendix 1: Description of Data Sample and Glossary Appendix 2: Methodology Appendix 3: Rating Transitions Data...27 Transition Matrices by Cohort Rating Transition Matrices by Original Rating Related Research Moody s Special Comment

3 An Overview of Rating Distributions and Rating Transitions The European structured finance sector continued to grow strongly in 2006 (Figure 2). The number of ratings rose to 5,727 at the end of 2006 from 4,631 at the beginning of the year, an increase of 24%, which was about the same level of growth experienced in The substantial increase in the number of ratings was seen across all sectors with the RMBS sector experiencing the highest growth rate of about 30% in Figure 2 - Number of Ratings Outstanding at the Beginning of Each Year CDOs RMBS CMBS ABS Of the 4,631 ratings outstanding at the beginning of 2006, more than 90% were investment-grade (Baa3 or higher) and 30% were rated Aaa (Figure 3). CDOs continued to be the leading structured finance sector by number of ratings, accounting for more than 40% of all ratings in Europe. RMBS made up about one third of all ratings outstanding and continued to be the second largest sector. Figure 3 - Distribution of Outstanding Ratings on 1/1/2006 Outstanding Total (4631) Outstanding Total (4631) Baa 19% Ba 6% B 1% <=Caa 1% Aaa 30% RMBS 33% ABS 18% A 22% Aa 21% CMBS 8% CDOs 41% 2. Multiple tranches carrying the same rating within the same deal are treated as a single rating observation. Repackaged deals and structured covered bonds are not included and analyzed in the last section. Moody s Special Comment 3

4 Only 231 securities experienced rating transitions in 2006, about 30% fewer than the total of 333 rating transitions in 2005, making 2006 the most stable year in European structured finance since Among securities that experienced rating changes in 2006, there were more upgrades than downgrades (Figure 4), and the upgrade-to-downgrade ratio was 2.4:1. While this represents a decline from the historical high ratio of 3.7:1 in 2005, it was still markedly higher than the historical average ratio of about 1:1. Figure 4 - Distribution of Downgrades and Upgrades in 2006 by Sector Upgrades (163) Downgrades (68) RMBS 30% ABS 10% CMBS 10% RMBS 0% ABS 1% CMBS 17% CDOs 43% CDOs 89% The CDO sector was again the most active sector in rating transitions, accounting for 43% of all upgrades and almost 90% of all downgrades. The number of upgrades in RMBS continued to be significant due in almost all cases to the build-up in credit enhancement in these transactions. In addition, there were no downgrades in RMBS and only one in ABS. The CMBS sector saw seven securities downgraded, which was about 10% of all downgrades in the region in Figure 5 further disaggregates the ratings outstanding at the beginning of 2006 and their subsequent rating transitions by asset class and country of collateral origin. In the next section, we will discuss sector specific rating transitions in more detail. 3. In counting downgrades and upgrades, we only consider ratings at the beginning and the end of each year. Multiple tranches carrying the same rating within the same deal are treated as one. Aaa-wrapped tranches are excluded as well. 4 Moody s Special Comment

5 Figure 5 - Number of Downgrades, Upgrades, and Withdrawals in 2006 by Asset Class and Country of Collateral Origin By Asset Class Ratings Outstanding on 1/1/2006 Upgrades Downgrades Withdrawals European ABS Autos Cards Consumer Loans Small Business Loans Whole Business Other ABS European CDOs 1, Synthetic Arbitrage Managed Synthetic Arbitrage Static Balance Sheet Cash Flow Balance Sheet Synthetic HY CBOs HY CLOs Resecuritization Other CDOs European CMBS European RMBS 1, Other European Structured Finance Repacks Structured Covered Bonds Others By Collateral Origin (excl. CDOs and other structured finance) Ratings Outstanding on 1/1/2006 Upgrades Downgrades Withdrawals United Kingdom Spain Netherlands Italy Germany Portugal France Others European Structured Finance (excl. CDOs and other structured finance) 2, Moody s Special Comment 5

6 Figure 6 shows that upgrades in 2006 were concentrated in the 2002 and 2003 vintages - securities issued in 2002 and while downgrades mostly affected the 2003 vintage, which accounted for 45% of all downgrades. Across sectors, most CDO upgrades involved transactions from the 2002 vintage, and to a lesser extent, in the 2001 and 2003 vintages. Most CMBS upgrades occurred in the 2002 vintage, whereas most RMBS upgrades were in the 2003 and 2004 vintages. Meanwhile, almost all CDO downgrade actions were taken on securities issued in Figure 6 - Distribution of Downgrades and Upgrades in 2006 by Vintage Upgrades (163) Downgrades (68) % % % % % 16% 9% % % % % As a result of both the increased number of ratings outstanding and decreased number of downgrades and upgrades, both the 12-month downgrade and upgrade rates declined. The downgrade rate went down slightly to 1.6% in 2006 from 2.0% in 2005, and the upgrade rate dropped to 3.7% from 7.3%, which was the highest annual upgrade rate in Europe since 1998 (Figure 7). Additionally, the downgrade-to-upgrade ratio was 1:2.4 in 2006, compared to 1:3.7 in 2005 (Figure 8), whereas the rating stability rate rose to roughly 95% in 2006 from 91% in Figure 7a also depicts a significant trend of rising withdrawal rates over time, which reached above 11% in 2006, the highest rate since Rating withdrawals (abbreviated as WR in this report) were almost always the result of securities being paid down in full, therefore the withdrawal rate is an important component of credit analysis for structured finance securities even though WR is not a rating category per se Securities whose rating was withdrawn during the year are not included in the calculation of rating transition rates. In calculating rating transition rates, however, we remove half of the ratings withdrawn from the total population at the beginning of the cohort to account for the potential impact on rating transitions from these withdrawn securities. Other methods of adjusting for withdrawals include removing all withdrawals from the total outstanding or using the rating before withdrawal as the end of period rating. 6 Moody s Special Comment

7 Figure 7 - European Structured Finance 12-Month Rating Transition Trends 5 Figure 7a Upgrade Rates, Downgrade Rates, and Withdrawal Rates Figure 7b Magnitude of Upgrades and Downgrades Upgrade Rate Downgrade Rate Withdrawal Rate 16% 14% 12% 10% 8% 6% 4% 2% 0% Upgrades Downgrades Figure 7c Rating Volatility and Rating Drift Figure 7d Fallen Angel Rates and Aaa Downgrade Rates Rating Volatility Rating Drift Fallen Angels Rate Aaa Downgrade Rate 60% 5.0% 40% 4.0% 20% 3.0% 0% -20% -40% 2.0% 1.0% 0.0% Note: The horizontal axis represents the year of each 12-month cohort ending date. Both the magnitude of downgrades and upgrades were around two notches in 2006, with the magnitude of downgrades slightly lower than that of upgrades. Both magnitudes were about the same as those in In addition, the rating drift - the difference between the upgrade rate and the downgrade rate weighted by the magnitude of rating transitions - was a positive 5% in 2006 and has remained in the positive territory since the beginning of 2004 (Figure 7c). Figure 8 - Summary of European Structured Finance 12-Month Rating Transitions Downgrade Rate 1.55% 1.99% 4.06% 4.13% Upgrade Rate 3.73% 7.34% 3.93% 3.86% Downgrade/Upgrade Ratio Downgrade Rate (notch weighted) 2.99% 3.75% 10.91% 10.83% Upgrade Rate (notch weighted) 8.00% 15.20% 8.15% 7.97% Downgrade/Upgrade Ratio (notch weighted) Rating Drift (notch weighted) 5.01% 11.45% -2.76% -2.86% Rating Volatility (notch weighted) 10.99% 18.96% 19.06% 18.81% Stability Rate 94.72% 90.68% 92.01% 92.01% Withdrawal Rate 11.06% 8.19% 7.82% 7.74% Notches per Downgrade per Year Notches per Upgrade per Year Note: See Appendix 1 for a glossary of terms and Appendix 3 for rating transition matrices. 5. Twelve-month rating cohorts are formed at the beginning of each month. Only the rating at the beginning and the end of each 12-month cohort are considered in calculating these rating transition statistics. The horizontal axis represents the cohort ending date. Moody s Special Comment 7

8 Figure 7d provides the downgrade rate of Aaa-rated securities and the rate of investment-grade securities falling into speculative-grade ("fallen angels") over a 12-month window. These two rates can be particularly useful for investors who are permitted to invest in securities above a certain rating threshold such as Aaa only or investment-grade only. As can be seen from Figure 7d, there was an up-tick in the Aaa downgrade rate in 2006, rising a bit above 1% in September 2006 before falling to 0.7% in December. The fallen angel rate was 0.15% in the latest 12-month cohort ending December 2006 and has remained very low since the beginning of It is important to note that the rating transition statistics presented in Figures 7 and 8 include all structured finance sectors, in particular, CDOs. Ratings in the non-cdo structured finance sectors such as ABS, CMBS and RMBS in Europe have historically been less volatile than those in CDOs. Figure 9 demonstrates the impact of CDOs on the fallen-angel rate and Aaa downgrade rate. Figure 9 - Comparisons of 12-Month Fallen-Angel Rates and Aaa Downgrade Rates in the European Structured Finance Sector including and excluding CDOs Figure 9a Fallen Angel Rates Figure 9b Aaa Downgrade Rates CDOs excluded All including CDOs CDOs excluded All including CDOs 5.0% 5.0% 4.0% 4.0% 3.0% 3.0% 2.0% 2.0% 1.0% 1.0% 0.0% 0.0% Note: The horizontal axis represents the year of each 12-month cohort ending date. With CDOs included, the highest 12-month fallen-angel rate in European structured finance was 3.7%, which was observed in the cohort ending November By contrast, once CDOs are excluded, the fallen-angel rate never exceeded 1%. Similarly, with CDOs included, the 12-month Aaa downgrade rate reached 5% in the cohort ending May 2003, but without CDOs, the rate has stayed under 1% consistently over the entire period, and has been close to zero since mid Moody s Special Comment

9 Figure 10 summarizes the 2006 rating transition experiences of European structured finance securities in a transition matrix. Additional rating transition matrices appear in Appendix 3. Figure 10 - European Structured Finance Rating Transition Matrix for the 12-Month Cohort Ending December 2006 Cohort End Rating Cohort Beginning Rating Aaa Aa A Baa Ba B Aaa 89.14% 0.50% 0.00% 0.14% 0.00% 0.00% 0.00% 10.21% Aa 2.06% 85.14% 0.62% 0.21% 0.00% 0.00% 0.00% 11.97% A 0.29% 2.71% 86.54% 1.26% 0.00% 0.00% 0.00% 9.20% Baa 0.23% 0.58% 2.67% 84.70% 0.70% 0.00% 0.00% 11.12% Ba 0.00% 0.00% 1.03% 3.44% 84.19% 0.00% 0.00% 11.34% B 0.00% 0.00% 0.00% 0.00% 6.06% 60.61% 0.00% 33.33% below 0.00% 0.00% 0.00% 0.00% 0.00% 3.92% 58.82% 37.25% Figure 11 compares lifetime cumulative rating transition rates by original rating and by vintage using all securities issued as of the end of Figure 11 - Lifetime Cumulative Rating Transitions for European Structured Finance Securities Issued Before Figure 11a By Original Rating Figure 11b By Vintage Downgraded Downgraded 800 Upgraded 600 Upgraded Unchanged 200 Unchanged 0 Aaa Aa A Baa Ba B Original Rating below Vintage The downgrade rate of Aaa securities was much lower, at about 5%, than those of non-aaa rated securities, which were largely similar at about 12% within each rating category (Figure 11a). Also, there appears to be little correlation between original rating and lifetime rating transition rates. To date, securities issued in 2000 and 2001 were the least stable vintages, as 17% of the securities issued in 2000 and 23% of the securities issued in 2001 were downgraded. By comparison, more than 95% of the securities issued during were either upgraded or experienced no rating change. Securities issued in 2002 and 2003 performed well with a 10% and 6% cumulative downgrade rate, respectively. 28 securities issued in 2004 were downgraded, resulting in a 3% lifetime downgrade rate for this vintage. It is still too early to draw any conclusions about the credit performance of this vintage, however, as those securities have not seasoned for more than two years. 6. Lifetime rating transitions are based on the original rating and the latest rating of securities. If the rating on the security was withdrawn before the end of our study period, the rating before withdrawal is used in the calculation. Moody s Special Comment 9

10 Sector Specific Analysis ABS Out of a total universe of 844 European ABS ratings outstanding at the beginning of 2006, one was lowered and 16 ratings involving 15 transactions were raised during the course of the year, resulting in an upgrade-to-downgrade ratio of 16:1. By comparison, five ratings were lowered and 20 were raised in The only ABS downgrade in Europe was taken on an Italian healthcare-receivable-backed security as a result of the downgrade of the Region of Abruzzo's issuer and its senior unsecured debt rating. The security's rating was ultimately backed by unsecured, direct obligations of the Region of Abruzzo. 7 Eight of the 16 ABS upgrades were related to the upgrade of a third party and the rest were the result of better-than-expected collateral performance. Key rating transition trends for the European ABS sector include: The downgrade rate further declined from 0.7% in 2005 to 0.1% in 2006 and reached a 6-year low (Figure 12). The upgrade rate decreased to 2.0% from 2.8% in In addition, there was an increase in the withdrawal rate in 2006, reaching 14.6% in the latest cohort ending December 2006, about four percentage points higher than the historical average of 10.5% per year. The magnitude of rating downgrades was one notch in 2006, lower than the magnitude of 2.2 notches in The magnitude of upgrades also declined to 1.4 notches from 2.9 notches. Both the downgrade rate and upgrade rate for European ABS, when weighted by their respective magnitudes, declined. The rating drift was still positive at 2.7%, although it was lower than the rating drift of 6.4% in Also, as a result of low rating activity in the sector, rating volatility declined to 2.9% from 9.5% in 2005, while the rating stability rate rose to 97.8% in 2006 from 96.5% in 2005 (Figure 13). There were no Aaa downgrades in 2006 and, in fact, European ABS has never seen an Aaa downgrade within a twelve-month period since The fallen-angel rate - share of securities downgraded from investment-grade to below-investment-grade - was zero in both 2005 and 2006, down from 0.5% in the cohort ending December 2004, and about 1.0% in the cohort ending December The downgrade of the region was the result of the application of the joint default analysis (JDA) methodology for regional and local governments (RLGs) in Europe. 10 Moody s Special Comment

11 Figure 12 - European ABS 12-Month Rating Transition Trends Figure 12a Upgrade Rates, Downgrade Rates, and Withdrawal Rates Figure 12b Magnitude of Upgrades and Downgrades 16% 14% Upgrade Rate Downgrade Rate Withdrawal Rate 5.0 Upgrades Downgrades 12% % 8% 3.0 6% 2.0 4% 2% 1.0 0% 0.0 Figure 12c Rating Volatility and Rating Drift Figure 12d Fallen Angel Rates and Aaa Downgrade Rates Rating Volatility Rating Drift Fallen Angels Rate Aaa Downgrade Rate 15% 2.0% 10% 1.5% 5% 1.0% 0% -5% -10% 0.5% 0.0% Note: The horizontal axis represents the year of each 12-month cohort ending date. Figure 13 - Summary of European ABS 12-Month Rating Transitions Downgrade Rate 0.13% 0.70% 1.51% 2.03% Upgrade Rate 2.04% 2.79% 2.28% 2.21% Downgrade/Upgrade Ratio Downgrade Rate (notch weighted) 0.13% 1.54% 3.26% 3.70% Upgrade Rate (notch weighted) 2.81% 7.96% 4.82% 4.69% Downgrade/Upgrade Ratio (notch weighted) Rating Drift (notch weighted) 2.68% 6.42% 1.56% 0.99% Rating Volatility (notch weighted) 2.94% 9.49% 8.08% 8.39% Stability Rate 97.83% 96.51% 96.21% 95.76% Withdrawal Rate 14.57% 12.43% 10.46% 10.28% Notches per Downgrade per Year Notches per Upgrade per Year Note: See Appendix 1 for a glossary of terms and Appendix 3 for rating transition matrices. Moody s Special Comment 11

12 By original rating, nine out of 338 Aaa securities were downgraded, resulting in a lifetime downgrade rate of 2.6% in the Aaa category (Figure 14a). Lifetime upgrade rates were generally higher in the higher rating categories such as Aa and single-a than in the lower rating categories such as Baa and Ba. By vintage, 14 securities issued in 2000 were downgraded, representing 13% of all securities in this vintage, the highest of all vintages. Securities issued in 1999 recorded the highest upgrade rate. In addition, there was just one downgrade in the 2003 vintage and two downgrades in the 2004 vintage, but eight and six upgrades in the 2003 and 2004 vintages, respectively, making these two vintages the best performing ones since Figure 14 - Lifetime Cumulative Rating Transitions for European ABS Securities Issued before 2005 Figure 14a By Original Rating Figure 14b By Vintage Downgraded 150 Downgraded Aaa Aa A Baa Ba B Original Rating below 120 Upgraded Unchanged Vintage Upgraded Unchanged CDOS Out of a total universe of 1,907 European CDO ratings outstanding at the beginning of 2006, 60 ratings involving 52 transactions were lowered and 71 ratings involving 42 transactions were raised during the year, resulting in an upgrade-to-downgrade ratio of approximately 1.2:1, a 50% decrease from the 2.2:1 ratio exhibited in Static (not actively managed) synthetic arbitrage deals dominated the 2006 downgrade activity in European CDOs. Out of a total of 492 such CDO securities outstanding at the beginning of 2006, 49 were downgraded, compared to 30 downgrades in 2005 in this CDO deal type. The heightened downgrade activity of synthetic arbitrage deals was mainly the result of the increases in the corporate downgrade rate, which went from 8.1% in 2004, to 8.3% in 2005, and 8.9% in As a result, the 12-month downgrade rate of synthetic arbitrage CDOs rose to 6.8% in 2006 from 4.6% in the previous year. More than half of the synthetic-arbitrage CDOs downgraded in 2006 were issued in Eight resecuritization CDOs were also downgraded, roughly 1.4% of its 568 ratings outstanding at the beginning of This marked a significant decline from the 24 downgrades in In addition, two tranches of a single CLO deal were downgraded as a result of several amendments to the transaction. Most upgrades also involved static synthetic arbitrage deals, making up 66% of all CDO upgrades in , or 70%, of the 47 upgraded synthetic arbitrage CDO tranches were issued in 2002, and 10 were issued Upgrades were the result of deal seasoning in combination with strong collateral performance. In addition, the 15 upgraded balance-sheet CDO securities were evenly split across four different vintages from 2000 to Key rating transition trends for the European CDO sector include: The downgrade rate fell slightly to 3.4% in 2006 from 3.8% in the prior year, while the upgrade rate dropped to 4.0% from 8.3% (Figure 15a). The magnitude of rating downgrades averaged 1.8 notches in 2006, the same as that in 2005, while the magnitude of upgrades increased to 2.6 notches from 2.1 notches in 2005 (Figure 15b). The downgrade rate, when weighted by the magnitude of downgrades, declined to 6.2% from 6.9%, and the weighted upgrade rate fell to 10.2% from 17.5%. As a result, the rating drift of European CDOs was lower than that in 2005, but was still positive at 4.0% (Figure 15c). 8. Please see Moody's Special Comment, "Structured Finance Rating Transitions: ," January 2006, for a comparison of rating transitions in the global corporate and structured finance sectors. 12 Moody s Special Comment

13 There was a significant number of rating withdrawals in 2006, most of which were from 2001 and 2003 vintages. As a result, the 12-month rating withdrawal rate was 13.4% in 2006 from 8.7% in the prior year and was the highest level over the last five years. There was an up-tick in the fallen-angel rate among European CDOs, increasing from 0.2% in the prior year to 0.3% in The 12-month downgrade rate of Aaa securities, however, increased from its trough of 0.3% in the cohort ending May 2005, to 1.6% in the latest cohort ending December 2006 (see Appendix 3 for detailed rating transition matrices). Figure 15 - European CDO 12-Month Rating Transition Trends Figure 15a Upgrade Rates, Downgrade Rates, and Withdrawal Rates Figure 15b Magnitude of Upgrades and Downgrades Upgrade Rate Downgrade Rate Withdrawal Rate Upgrades Downgrades 35% % % 20% 15% % 2.0 5% 1.0 0% 0.0 Figure 15c Rating Volatility and Rating Drift Figure 15d Fallen Angel Rates and Aaa Downgrade Rates Rating Volatility Rating Drift Fallen Angels Rate Aaa Downgrade Rate 140% 20.0% 100% 16.0% 60% 20% 12.0% -20% -60% 8.0% 4.0% -100% -140% 0.0% Note: The horizontal axis represents the year of each 12-month cohort ending date. Figure 16 - Summary of European CDO 12-Month Rating Transitions Downgrade Rate 3.37% 3.77% 9.32% 9.24% Upgrade Rate 3.99% 8.29% 4.36% 4.32% Downgrade/Upgrade Ratio Downgrade Rate (notch weighted) 6.18% 6.88% 26.28% 26.05% Upgrade Rate (notch weighted) 10.17% 17.53% 9.69% 9.60% Downgrade/Upgrade Ratio (notch weighted) Rating Drift (notch weighted) 3.99% 10.65% % % Rating Volatility (notch weighted) 16.35% 24.40% 35.97% 35.66% Stability Rate 92.64% 87.93% 86.32% 86.44% Withdrawal Rate 13.37% 8.70% 8.40% 8.36% Notches per Downgrade per Year Notches per Upgrade per Year Note: See Appendix 1 for a glossary of terms and Appendix 3 for rating transition matrices. Moody s Special Comment 13

14 By original rating, 83 securities in the Baa category were downgraded to date, resulting in a lifetime downgrade rate of 29%, the highest across all rating categories. 97 Aa-rated securities were downgraded, representing 20% of 497 such securities. The lowest lifetime downgrade rate was seen in the Aaa category, at about 10% (Figure 17a). In addition, 58 Aa-rated securities were upgraded, representing a 12% upgrade rate that is the highest among investmentgrade rating categories. By vintage, 124 securities issued in 2001 were downgraded, resulting in a 47% lifetime downgrade rate, the highest across all vintages in the CDO sector. This is followed by the 2000 vintage, which experienced a lifetime downgrade rate of 37%, as compared to 19%, 22%, and 17% in the 1998, 1999, and 2002 vintages, respectively. Among securities issued in 2003 and 2004, downgrades exceeded upgrades by a ratio of 1.7:1 and 4.3:1, respectively. Figure 17 - Lifetime Cumulative Rating Transitions for European CDO Securities Issued before 2005 Figure 17a By Original Rating Figure 17b By Vintage Aaa Aa A Baa Ba B Original Rating below Downgraded Upgraded Unchanged Vintage Downgraded Upgraded Unchanged CMBS Out of a total universe of 369 European CMBS ratings outstanding at the beginning of 2006, seven ratings involving three transaction were lowered and 27 ratings involving eight transactions were raised during the course of the year, resulting in an upgrade-to-downgrade ratio of 4:1, similar to the upgrade-to-downgrade ratio in Five of the seven securities downgraded in 2006 had experienced downgrades in previous years. Four of the seven rating downgrades were from a single CMBS transaction, HOTELoc. The downgrades were triggered by the increasing uncertainty that full note repayment would be received by the note-holders by May 2007, the legal final maturity date. 9 Two tranches of another transaction, Craegmoor Funding (No.2) Limited, were also downgraded due to the continued underperformance of the underlying loan. The seventh downgrade was prompted by a combination of factors including adverse prepayments, a reduction in pool diversity, and the downgrade of a third party. All upgrades were due to the build-up in credit enhancement in combination with strong collateral performance. 16 of the 27 raised ratings were issued in 2002, nine were issued in 2003 and 2004, and two were issued in Key rating transition trends for the European CMBS sector include: The downgrade rate decreased to 2.1% in 2006 from 3.0% in the prior year, and the upgrade rate also declined to 8.0% from 12.3% (Figure 18). As a result, the rating stability rate increased to 89.9% from 84.8%. The magnitude of rating downgrades rose significantly to 2.9 notches from 1.4 notches, driven primarily by the downgrade magnitude of HOTELoc tranches. Meanwhile, the magnitude of upgrades increased to 2.2 notches in 2006 from 1.5 notches in Both rating drift and rating volatility continued to remain substantially above zero and above their respective historical averages, as a result of significant upgrade activity (Figure 19). The fallen-angel rate was zero during most of the period since 1998 and up a bit to 0.3% in the latest 12- month cohort ending December The Aaa downgrade also ticked up from zero due to the downgrade of a single HOTELoc tranche. 9. In May 2005, the loan matured and the borrower failed to make the required payment. 14 Moody s Special Comment

15 Figure 18 - European CMBS 12-Month Rating Transition Trends Figure 18a Upgrade Rates, Downgrade Rates, and Withdrawal Rates 35% 30% 25% 20% 15% 10% 5% Upgrade Rate Downgrade Rate Withdrawal Rate 0% Figure 18b Magnitude of Upgrades and Downgrades Upgrades Downgrades Figure 18c Rating Volatility and Rating Drift Rating Volatility Rating Drift 30% 25% 20% 15% 10% 5% 0% -5% -10% Figure 18d Fallen Angel Rates and Aaa Downgrade Rates 10.0% 8.0% 6.0% 4.0% 2.0% Fallen Angels Rate Aaa Downgrade Rate 0.0% Note: The horizontal axis represents the year of each 12-month cohort ending date. Figure 19 - Summary of European CMBS 12-Month Rating Transitions Downgrade Rate 2.08% 2.96% 3.27% 3.21% Upgrade Rate 8.02% 12.26% 5.27% 5.17% Downgrade/Upgrade Ratio Downgrade Rate (notch weighted) 5.94% 4.23% 5.15% 5.06% Upgrade Rate (notch weighted) 17.53% 18.60% 8.15% 8.00% Downgrade/Upgrade Ratio (notch weighted) Rating Drift (notch weighted) 11.59% 14.38% 2.99% 2.94% Rating Volatility (notch weighted) 23.48% 22.83% 13.30% 13.06% Stability Rate 89.90% 84.78% 91.46% 91.62% Withdrawal Rate 17.62% 10.04% 11.86% 11.68% Notches per Downgrade per Year Notches per Upgrade per Year Note: See Appendix 1 for a glossary of terms and Appendix 3 for rating transition matrices. By original rating, five or less securities in each rating category were downgraded. In the Aa, single-a, and Baa categories, there were many more upgrades than downgrades. As a result, the lifetime upgrade rate overwhelmed the lifetime downgrade rate for all rating categories except Aaa (which cannot be upgraded) and single-b. Moody s Special Comment 15

16 By vintage, 27 securities issued in 2002 were upgraded, resulting in the highest lifetime upgrade rate across all vintages at 42%. Eleven securities issued in 2003 and nine securities issued in 2004 were upgraded, resulting in impressive upgrade rates of 19% and 14%, respectively. The 2002 vintage, which had the highest lifetime upgrade rate across all vintages, also experienced the highest lifetime downgrade rate, as seven ratings, or about 14% of all ratings in the vintage, were downgraded. Figure 20 - Lifetime Cumulative Rating Transitions for European CMBS Securities Issued before 2005 Figure 20a By Original Rating Figure 20b By Vintage Downgraded Downgraded Upgraded Upgraded Unchanged Unchanged 0 Aaa Aa A Baa Ba B Original Rating below Vintage RMBS Out of a total universe of 1,511 European RMBS ratings outstanding at the beginning of 2006, none were lowered and 49 ratings involving 18 deals were raised during the year as a result of a build-up in credit enhancement and strong collateral performance. Of the 49 upgraded securities, 16 were issued in 2003, 15 were issued in 2004, and the rest were issued during By collateral origin, 33 of the upgraded securities were backed by the collateral originated from the United Kingdom, 10 were from the Netherlands, five from Germany, and one from South Africa. Key rating transition trends for the European RMBS sector include: The downgrade rate dropped to zero in 2006 from 0.3% in 2005, while the upgrade rate also decreased to 3.3% to 7.9% (Figure 21). The magnitude of upgrades averaged 1.8 notches in 2006, slightly lower than the 2.0 notch magnitude in the prior year. Both the rating drift and rating volatility were positive at 6.0% in 2006, which were markedly lower than those in Correspondingly, the rating stability rate rose to 96.7% from 91.8%. There were no Aaa downgrades in 2006, and in fact, no Aaa-rated European RMBS security has ever been downgraded since The fallen-angel rate in the European RMBS sector was also zero in 2006, and on average the sector has had the lowest fallen-angel rate among all four major sectors. 16 Moody s Special Comment

17 Figure 21 - European RMBS 12-Month Rating Transition Trends Figure 21a Upgrade Rates, Downgrade Rates, and Withdrawal Rates Figure 21b Magnitude of Upgrades and Downgrades 10% Upgrade Rate Downgrade Rate Withdrawal Rate 5.0 Upgrades Downgrades 8% 4.0 6% 3.0 4% 2.0 2% 1.0 0% 0.0 Figure 21c Rating Volatility and Rating Drift Figure 21d Fallen Angel Rates and Aaa Downgrade Rates Rating Volatility Rating Drift Fallen Angels Rate Aaa Downgrade Rate 18% 1.0% 14% 0.8% 10% 0.6% 6% 0.4% 2% -2% 0.2% 0.0% Note: The horizontal axis represents the year of each 12-month cohort ending date. Figure 22 - Summary of European RMBS 12-Month Rating Transitions Downgrade Rate 0.00% 0.26% 0.28% 0.43% Upgrade Rate 3.32% 7.93% 4.28% 4.22% Downgrade/Upgrade Ratio Downgrade Rate (notch weighted) 0.00% 0.97% 0.76% 1.05% Upgrade Rate (notch weighted) 5.96% 16.04% 8.75% 8.54% Downgrade/Upgrade Ratio (notch weighted) 0.00% Rating Drift (notch weighted) 5.96% 15.07% 7.99% 7.49% Rating Volatility (notch weighted) 5.96% 17.00% 9.50% 9.59% Stability Rate 96.68% 91.81% 95.44% 95.35% Withdrawal Rate 4.57% 4.31% 4.46% 4.43% Notches per Downgrade per Year NA Notches per Upgrade per Year Note: See Appendix 1 for a glossary of terms and Appendix 3 for rating transition matrices. By original rating, a total of six Aaa-rated securities were downgraded (prior to 1998) and five of them were due to the downgrade of the same third party credit enhancer. The number of downgrades in other rating categories was also very small (less than four). At the same time, there was remarkable upgrade activity across all rating categories, most evidently, in the single-a and Baa categories. The lifetime upgrade rate was 20%, 26%, 23%, and 23% in the Aa, single-a, Baa, and Ba categories, respectively. Moody s Special Comment 17

18 By vintage, more than one third of the securities issued in 1999 and 2000 experienced upgrades. As a matter of fact, more than 24% of all securities issued prior to 2003 were upgraded. The lifetime upgrade rate was 6% for both the 2003 and 2004 vintages. Figure 23 - Lifetime Cumulative Rating Transitions for European RMBS Securities Issued before 2005 Figure 23a By Original Rating Figure 23b By Vintage Downgraded Downgraded Aaa Aa A Baa Ba B Original Rating below Upgraded Unchanged Vintage Upgraded Unchanged 18 Moody s Special Comment

19 Rating Transitions in Other Sectors The structured finance category we have analyzed so far consists of four broad sectors: ABS, CDOs, CMBS, and RMBS; however, there also exist other types of structured finance transactions that employ SPVs and similar structures. We refer to these transactions as "other structured finance" and have excluded them from the overall structured finance category. Most of the other structured finance ratings in Europe are repacks and structured covered bonds. 10 In this section, we study their rating transition experiences separately. REPACKS A total of 929 ratings from 912 repackaged deals have been issued in Europe since At the beginning of 2006, 564 ratings from 549 transactions were still outstanding. Figure 24 plots the distribution of ratings by rating category and vintage, and reveals that almost two thirds of the repackage ratings were in the Aa category, and about 96% were in the investment grade rating categories. By vintage, securities issues in 2005 and 2004 accounted for 61% of the ratings outstanding, securities issued in 2003 and 2002 made up 23%, and the remaining 16% were from various pre-2002 vintages. Figure 24 - Distribution of Outstanding Repack Ratings on 1/1/2006 By Rating Category (Total 564) By Vintage (Total 564) Baa 6% A 14% Ba 2% B 1% Caa 1% Aaa 11% % Pre1996 2% % % % % % % % Aa 65% % Out of a total universe of 564 outstanding ratings, 17 were upgraded and none was downgraded in 2006, compared to 10 upgrades and three downgrades in As a result, the 12-month upgrade rate increased to 3.2% from 2.5% while the downgrade rate declined to 0% for the first time in five years, from 0.8% in the prior year. Figure 25 depicts the detailed rating transition trends of repackaged securities from 1998 to 2006 and the lifetime cumulative rating transitions by original rating and vintage. 10. There were also a small number (totaled 46) of long-term ratings from structured investment vehicles (SIV). 19, or about 59%, of these SIV long-term ratings were in the Baa category. Only one rating, originally rated Ba2 (a rating on a capital note), was downgraded and 12 were upgraded. Moody s Special Comment 19

20 Figure 25 - European Repack Rating Transition Trends Figure 25a - 12-Month Upgrade Rates, Downgrade Rates, and Withdrawal Rates Figure 25b - Magnitude of Upgrades and Downgrades over a 12-Month Period Upgrade Rate Downgrade Rate Withdrawal Rate Upgrades Downgrades 50% % 30% % % 0% 0.0 Figure 25c - Lifetime Rating Transitions by Original Rating for Securities Issued before 2006 Figure 25d - Lifetime Rating Transitions by Vintage for Securities Issued before Downgraded 200 Downgraded Upgraded 100 Upgraded Aaa Aa A Baa Ba B Caa Original Rating Unchanged Vintage Unchanged Note: The horizontal axis of Figures 26a and 26b represents the year of each 12-month cohort ending date. STRUCTURED COVERED BONDS A total of 251 ratings from 238 structured covered bond programs have been issued since Figure 26 demonstrates the credit performance of structured covered bond ratings. It shows that to date, this deal type has experienced no downgrades and nine upgrades, resulting in a 3.3% lifetime upgrade rate and a 96.7% rating stability rate. An overwhelming majority of structured covered bonds were rated Aaa, totaling 225 or about 90% of all ratings in this sector. 23 were rated Aa with eight already having been upgraded. Upgrades mostly affected securities issued during , although there was an upgrade on a security that was just issued in 2006 due to the revision of the foreign currency ceiling of foreign currency denominated bonds for Hungary. In addition, the magnitude of upgrades averaged between one and a half notches, generally lower than that in the overall structured finance sector. 20 Moody s Special Comment

21 Figure 26 - European Structured Covered Bonds Rating Transition Trends Figure 26a - 12-Month Upgrade Rates, Downgrade Rates, and Withdrawal Rates Figure 26b - Magnitude of Upgrades and Downgrades over a 12-Month Period Upgrade Rate Downgrade Rate Withdrawal Rate Upgrades Downgrades 80% % 60% 50% % 30% 20% % 0% 0.0 Figure 26c - Lifetime Rating Transitions by Original Rating for Securities Issued before 2006 Figure 26d - Lifetime Rating Transitions by Vintage for Securities Issued before Upgraded 40 Upgraded 100 Unchanged Unchanged Aaa Aa A Baa Ba B Caa Original Rating Vintage Note: The horizontal axis of Figures 26a and 26b represents the year of each 12-month cohort ending date. Moody s Special Comment 21

22 Appendix 1: Description of Data Sample and Glossary DESCRIPTION OF DATA SAMPLE The data sample for the study covers all structured finance rating observations in the Europe, Middle East, and Africa (EMEA) region between 1988 and 2006 and uses the following set of criteria: Only securities carrying Moody's long-term bond ratings are included, whereas short-term ratings, foreign national ratings, provisional ratings, and rating estimates are excluded. Tranches wrapped by financial guarantors, government agencies, or government sponsored enterprises (GSEs) are excluded. Interest-only (IO) tranches and residual tranches are excluded. Other structured finance securities such as those from repackaged deals and structured covered bonds are excluded from the overall structured finance statistics, and analyzed separately in the report. Tranches carrying the same rating from the same deal are collapsed into a single rating observation. The corporate data set used to compare corporate rating transitions to structured finance rating transitions includes international corporate and sovereign issuers, but excludes US municipal ratings. The structured finance data set used in this study is available through Moody's Structured Finance Default Risk Service (DRS) database and the corporate data set is available through Moody's Corporate Default Risk Service (DRS) database. GLOSSARY Broad Ratings and Refined Ratings Broad ratings refer to the following Moody's long-term bond rating categories: Aaa, Aa, A, Baa, Ba, B, and below. Refined ratings or ratings with numeric modifiers refer to Aaa, Aa1, Aa2, Aa3, A1, A2, A3, Baa1, Baa2, Baa3, Ba1, Ba2, Ba3, B1, B2, B3, Caa1, Caa2, Caa3, Ca, and C. The broad rating category below includes the following refined ratings: Caa1, Caa2, Caa3, Ca, and C. Investment-Grade and Below Investment-Grade (or Speculative-Grade) Ratings Investment-grade ratings refer to Aaa, Aa1, Aa2, Aa3, A1, A2, A3, Baa1, Baa2, and Baa3. Below investment-grade or speculative-grade ratings refer to Ba1, Ba2, Ba3, B1, B2, B3, Caa1, Caa2, Caa3, Ca, and C. Downgrade (Upgrade) Rate A security is considered to have been downgraded (upgraded) if its rating at the end of a pre-specified time period is lower (higher) than at the beginning of the time period on the basis of ratings with numeric modifiers (also known as refined ratings or modified ratings). The downgrade rate is the number of securities downgraded (or upgraded) divided by the total number of outstanding securities at the beginning of the time period, after excluding half of the ratings withdrawn during that time period. Note that in measuring downgrade rates and upgrade rates, only ratings at the beginning and the end of the time period are considered. Average Number of Total Notches Downgraded (Upgraded) per Year The number of total notches downgraded (upgraded) per year for a downgraded (upgraded) security is the difference in the rating of that security at the beginning and end of a 12-month period based on refined ratings. This term is also referred to as the magnitude, size, or severity of the rating change. The average number of total notches downgraded (upgraded) per year averages this quantity for all downgraded (upgraded) securities over the 12-month period. A security can experience multiple rating actions during a 12-month period, and therefore, this measure is different from the average number of notches changed per rating action. For example, if a security is downgraded from Baa1 to Baa2 and then Baa2 to Baa3 over 12 months, then the average number of notches changed per rating action would be one, but the average number of total notches changed per year would be two. 22 Moody s Special Comment

23 Weighted Downgrade (Upgrade) Rate The weighted downgrade (upgrade) rate is computed as the number of securities downgraded (upgraded), weighted by the number of total notches changed per downgrade (upgrade) per year, divided by the total number of outstanding securities at the beginning of the 12-month period, after excluding half of the ratings withdrawn during that period. For example, a security downgraded from Baa1 to B1 over 12 months is counted as three downgrades in the calculation of a weighted downgrade rate, but counted as only one downgrade in the calculation of the unweighted downgrade rate. Lifetime Cumulative Downgrades and Upgrades A security is considered to have experienced a cumulative or lifetime downgrade (upgrade), if its rating before withdrawal or rating at the end of the study period is lower (higher) than its original rating. The lifetime cumulative downgrade (upgrade) rate for a particular group of securities is computed as the number of securities to experience a cumulative downgrade (upgrade) divided by the total number of securities in the group. Rating Stability Rate The rating stability rate is a measure of the proportion of ratings that were unchanged over a pre-specified time period. It is calculated as one minus the sum of the downgrade rate and upgrade rate. Withdrawal Rate The withdrawal rate is computed as the total number of ratings withdrawn by the end of a pre-specified time period divided by the total number of ratings outstanding at the beginning of that time period. Rating Drift The rating drift is defined as the weighted upgrade rate minus the weighted downgrade rate. Rating Volatility The rating volatility is defined as the weighted upgrade rate plus the weighted downgrade rate. ABS ABS stand for asset-backed securities. This structured finance sector includes securities backed by home equity loans (HEL) and both traditional asset types such as auto loans, credit card receivables, student loans, and manufactured housing loans, and non-traditional asset types such as mutual fund fees, tax liens, tobacco settlement payments, and intellectual property. Whole business securitizations (WBS) are included in this sector. Non-mortgage ABS Non-mortgage ABS are asset-backed securities excluding both HEL and securities backed by manufactured housing (MH) loans. HEL The home equity loan or HEL sector include securities back by subprime (B&C) mortgage loans, home improvement loans, high loan-to-value (high LTV) loans, home equity lines of credit (HELOCs), and closed-end second-lien loans, as well as net interest margin (NIM) securitizations. It does not include securities backed by Alt-A mortgages, which are included in the RMBS sector. HEL is part of the ABS sector. Moody s Special Comment 23

24 CDOs CDOs stand for collateralized debt obligations. Derivative securities such as structured notes and repackaged securities are not considered to be part of this sector. Commercial real estate (CRE) CDOs, where 70% or more of the collateral is composed of CRE loans, are classified as CMBS. If the collateral backing the transaction contains less than 70% CRE loans, then the deal is classified as a CDO. CMBS CMBS stand for commercial mortgage-backed securities. Commercial real estate (CRE) CDOs, where 70% or more of its collateral is composed of CRE loans, are classified as CMBS. If the collateral backing the transaction contains less than 70% CRE loans, then the deal is classified as a CDO. RMBS RMBS stand for residential mortgage-backed securities. The large majority of these securities are backed by first-lien prime mortgages, but some are backed by Alt-A mortgages. In some older vintage RMBS transactions, subprime mortgages may also be included in the collateral. HEL is not considered to be part of this sector. Other Structured Finance The other structured finance category contains repackaged securities, structured notes, credit derivatives, as well as structured covered bonds, catastrophe-linked notes, and structured investment vehicles. This sector was denoted as "Others" in Moody's first transition study in 2003, and then named "Derivatives" from 2004 to Global structured finance Global structured finance captures global structured securities in four major sectors: ABS, CDO, CMBS, and RMBS. Repacks, structured notes, credit derivatives, structured covered bonds, and long-term ratings from structured investment vehicles (SIV) are excluded from this term. U.S. Structured Finance Securities U.S. structured finance securities are denominated in U.S. dollars and issued in the U.S. market or denominated in Canadian dollars and issued in Canada. In cases where the source of the underlying collateral and the denomination of the securities crossed multiple countries/regions, deals are classified by the location at which they are monitored. EMEA (or European) Structured Finance Securities EMEA is an abbreviation for Europe, the Middle East, and Africa. EMEA structured finance securities are denominated in a currency from or issued out of a country in the EMEA region. In cases where the source of the underlying collateral and the denomination of the securities crossed multiple countries/regions, deals are classified by the location at which they are monitored. Asia-Pacific Structured Finance Securities Asia-Pacific structured finance securities are denominated in the currency of a country in the Asia-Pacific region or issued in an Asia-Pacific country (including Japan and Australia). In cases where the source of the underlying collateral and the denomination of the securities crossed multiple countries/regions, deals are classified by the location at which they are monitored. Latin American Structured Finance Securities Latin American structured finance securities are denominated in a Latin American currency or issued in Latin America. In cases where the source of the underlying collateral and the denomination of the securities crossed multiple countries/regions, deals are classified by the location at which they are monitored. 24 Moody s Special Comment

Credit Policy. Asia-Pacific (ex-japan) Structured Finance Rating Transitions: Special Comment. Moody s. Key Findings.

Credit Policy. Asia-Pacific (ex-japan) Structured Finance Rating Transitions: Special Comment. Moody s. Key Findings. www.moodys.com Special Comment Moody s Credit Policy March 2008 Table of Contents: Key Findings 1 An Overview of Rating Distributions and Transitions 3 Analysis of Rating Transition Trends 6 Sector Specific

More information

Structured Finance Rating Transitions:

Structured Finance Rating Transitions: Special Comment January 2007 Contact Phone New York Julia Tung 1.212.553.1653 Jian Hu Richard Cantor Nicolas Weill Gus Harris Tad Philipp London David Rosa 44.20.7772.5454 Frankfurt Detlef Scholz 49.69.70730.700

More information

Credit Policy. Structured Finance Rating Transitions: Special Comment. Moody s. Key Findings. March Table of Contents:

Credit Policy. Structured Finance Rating Transitions: Special Comment. Moody s. Key Findings. March Table of Contents: www.moodys.com Special Comment Moody s Credit Policy March 2009 Table of Contents: Key Findings 1 An Overview of Rating Transitions in 2008 3 Sector Specific Analysis of Rating Transitions 14 Regional

More information

Credit Policy. Default & Loss Rates of Structured Finance Securities: Special Comment. Moody s Global. Summary Opinion.

Credit Policy. Default & Loss Rates of Structured Finance Securities: Special Comment. Moody s Global. Summary Opinion. www.moodys.com Special Comment Moody s Global Credit Policy July 2008 Table of Contents: Summary Opinion 1 Issuance and Distribution of Global Structured Finance Ratings 2 2007 Material Impairments 3 Sector

More information

Default & Loss Rates of Structured Finance Securities:

Default & Loss Rates of Structured Finance Securities: SEPTEMBER 24, 2010 GLOBAL CREDIT POLICY SPECIAL COMMENT Default & Loss Rates of Structured Finance Securities: 1993-2009 Table of Contents: SUMMARY 1 THE DISTRIBUTION OF GLOBAL STRUCTURED FINANCE RATINGS

More information

Internet Appendix to Credit Ratings across Asset Classes: A Long-Term Perspective 1

Internet Appendix to Credit Ratings across Asset Classes: A Long-Term Perspective 1 Internet Appendix to Credit Ratings across Asset Classes: A Long-Term Perspective 1 August 3, 215 This Internet Appendix contains a detailed computational explanation of transition metrics and additional

More information

Selected exposures based on recommendations of the Financial Stability Board. 04 May 2011

Selected exposures based on recommendations of the Financial Stability Board. 04 May 2011 Selected exposures based on recommendations of the Financial Stability Board 04 May 2011 1 Disclaimer The exposures based on the recommendation of the Financial Stability Board as at 31March 2011 are not

More information

Safe Harbor Statement

Safe Harbor Statement Third Quarter 2009 Safe Harbor Statement All statements made during today s investor presentation and in these webcast slides that address events, developments or results that we expect or anticipate may

More information

Security Capital Assurance Ltd Structured Finance Investor Call. August 3, 2007

Security Capital Assurance Ltd Structured Finance Investor Call. August 3, 2007 Security Capital Assurance Ltd Structured Finance Investor Call August 3, 2007 Important Notice This presentation provides certain information regarding Security Capital Assurance Ltd (SCA). By accepting

More information

2008 U.S. CDO Outlook and 2007 Review: Issuance Down in 2007 Triggered by Subprime Mortgages Meltdown; Lower Overall Issuance Expected in 2008

2008 U.S. CDO Outlook and 2007 Review: Issuance Down in 2007 Triggered by Subprime Mortgages Meltdown; Lower Overall Issuance Expected in 2008 STRUCTURED FINANCE Special Report 28 U.S. CDO Outlook and 27 Review: Issuance Down in 27 Triggered by Subprime Mortgages Meltdown; Lower Overall Issuance Expected in 28 AUTHOR: Jian Hu Senior Vice President

More information

Selected Exposures based on recommendations of the Financial Stability Board

Selected Exposures based on recommendations of the Financial Stability Board Selected Exposures based on recommendations of the Financial Stability Board As at 31 December 2009 1 Disclaimer Figures included in this presentation are unaudited. This presentation includes forward-looking

More information

Selected Exposures based on recommendations of the Financial Stability Board

Selected Exposures based on recommendations of the Financial Stability Board Selected Exposures based on recommendations of the Financial Stability Board As at 30 June 2010 1 Disclaimer Figures included in this presentation are unaudited. On 19 April 2010, BNP Paribas issued a

More information

Internet Appendix to Credit Ratings and the Cost of Municipal Financing 1

Internet Appendix to Credit Ratings and the Cost of Municipal Financing 1 Internet Appendix to Credit Ratings and the Cost of Municipal Financing 1 April 30, 2017 This Internet Appendix contains analyses omitted from the body of the paper to conserve space. Table A.1 displays

More information

BANK OF ENGLAND MARKET NOTICE: EXTENDED COLLATERAL LONG-TERM REPO OPERATIONS

BANK OF ENGLAND MARKET NOTICE: EXTENDED COLLATERAL LONG-TERM REPO OPERATIONS BANK OF ENGLAND MARKET NOTICE: EXTENDED COLLATERAL LONG-TERM REPO OPERATIONS 1 The Bank will continue to hold extended collateral three-month long-term repo open market operations (OMOs) weekly up to and

More information

Specific financial information Q1 10

Specific financial information Q1 10 05 / 05 / 2010 Specific financial information Q1 10 (based on FSF recommendations for financial transparency) We stand by you Contents Unhedged CDOs exposed to the US residential mortgage sector CDOs of

More information

The State of New York Deferred Compensation Board Stable Income Fund INVESTMENT POLICIES AND GUIDELINES. Table of Contents

The State of New York Deferred Compensation Board Stable Income Fund INVESTMENT POLICIES AND GUIDELINES. Table of Contents The State of New York Deferred Compensation Board Stable Income Fund INVESTMENT POLICIES AND GUIDELINES June 12, 2009 Table of Contents I. Investment Objectives II. Investment Strategy A. Permitted Investments

More information

Asset Securitization. From Moody s Perspective. Presented by: Li Ma, VP Senior Analyst, Structured Finance Group Hong Kong. November 7, 2005 Shanghai

Asset Securitization. From Moody s Perspective. Presented by: Li Ma, VP Senior Analyst, Structured Finance Group Hong Kong. November 7, 2005 Shanghai Asset Securitization From Moody s Perspective Presented by: Li Ma, VP Senior Analyst, Structured Finance Group Hong Kong November 7, 2005 Shanghai Agenda What is Securitization? What Can be Securitized?

More information

Notice regarding Revisions of Earnings Forecasts

Notice regarding Revisions of Earnings Forecasts To Whom It May Concern October 31, 2008 Listed Company: Mitsubishi UFJ Financial Group, Inc. Representative: Nobuo Kuroyanagi, President (Code:8306) Notice regarding Revisions of Earnings Forecasts Mitsubishi

More information

Assessing the Credit Risk of CDOs Backed by Structured Finance Securities: Rating Analysts Challenges and Solutions

Assessing the Credit Risk of CDOs Backed by Structured Finance Securities: Rating Analysts Challenges and Solutions Assessing the Credit Risk of CDOs Backed by Structured Finance Securities: Rating Analysts Challenges and Solutions Jian Hu 1 This Version: August 31, 2007 1 I thank Yuri Yoshizawa, Jeremy Gluck, Richard

More information

Default and Recovery Rates of European Corporate Bond Issuers:

Default and Recovery Rates of European Corporate Bond Issuers: Special Comment March 2006 Contact Phone New York Praveen Varma 1.212.553.1653 Richard Cantor David Hamilton London Eric de Bodard 44.20.7772.5454 Alice Keegan Guillaume Menuet Default and Recovery Rates

More information

ESF Securitisation. Data Report

ESF Securitisation. Data Report ESF Securitisation Data Report Autumn 2007 www.europeansecuritisation.com European Securitisation Forum St. Michael s House 1 George Yard London EC3V 9DH T +44.20.77 43 93 11 F +44.20.77 43 93 01 www.europeansecuritisation.com

More information

Specific financial information Q3 08

Specific financial information Q3 08 03/ 11/2008 Specific financial information Q3 08 (based on FSF recommendations for financial transparency) Contents Unhedged CDOs exposed to the US residential mortgage sector Write-downs on assets of

More information

Specific financial information Q2 10

Specific financial information Q2 10 04/ 08 / 2010 Specific financial information Q2 10 (based on FSF recommendations for financial transparency) We stand by you Contents Unhedged CDOs exposed to the US residential mortgage sector CDOs of

More information

March 2017 For intermediaries and professional investors only. Not for further distribution.

March 2017 For intermediaries and professional investors only. Not for further distribution. Understanding Structured Credit March 2017 For intermediaries and professional investors only. Not for further distribution. Contents Investing in a rising interest rate environment 3 Understanding Structured

More information

AXIS Capital Holdings Limited. Investment Portfolio Supplemental Information and Data March 31, 2010

AXIS Capital Holdings Limited. Investment Portfolio Supplemental Information and Data March 31, 2010 AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data March 31, 2010 Cautionary Note on Forward Looking Statements Statements in this presentation that are not historical

More information

Year-end report 2009 SEK

Year-end report 2009 SEK SEK Record-high lending benefits the Swedish export industry January-December 2009 The volume of new customer financing amounted to Skr 122.5 billion for the full year 2009 (12M08: Skr 64.9 billion) The

More information

Financial Guaranty Insurance Company RMBS and ABS CDOs as of June 30, October 9, 2007

Financial Guaranty Insurance Company RMBS and ABS CDOs as of June 30, October 9, 2007 Financial Guaranty Insurance Company RMBS and ABS CDOs as of June 30, 2007 October 9, 2007 Table of Contents Overview 3-5 Part I MBS 6 Underwriting 7-9 Portfolio 10-16 Performance 17-19 Part II ABS CDOs

More information

Third Quarter 2011 Earnings Review. October 17, 2011

Third Quarter 2011 Earnings Review. October 17, 2011 Third Quarter 2011 Earnings Review October 17, 2011 Highlights Continued to execute strategy in challenging environment Remain highly focused on risk management Eurozone countries Emerging markets U.S.

More information

In various tables, use of - indicates not meaningful or not applicable.

In various tables, use of - indicates not meaningful or not applicable. Basel II Pillar 3 disclosures 2008 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG

More information

COLLATERALIZED LOAN OBLIGATIONS (CLO) Dr. Janne Gustafsson

COLLATERALIZED LOAN OBLIGATIONS (CLO) Dr. Janne Gustafsson COLLATERALIZED LOAN OBLIGATIONS (CLO) 4.12.2017 Dr. Janne Gustafsson OUTLINE 1. Structured Credit 2. Collateralized Loan Obligations (CLOs) 3. Pricing of CLO tranches 2 3 Structured Credit WHAT IS STRUCTURED

More information

CDO Market Overview & Outlook. CDOs in the Heartland. Lang Gibson Director of Structured Credit Research March 25, 2004

CDO Market Overview & Outlook. CDOs in the Heartland. Lang Gibson Director of Structured Credit Research March 25, 2004 CDO Market Overview & Outlook CDOs in the Heartland Lang Gibson Director of Structured Credit Research March 25, 24 23 featured record volumes despite diminishing arbitrage Global CDO Growth: 1995-23 $

More information

Market Focus. Credit cycle: rising default rate. Where do we stand in the default rate cycle? Credit fundamentals are deteriorating

Market Focus. Credit cycle: rising default rate. Where do we stand in the default rate cycle? Credit fundamentals are deteriorating At the beginning of 215, we began forecasting the end of the credit cycle. Since then, corporate fundamentals, rating trends, and default rate data have all deteriorated. Moody s speculative default rate

More information

SEK: Interim report 2

SEK: Interim report 2 SEK: Interim report 2 High business volumes and stable earnings Core Earnings for the second quarter amounted to Skr 381.2 million (284.6) Operating profit (IFRS) amounted to Skr 466.3 million (265.6)

More information

Basel II Pillar 3 disclosures 6M 09

Basel II Pillar 3 disclosures 6M 09 Basel II Pillar 3 disclosures 6M 09 For purposes of this report, unless the context otherwise requires, the terms Credit Suisse Group, Credit Suisse, the Group, we, us and our mean Credit Suisse Group

More information

The Financial Turmoil in 2007 and 2008

The Financial Turmoil in 2007 and 2008 The Financial Turmoil in 2007 and 2008 Gerald P. Dwyer June 2008 Copyright Gerald P. Dwyer, Jr., 2008 Caveats I am speaking for myself, not the Federal Reserve Bank of Atlanta or the Federal Reserve System

More information

Credit Policy. Testing The Cross-Sectional Power Of The Credit Transition Model. Special Comment. Moody s. Summary. June Table of Contents:

Credit Policy. Testing The Cross-Sectional Power Of The Credit Transition Model. Special Comment. Moody s. Summary. June Table of Contents: www.moodys.com Special Comment Moody s Credit Policy June 2008 Table of Contents: Summary 1 Introduction 2 CTM Forecast Methodology 2 What is Cross-Sectional Prediction? 2 What is an Accuracy Ratio? 3

More information

Financial Stability Board Report

Financial Stability Board Report Financial Stability Board Report as of 31 December 2010 contents Financial Stability Board Report 2 Contents I. 1. 2. II. 1. III. 1. 2. IV. 1. V. 1. 2. Credit investment portfolio..............................................................................................

More information

A Guide to Investing In Corporate Bonds

A Guide to Investing In Corporate Bonds A Guide to Investing In Corporate Bonds Access the corporate debt income portfolio TABLE OF CONTENTS What are Corporate Bonds?... 4 Corporate Bond Issuers... 4 Investment Benefits... 5 Credit Quality and

More information

Structured Finance. Global Rating Criteria for Structured Finance CDOs. Structured Credit / Global. Sector-Specific Criteria. Key Rating Drivers

Structured Finance. Global Rating Criteria for Structured Finance CDOs. Structured Credit / Global. Sector-Specific Criteria. Key Rating Drivers Structured Credit / Global Global Rating Criteria for Structured Finance CDOs Sector-Specific Criteria Inside This Report Page Key Rating Drivers 1 Key Changes in this Criteria 2 Quantitative Models and

More information

Asset Securitisation in East Asia

Asset Securitisation in East Asia East Asian Finance-Road to Robust Markets Asset Securitisation in East Asia Ismail Dalla Hong Kong June 22-23, 06 Views expressed in this presentation do not represent official views of the World Bank

More information

October 11 Rating Actions Related to 2006 Subprime First-Lien RMBS

October 11 Rating Actions Related to 2006 Subprime First-Lien RMBS STRUCTURED FINANCE Special Report October 11 Rating Actions Related to 2006 Subprime First-Lien RMBS AUTHOR: Amy Tobey VP-Senior Analyst (212) 553-7922 Amelia.Tobey@moodys.com CONTACTS: Joseph Rocco Associate

More information

STANDARD & POOR S RATINGS SERVICES RESPONSE DATED 7 AUGUST 2009 TO CESR CONSULTATION PAPER ON CRA CENTRAL REPOSITORY (CESR/09-579)

STANDARD & POOR S RATINGS SERVICES RESPONSE DATED 7 AUGUST 2009 TO CESR CONSULTATION PAPER ON CRA CENTRAL REPOSITORY (CESR/09-579) STANDARD & POOR S RATINGS SERVICES RESPONSE DATED 7 AUGUST 2009 TO CESR CONSULTATION PAPER ON CRA CENTRAL REPOSITORY (CESR/09-579) Standard & Poor's Ratings Services 1 ("S&P") welcomes the opportunity

More information

Comparing Ratings on Jointly-Rated U.S. Structured Finance Securities: 2007 Update

Comparing Ratings on Jointly-Rated U.S. Structured Finance Securities: 2007 Update STRUCTURED FINANCE Special Report Comparing Ratings on Jointly-Rated U.S. Structured Finance Securities: 2007 Update CONTACTS:* Richard Cantor Team Managing Director (212) 553-3628 richard.cantor@moodys.com

More information

Standard & Poor s Ratings Services Credit Ratings, Research & Analytics

Standard & Poor s Ratings Services Credit Ratings, Research & Analytics Standard & Poor s Ratings Services Credit Ratings, Research & Analytics Providing Valued Research and Opinions for Market Participants Standard & Poor s ratings are tools to evaluate credit risk, expressing

More information

esf securitisation data report Q1:2008

esf securitisation data report Q1:2008 esf securitisation data report Q1:28 June 28 London New York Washington Hong Kong TABLE OF CONTENTS Market Highlights and Commentary 1 1. Issuance 1.1. European Historical Issuance.............. 2 1.2.

More information

Credit Rating Agencies and the Credit Crisis: What Securities Attorneys Need to Know

Credit Rating Agencies and the Credit Crisis: What Securities Attorneys Need to Know Credit Rating Agencies and the Credit Crisis: What Securities Attorneys Need to Know April13, 2010 Agenda Introduction Presentation Steve Herscovici, Managing Principal, Analysis Group Bill Chambers, Finance

More information

esf Securitisation Data Report Q3:2009 downloadable data click here for Prepared in partnership with

esf Securitisation Data Report Q3:2009 downloadable data click here for Prepared in partnership with esf Securitisation Data Report Q3:2009 click here for downloadable data Prepared in partnership with Market Highlights and Commentary... 1 1. Issuance 1.1. European Historical Issuance... 3 1.2. US Historical

More information

CMBS Credit Migrations

CMBS Credit Migrations CMBS Credit Migrations Table of Contents Introduction...1 Background on the Study...2 Results...3 Credit Migrations by Deal Type...3 Credit Migrations by Vintage...8 Credit Migrations by Initial Rating...12

More information

Credit Rating Agencies ESMA s investigation into structured finance ratings

Credit Rating Agencies ESMA s investigation into structured finance ratings Credit Rating Agencies ESMA s investigation into structured finance ratings 16 December 2014 ESMA/2014/1524 Date: 16 December 2014 ESMA/2014/1524 Table of Contents 1 Executive Summary... 4 2 Who should

More information

Issued On: 21 Jan Morningstar Client Notification - Fixed Income Style Box Change. This Notification is relevant to all users of the: OnDemand

Issued On: 21 Jan Morningstar Client Notification - Fixed Income Style Box Change. This Notification is relevant to all users of the: OnDemand Issued On: 21 Jan 2019 Morningstar Client Notification - Fixed Income Style Box Change This Notification is relevant to all users of the: OnDemand Effective date: 30 Apr 2019 Dear Client, As part of our

More information

THE NAME IS BOND COVERED BOND

THE NAME IS BOND COVERED BOND THE NAME IS BOND COVERED BOND Covered Bonds An Alternative Source of Financing Mortgage Lending December 4, 2012 Mira Tamboli Presentation Outline Introduction Covered Bond Basics Product Overview Issuer

More information

DEUTSCHE BANK CORPORATION

DEUTSCHE BANK CORPORATION UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 6-K REPORT OF FOREIGN PRIVATE ISSUER PURSUANT TO RULE 13a-16 OR 15d-16 UNDER THE SECURITIES EXCHANGE ACT OF 1934 For the month

More information

Markit iboxx EUR Rating Rules

Markit iboxx EUR Rating Rules Markit iboxx EUR Rating Rules April 2010 Contents 1 Rating... 3 2 Rating Cut-Off Dates... 3 3 Markit iboxx Average Rating - Methodology... 3 4 Further information... 5 2 1 Rating All bonds in the Markit

More information

Mapping of Moody s Investors Service credit assessments under the Standardised Approach

Mapping of Moody s Investors Service credit assessments under the Standardised Approach 30 October 2014 Mapping of Moody s Investors Service credit assessments under the Standardised Approach 1. Executive summary 1. This report describes the mapping exercise carried out by the Joint Committee

More information

AXIS Specialty Limited. Financial Statements and Independent Auditors Report

AXIS Specialty Limited. Financial Statements and Independent Auditors Report AXIS Specialty Limited Financial Statements and Independent Auditors Report 1 Pages No. Independent Auditors Report 3 Balance Sheets as at 4 Statements of Operations and Comprehensive Income (Loss) for

More information

Capital Markets and Corporate Governance Service Line Capital Markets Practice, FPD

Capital Markets and Corporate Governance Service Line Capital Markets Practice, FPD Capital Markets and Corporate Governance Service Line Capital Markets Practice, FPD Emerging Capital Markets Update for July 2011 All data are as of Friday, July 29, 2011. The regional indices are based

More information

CARE s DEFAULT AND TRANSITION STUDY 2010

CARE s DEFAULT AND TRANSITION STUDY 2010 CARE s DEFAULT AND TRANSITION STUDY 2010 (For the seven-year period 2003-2009) Summary CARE s Default and Transition Study for the period January 1, 2003 to December 31, 2009 reveals that the three-year

More information

Investment Materials. February 9, Genworth Financial, Inc. All rights reserved.

Investment Materials. February 9, Genworth Financial, Inc. All rights reserved. Investment Materials February 9, 2009 2008 Genworth Financial, Inc. All rights reserved. Investment Portfolio Position $67.9B Investment Grade Fixed Maturity 44% High Quality Portfolio: 95% Of Fixed Maturities

More information

The Relationship between Issuance Spreads and Credit Performance of Structured Finance Securities

The Relationship between Issuance Spreads and Credit Performance of Structured Finance Securities The Relationship between Issuance Spreads and Credit Performance of Structured Finance Securities Jian Hu, Richard Cantor i (This Version, December 25) Abstract This paper analyzes the relationship between

More information

CITI REPORTS THIRD QUARTER NET LOSS OF $2.8 BILLION, LOSS PER SHARE OF $0.60

CITI REPORTS THIRD QUARTER NET LOSS OF $2.8 BILLION, LOSS PER SHARE OF $0.60 CITI REPORTS THIRD QUARTER NET LOSS OF $2.8 BILLION, LOSS PER SHARE OF $0.60 NET LOSS FROM CONTINUING OPERATIONS OF $3.4 BILLION, LOSS PER SHARE OF $0.71, PRIMARILY DUE TO FIXED INCOME WRITE-DOWNS AND

More information

Lamar State College - Port Arthur Annual Investment Report (Including Deposits)

Lamar State College - Port Arthur Annual Investment Report (Including Deposits) Lamar State College - Port Arthur Annual Investment Report (Including Deposits) August 31, 2017 Market Value Publicly Traded Equity and Similar Investments Common Stock (U.S. and foreign stocks held in

More information

Company Profile. Company Information

Company Profile. Company Information Company Profile Ambac Financial Group, Inc. ( Ambac ), headquartered in New York City, is a holding company whose affiliates provided financial guarantees and financial services to clients in both the

More information

2010 Quarterly Operating Supplement Financial Highlights

2010 Quarterly Operating Supplement Financial Highlights 2010 Quarterly Operating Supplement Q3 Financial Highlights Share price Market capitalization Net income Net income per diluted share $0.56 $167.7 million $76.0 million $0.25 N e w Yo r k L o n d o n S

More information

LifePath Index 2030 Fund H

LifePath Index 2030 Fund H Blend Moderate Quality Inc Risk Profile This investment option may be most appropriate for someone willing to balance the risk of principal fluctuation with the potential for greater capital growth over

More information

Tom Flynn Executive Vice President and Chief Risk Officer

Tom Flynn Executive Vice President and Chief Risk Officer Investor Community Conference Call 2008 Risk Review Tom Flynn Executive Vice President and Chief Risk Officer May 27 2008 Forward Looking Statements Caution Regarding Forward-Looking Statements Bank of

More information

Keefe, Bruyette & Woods Insurance Conference. S.A. Ibrahim, CEO NYSE: RDN September 7, 2010

Keefe, Bruyette & Woods Insurance Conference. S.A. Ibrahim, CEO NYSE: RDN September 7, 2010 Keefe, Bruyette & Woods Insurance Conference S.A. Ibrahim, CEO NYSE: RDN September 7, 2010 1 Safe Harbor Statements All statements made during today s investor presentation and in these webcast slides

More information

The Financial Crisis of ? Gerald P. Dwyer Federal Reserve Bank of Atlanta University of Carlos III, Madrid

The Financial Crisis of ? Gerald P. Dwyer Federal Reserve Bank of Atlanta University of Carlos III, Madrid The Financial Crisis of 2007-201? Gerald P. Dwyer Federal Reserve Bank of Atlanta University of Carlos III, Madrid Disclaimer These views are mine and not necessarily those of the Federal Reserve Bank

More information

DnB NOR Bank Liquidity Portfolio

DnB NOR Bank Liquidity Portfolio DnB NOR Bank Liquidity Portfolio Update Q2, 2011 July 12, 2011 Liquidity Portfolio Rationale DnB NOR's portfolio is deposited with Central Banks or used as collateral elsewhere Represents Liquidity Reserve

More information

FSA HOLDINGS FIRST QUARTER 2008 RESULTS STRONG FIRST QUARTER PRODUCTION DRIVEN BY U.S. MUNICIPAL ORIGINATIONS

FSA HOLDINGS FIRST QUARTER 2008 RESULTS STRONG FIRST QUARTER PRODUCTION DRIVEN BY U.S. MUNICIPAL ORIGINATIONS FOR IMMEDIATE RELEASE FSA HOLDINGS FIRST QUARTER 2008 RESULTS STRONG FIRST QUARTER PRODUCTION DRIVEN BY U.S. MUNICIPAL ORIGINATIONS FIRST-QUARTER NET LOSS OF $422 MILLION REFLECTS UNREALIZED NEGATIVE FAIR-VALUE

More information

Understanding Investments in Collateralized Loan Obligations ( CLOs )

Understanding Investments in Collateralized Loan Obligations ( CLOs ) Understanding Investments in Collateralized Loan Obligations ( CLOs ) Disclaimer This document contains the current, good faith opinions of Ares Management Corporation ( Ares ). The document is meant for

More information

Defining Issues. Regulators Finalize Risk- Retention Rule for ABS. November 2014, No Key Facts. Key Impacts

Defining Issues. Regulators Finalize Risk- Retention Rule for ABS. November 2014, No Key Facts. Key Impacts Defining Issues November 2014, No. 14-50 Regulators Finalize Risk- Retention Rule for ABS Contents Summary of Final Rule... 2 Qualified Residential Mortgage Exemption... 4 Other Exemptions... 4 Risk Retention...

More information

FSA HOLDINGS THIRD QUARTER 2007 RESULTS FSA HAS RECORD QUARTERLY ORIGINATIONS

FSA HOLDINGS THIRD QUARTER 2007 RESULTS FSA HAS RECORD QUARTERLY ORIGINATIONS FSA HOLDINGS THIRD QUARTER 2007 RESULTS FSA HAS RECORD QUARTERLY ORIGINATIONS UNREALIZED MARK-TO-MARKET LOSSES REDUCE NET INCOME AND EQUITY BUT HAVE NO MATERIAL ECONOMIC EFFECT NET INCOME (LOSS) $(121.8)

More information

Global Credit Research - 31 Oct 2012

Global Credit Research - 31 Oct 2012 Rating Action: Moody's assigns definitive ratings to French RMBS Class A Bonds and affirms ratings to existing Class A Bonds issued by CIF ASSETS 2001-1, a compartment of the Fonds Commun de Titrisation

More information

Caja Rural de Castilla-La Mancha - Mortgage Covered Bonds

Caja Rural de Castilla-La Mancha - Mortgage Covered Bonds Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Caja Rural de Castilla-La Mancha - Mortgage Covered Bonds Covered Bonds / Spain Contacts Lopez Patron, Miguel - +34 (97) 688-225 - Miguel.LopezPatron@moodys.com

More information

September Default Report

September Default Report September Default Report Contact: defaultreport@moodys.com 1.212.553.1653 07 October 2008 Defaulted debt volumes jump sharply Lehman marks the largest bankruptcy in history The credit crisis intensified

More information

Structured Finance Alert

Structured Finance Alert Skadden, Arps, Slate, Meagher & Flom LLP Structured Finance Alert October 2013 Proposed Rule to Implement Dodd-Frank Risk Retention Requirement If you have any questions regarding the matters discussed

More information

A Guide to the Re-Proposed Credit Risk Retention Rules for Securitizations

A Guide to the Re-Proposed Credit Risk Retention Rules for Securitizations A Guide to the Re-Proposed Credit Risk Retention Rules for Securitizations September 6, 2013 On March 29, 2011, the Securities and Exchange Commission (the SEC ) and various federal banking and housing

More information

Company Profile. Company Information

Company Profile. Company Information Company Profile Ambac Financial Group, Inc. ( Ambac ), headquartered in New York City, is a holding company whose affiliates provided financial guarantees and financial services to clients in both the

More information

M E M O R A N D U M Financial Crisis Inquiry Commission

M E M O R A N D U M Financial Crisis Inquiry Commission M E M O R A N D U M Financial Crisis Inquiry Commission To: From: Commissioners Ron Borzekowski Wendy Edelberg Date: July 7, 2010 Re: Analysis of housing data As is well known, the rate of serious delinquency

More information

Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History

Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History Special Comment February 2004 Contact Phone New York David T. Hamilton 1.212.553.1653 Richard Cantor Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History Summary This report

More information

Insurance. Financial Guarantors Subprime Risks: From RMBS to ABS CDOs. Special Comment. Moody s Global. Summary Opinion.

Insurance. Financial Guarantors Subprime Risks: From RMBS to ABS CDOs. Special Comment. Moody s Global. Summary Opinion. www.moodys.com Special Comment Moody s Global Insurance September 2007 Table of Contents: Summary Opinion 1 Where to Find Subprime Mortgages: A Primer on Financial Engineering 3 Risks of Direct Subprime

More information

The Arbitrage CDO Market

The Arbitrage CDO Market Global Markets Research Relative Value March 21, 2000 Table of Contents Introduction: Lay of the land... 2 Cash Flow CDOs: Managing Default Risk. 4 Market Value CDOs: Managing Price Risk... 13 Risk & Return:

More information

Fourth Quarter 2011 Earnings Review January 17, 2012

Fourth Quarter 2011 Earnings Review January 17, 2012 On February 9, 2012, Citi announced an adjustment to its fourth quarter and full year 2011 financial results to reflect an additional $209 million of after-tax ($275 million pre-tax) charges to increase

More information

HSBC Global Investment Funds - Global Asset-Backed Bond

HSBC Global Investment Funds - Global Asset-Backed Bond HSBC Global Investment Funds - Global Asset-Backed Bond S Share Class AM2 AM2 31/08/2018 Fund Objective and Strategy Investment Objective The Fund invests for long-term total return (meaning capital growth

More information

Hypo Vorarlberg Bank AG - Mortgage Covered Bonds

Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Covered Bonds / Austria Contacts Zeidler, Alexander - +44 (207) 772-8713 - Alexander.Zeidler@moodys.com

More information

Second Quarter, 2008 Investor Presentation

Second Quarter, 2008 Investor Presentation CIBC May 29, 2008 Forward Looking Statements From time to time, we make written or oral forward-looking statements within the meaning of certain securities laws, including in this presentation, in other

More information

THUNDERBIRD SERIES 5 5 YEAR BULLET SELF-MANAGED CDO OF CORPORATES

THUNDERBIRD SERIES 5 5 YEAR BULLET SELF-MANAGED CDO OF CORPORATES THUNDERBIRD SERIES 5 5 YEAR BULLET SELF-MANAGED CDO OF CORPORATES This presentation contains indicative terms for discussion purposes only. BNP Paribas gives no assurance that any transaction will be consummated

More information

Invesco Mortgage Capital Inc Fourth Quarter Earnings Call February 22, 2017

Invesco Mortgage Capital Inc Fourth Quarter Earnings Call February 22, 2017 Invesco Mortgage Capital Inc. 2016 Fourth Quarter Earnings Call February 22, 2017 Richard King President & Chief Executive Officer John Anzalone Chief Investment Officer Rob Kuster Chief Operating Officer

More information

Example:(Schweser CFA Note: Automobile Loans Securitization)

Example:(Schweser CFA Note: Automobile Loans Securitization) The Basic Structural Features of and Parties to a Securitization Transaction. ABS are most commonly backed by automobile loans, credit card receivables, home equity loans, manufactured housing loans, student

More information

Copyright 2016 by the Securities Industry and Financial Markets Association 120 Broadway New York, NY (212)

Copyright 2016 by the Securities Industry and Financial Markets Association 120 Broadway New York, NY (212) 2016 FACT BOOK 2016 FACT BOOK Produced by SIFMA Research Department Copyright 2016 by the Securities Industry and Financial Markets Association 120 Broadway New York, NY 10271-0080 (212) 313-1200 research@sifma.org

More information

Credit Risk Retention: Dodd- Frank Final Rule February 26, 2015 Presented By: Kenneth E. Kohler Jerry R. Marlatt

Credit Risk Retention: Dodd- Frank Final Rule February 26, 2015 Presented By: Kenneth E. Kohler Jerry R. Marlatt Credit Risk Retention: Dodd- Frank Final Rule February 26, 2015 Presented By: Kenneth E. Kohler Jerry R. Marlatt 2014 Morrison & Foerster LLP All Rights Reserved mofo.com Summary of Presentation In this

More information

Compagnie de Financement Foncier - Covered Bonds

Compagnie de Financement Foncier - Covered Bonds Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Compagnie de Financement Foncier - Covered Bonds Covered Bonds / France Contacts Lucotte, Elise - +33 (153) 301-022 - Elise.Lucotte@moodys.com Senoner,

More information

HYPO NOE Landesbank fur Niederoesterreich und Wien AG - Mortgage Covered Bonds

HYPO NOE Landesbank fur Niederoesterreich und Wien AG - Mortgage Covered Bonds Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS HYPO NOE Landesbank fur Niederoesterreich und Wien AG - Mortgage Covered Bonds Covered Bonds / Austria Contacts Zeidler, Alexander - +44 (207) 772-873

More information

Operating and financial review Zurich Financial Services Group Half Year Report 2011

Operating and financial review Zurich Financial Services Group Half Year Report 2011 Operating and financial review 2011 Half Year Report 2011 2 Half Year Report 2011 Operating and financial review The information contained within the Operating and financial review is unaudited. This document

More information

Morningstar Fixed-Income Style Box TM

Morningstar Fixed-Income Style Box TM ? Morningstar Fixed-Income Style Box TM Morningstar Methodology Effective Apr. 30, 2019 Contents 1 Fixed-Income Style Box 4 Source of Data 5 Appendix A 10 Recent Changes Introduction The Morningstar Style

More information

mortgages, bank loans and structured credit

mortgages, bank loans and structured credit mortgages, bank loans and structured credit Contents Introduction... 1 Nuts and Bolts Mortgage-Backed Securities... 2 Bank Loans... 10 Structured Credit... 13 Conclusion... 17 Behind the Industry Jargon...

More information

Reforming the Selection of Rating Agencies in Securitization Markets: A Modest Proposal

Reforming the Selection of Rating Agencies in Securitization Markets: A Modest Proposal Reforming the Selection of Rating Agencies in Securitization Markets: A Modest Proposal Howard Esaki Lawrence J. White (An edited version will be forthcoming in the Milken Institute Review) Introduction:

More information

Caja Rural de Navarra - Mortgage Covered Bonds

Caja Rural de Navarra - Mortgage Covered Bonds Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Caja Rural de Navarra - Mortgage Covered Bonds Covered Bonds / Spain Contacts Lopez Patron, Miguel - +34 (917) 688-225 - Miguel.LopezPatron@moodys.com

More information

Stable/ Positive. Stable

Stable/ Positive. Stable 2006 European SF Outlook Chart Market Sector European Consumer ABS European C&I C&I - Whole Business Asset Class 2006 Outlook Asset Performance Ratings 2006 Areas to Watch Asset sector performance is expected

More information

Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II

Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II November 2011 Counterparty Credit Risk Management in the US Over-the-Counter (OTC) Derivatives Markets, Part II A Review of Monoline Exposures Introduction This past August, ISDA published a short paper

More information