rating methodology sf cdo fû pfég gng gug1g · pdf fileoutdated methodology...

OUTDATED

METHODOLOGY

INTERNATIONAL STRUCTURED FINANCE SEPTEMBER 2010

SEPTEMBER 30,2010

:

1. 1

2. SF CDO 2

3. SF CDO

4

4. 12

5.

14

6. SF CDO

17

7. 19

1: SF CDO

20

2:

SF CDO 22

3: 23

4:

24

5:

28

6: 29

:

03-5408-4100

03-5408-4152 SVP- [email protected]

SF CDO

Moody’s Approach to Rating SF CDOs

1.

CDO(SF CDO)1

SF CDORMBS SF CDO

SF CDO

SF CDOCDO

2007 (RMBS)

1 SF CDO ABS CDO

RATING METHODOLOGY

OUTDATED

METHODOLOGY

INTERNATIONAL STRUCTURED FINANCE

2 SEPTEMBER 2010 :SF CDO

2. SF CDO

2.1.

SF CDO SF CDO SF CDOSF CDO 3

1

1 SF CDO

SPV(CDS)

CDS 2a )2b

2a SF CDO

SPV ABS1ABS2

ABSn

CDO

ABC

CDO CDS

OUTDATED

METHODOLOGY



2b SF CDO

3 2

3 SF CDO

3 (SPV) ABSCDS CDS

SPV

CDS

2 SF CDO

50%

SPV CDS

CDO

AB

SPV

CDS

CDO

ABC

ABS1ABS2

ABSn

OUTDATED

METHODOLOGY



2.2.

SF CDO

SF CDO CDO 3

SF CDO CDOROMTM

CDOROM 3.4.1

CDOROM

SF CDO SF CDO

SF CDO

CDO

3. SF CDO

3.1

SF CDO CDO (Expected Loss, "EL"EL EL

3.2.

3.2.1

3.2.1.1.

CDO SF CDO

1

1A2 3% CMBS 35%

A2 CMBS

3

OUTDATED

METHODOLOGY



33% 1CDOROM 4

3.2.1.2 SF CDO

CDS5 2

6

3.2.1.3

3.2.1.4

CDOROM 7

3.2.2.

10%1 2

3.2.2.1

3.2.2.4

RMBS CMBS ABS SF CDO

SF CDO 8

4 "CDOROM v.2.5 User Guide" (February 2009)

5 "Moody's Approach to Rating Synthetic Re-securitizations" (October 2003)(

CDO (2004 7 ) ) (PAUG)SF CDO

6

7 "CDOROM v2.5 User Guide" (February 2009) 8 3.2.2.1

OUTDATED

METHODOLOGY



3.2.2.2

(1) = × (1 ) = /(1 )

EL= WAL))

DP= WAL

RR=

5EL9

3.2.2.3

SF CDO10

SF CDO11

SF CDO

SF CDO

420%

3.2.2.4

12

2 13

EL (1) EL1

Aaa1

3.2.2.5 :

SF CDOSF CDO

SF CDO SF CDO

9 ( )

10 "How Moody's Deals With Non-Moody's-Rated Collateral Instruments Within Moody's-Rated CDOs" (December 2003)

11

( )CDOSF CDO CDO

12 "Structured Finance Watchlist Resolutions: 1992-2003" (June 2004) 13 "CDO RatingFactors VOL. II No. 3 Notching Watchlisted Structured Finance Securities in CDOs" (March 2005)

OUTDATED

METHODOLOGY



SF CDO2 3

1 RMBS EMEA RMBSABS ABS ABS SF CDO

CDO Aaa4 Aaa 12

2 ABS RMBSEMEA RMBS CMBS CLO

2 Aaa 2Aaa 6 2

REIT REIT30% 14

3.2.3

15

SF CDO

6

16

2007

22

17

18

CMBS RMBS ABS

2006 2007 RMBSAaa

CMBS CLO 2 CMBSCLO

14 "Moody's updates key assumptions for rating corporate synthetic CDOs" (January 2009)(

CDO (2009 1 ) ) 15 Robert C. Merton

16 6

17 "Moody's updates its key assumptions for rating structured finance CDOs" (December 2008)(

CDO (2008 12 ) ) 18

(2 RMBS )

OUTDATED

METHODOLOGY



19

»

» A RMBS 1 RMBS

» SF CDO 1 2

»

»

»

»

6 2 3

3.3 EL

3.3.1

SF CDO2 1)

2)

EL

EL

3.3.2

SF CDO SF CDO:

» SF CDO:20 SF CDO

CDOROM 21

» SF CDO: SF CDO

CDOROM

» SF CDO: SF CDO(Correlated Binomial Expansion Technique, "CBET"

22

SF CDOCBET CDOROM

SF CDO

19 "Moody's updates its key assumptions for rating structured finance CDOs" (December 2008)(

CDO (2008 12 ) ) 20 CDS 21 "CDOROM v2.5 User Guide" (February 2009) 22 "Moody's Correlated Binomial Default Distribution" (August 2004)

OUTDATED

METHODOLOGY



3.3.3

3.3.3.1 CDO CDOROM

CDOROM SF CDO23

3.2.1

3.2.2.1

3.2.3

24

3.3.4

3.3.4.1 CDO

EL

(2) =

Pj=CBET j

Lj= j

(3) = max 0,

(3) Present Value, "PV"Libor Libor

25

23 "CDOROM v2.5 User Guide"

(February 2009) 24 ( ) "CDOROM v2.5 User Guide" (February

2009) 25 "Using the

Structured Note Methodology to Rate CDO Combo-Notes" (February 2004)

OUTDATED

METHODOLOGY



3.3.4.2 CDO

SF CDO100%

CDOROM 26

CDOROM(2)

(4) = 1

SF CDO CDOROM

(5) = max 0,

CDOROM SF CDO

60%SF CDO EL CDOROM

SF CDO 3.3.4.1

ELEL

EL 99%

27

3.3.5

ELSF CDO

EL EL5 WAL

ELEL 5

Aa1 Aa2 Aa2

SF CDO CDOROMSF CDO EL

(MM)28

3.3.6 SF CDO

MM 5.0 A1 ELMM 6.0 A2

26 "CDOROM v2.5 User Guide" (February 2009) CDOROM

27 "CDOROM v2.5 User Guide" (February 2009) 28 "Moody's Metric and Its Uses" (June 2006) "Managed Synthetic CDOs: Moody's CDOROMTM Guidelines" (August

2005)( CDO: CDOROMTM (2006 5 ) )

OUTDATED

METHODOLOGY



SF CDO

3

3.3.7

SF CDO (Event of Default)

SF CDO5.5

3.4

3.4.1 CDOROM

EL EL(MM)

MM ELEL

SF CDO CDOROMCDOROM

CDOROM29

CDOROM

29 "Managed Synthetic CDOs: Moody's CDOROMTM Guidelines" (August 2005)(

CDO: CDOROMTM (2006 5 ) )

OUTDATED

METHODOLOGY



4.

4.1 30

4.1.1

2b

CDS

4.1.2 EL

EL

ABS ABS(GIC)

CDO

CDS

SF CDOLibor 1 Libor 3 Libor

SF CDO

i) ii)iii)

EL

4.2

CDSEL

SF CDOCDS

EL

(

30 "Understanding Collateral Risks of Funded Synthetics in CDOs" (June 2006)( CDO

(2006 11 ) )

OUTDATED

METHODOLOGY



4.3 31

3.2.1

ISDA

32

SF CDO (PAUG)

33

PAUG CDS

PAUG CDS

PAUG

34

ABS CDS PAUGCDO SF CDO 3.2.1.2

SF CDO

Caa2

4.4 SF CDO 35

ISDA CDS SF CDO(EOD

EL

ISDA CDS CDS

CDS

EL

SF CDO CDS CDS

SF CDO CDS CDS

36

31 "Moody's Approach To Rating Synthetic Resecuritizations" (October 2003)(

CDO (2004 7 ) )

4.1.2 EL

32 ("Historical Recoveries in Synthetic CDOs: Variation and the Cheapest-to-deliver" (February 2004) )

33 "Moody's Approach to Rating Collateralized Debt Obligations with Pay-As-You-Go Credit Default Swaps" (November 2006)

34 33 35 SF CDO CDS

SF CDO

EL EL 36 CDOROM

OUTDATED

METHODOLOGY



5.

5.1

SF CDOSF CDO

CDS 37

5.1.1

100%

SF CDO(i) 1 (ii)

(WARF(iii) ( ) OC

( ) 238

5.1.2

39

5.2

SF CDO

SF CDO

P-1Aaa Aa3 P-1

SF CDO40

37

SF CDO

38 Aa2 Aa2Ba1

39 40 "Responses to Frequently Asked CDO Questions(Third of Series)" (March 2004) 10 "Temporary Use of Cash In

Structured Transactions: Eligible Investment Guidelines (The)" (December 2008)(: (2009 2 ) )

OUTDATED

METHODOLOGY



5.3

5.3.1

41

5.3.2

SF CDO 2SF CDO

SF CDO

SF CDOSF CDO

SF CDO

5.4

5.4.1

SF CDO

21 42

2 20%2

(i)1 (ii)1

5%) 20 (iii)

41 "Responses to Frequently Asked CDO Questions(Third of Series)" (March 2004) 8 42

OUTDATED

METHODOLOGY



5.4.2

SF CDO

SF CDO

SF CDO

WARF OC SF CDO WAL SF CDO 2

43

5.5 (EOD)

44

1

SF CDO

5.6

SF CDO 45

5.7

SF CDOISDA CSA

SF CDO

43 "CDO RatingFactors VOL. III No. 2 UPDATE: Post-Reinvestment Period Reinvesting in Actively-Managed CDOs"

(April 2006) 44 "UNDERSTANDING THE CONSEQUENCES OF ABS CDO EVENTS OF DEFAULT TRIGGERED BY LOSS OF

OVERCOLLATERALIZATION" (January 2008) 45

OUTDATED

METHODOLOGY



5.8 RAC

SF CDO RACRAC

6. SF CDO

6.1

6.1.1

SF CDO SF CDO

SF CDO SF CDO

46

SF CDO

47

SF CDO

SF CDO

ADV

48

6.1.2

SF CDO (CMA)CMA 3

»

»

»

CMA

46 "Moody's Approach: Preparing CDO Managers for Moody's Operations Reviews" (December 2002) 47 (RIA) RIA

1940 RIA

48 "CDO Rating Methodology: Moody's Deal Score" (February 2003) "Update to Moody's Deal Score Report" (July 2005)

OUTDATED

METHODOLOGY



49

CMA

CMA

6.2

SF CDOSF CDO

SF CDO

SF CDO:

»

»

» 50

»

»

»

»

6.3

1 SF CDO

(AUP)SF CDO

49 50

OUTDATED

METHODOLOGY



7.

SF CDO

SF CDO SF CDOSF CDO

SF CDO

»

SF CDO

(a)(b)

(c)

»

SF CDO

»

SF CDOSF CDO

OUTDATED

METHODOLOGY



1: SF CDO

ABS "Moody's Approach to Rating Multisector CDOs" (September 2000) CDO 2002 5 )

» 1= 1. 2. 3. 4.)

» 2= 1. 2. 3. A 4. B/C )

» 3= 1.CMBS 2.CMBS 3.CMBS4. ABS )

» 4= CDO

» 5= CDO

REIT 6 "Moody's Approach to Rating U.S. REIT CDOs" April 2010)

ABS

1 *

% (exc) % Aaa Aa A Baa Ba B

70.0% 100.0% 85.0% 80.0% 70.0% 60.0% 50.0% 40.0%

10.0% 70.0% 75.0% 70.0% 60.0% 50.0% 40.0% 30.0%

0.0% 10.0% 70.0% 65.0% 55.0% 45.0% 35.0% 25.0%

* 0% )

2 *


70.0% 100.0% 85.0% 80.0% 65.0% 55.0% 45.0% 30.0%

10.0% 70.0% 75.0% 70.0% 55.0% 45.0% 35.0% 25.0%

5.0% 10.0% 65.0% 55.0% 45.0% 40.0% 30.0% 20.0%

2.0% 5.0% 55.0% 45.0% 40.0% 35.0% 25.0% 15.0%

0.0% 2.0% 45.0% 35.0% 30.0% 25.0% 15.0% 10.0%

* 0% )

OUTDATED

METHODOLOGY



3 *


70.0% 100.0% 85.0% 80.0% 65.0% 55.0% 45.0% 30.0%

10.0% 70.0% 75.0% 70.0% 55.0% 45.0% 35.0% 25.0%

5.0% 10.0% 65.0% 55.0% 45.0% 35.0% 25.0% 15.0%

2.0% 5.0% 55.0% 45.0% 35.0% 30.0% 20.0% 10.0%

0.0% 2.0% 45.0% 35.0% 25.0% 20.0% 10.0% 5.0%

* 0% )

4 CDO*


70.0% 100.0% 80.0% 75.0% 60.0% 50.0% 45.0% 30.0%

10.0% 70.0% 70.0% 60.0% 55.0% 45.0% 35.0% 25.0%

5.0% 10.0% 60.0% 50.0% 45.0% 35.0% 25.0% 15.0%

2.0% 5.0% 50.0% 40.0% 35.0% 30.0% 20.0% 10.0%

0.0% 2.0% 30.0% 25.0% 20.0% 15.0% 7.0% 4.0%

* 0% )

5 CDO*


70.0% 100.0% 85.0% 80.0% 65.0% 55.0% 45.0% 30.0%

10.0% 70.0% 75.0% 70.0% 60.0% 50.0% 40.0% 25.0%

5.0% 10.0% 65.0% 55.0% 50.0% 40.0% 30.0% 20.0%

2.0% 5.0% 55.0% 45.0% 40.0% 35.0% 25.0% 10.0%

0.0% 2.0% 45.0% 35.0% 30.0% 25.0% 10.0% 5.0%

* 0% )

6 REIT

SU RR

+2 60.0%

+1 50.0%

0 45.0%

-1 40.0%

-2 30.0%

-3 15.0%

C Ca 25.0%

= × 1 × 70%

OUTDATED

METHODOLOGY



2: SF CDO

PAUG SF CDO

SF CDO 1-

3 25% 15%

6 75% 50%

1 95% 65%

2 100% 90%

1) *

» ABS**

» CBO/CLO

» CMBS

» ABS**

» ABS*

» ABS***

» ABS

» RMBS

» REIT

» ABS**

2) CDO

*

**

*** ABS ABS ABS ABS

OUTDATED

METHODOLOGY



3:

(DP)

Moody's US EMEA

Sector Code Sector Name Aaa non-Aaa Aaa non-Aaa

136 ABS - Consumer - Cons.ABS - Auto 6 2 6 2

137 ABS - Consumer - Cons.ABS - Credit Card and other Consumer Unsecured Loans 6 2 6 2

138 ABS - Consumer - Cons.ABS - Student Loans 6 2 6 2

139 ABS - Consumer - RMBS - Prime 12 4 6 2

140 ABS - Consumer - RMBS - Subprime 12 4 12 4

141 ABS - Consumer - RMBS - CDO of RMBS 12 4 12 4

142 ABS - Consumer - RMBS - Manufactured Housing 12 4 12 4

143 ABS - Consumer - Div.SF.CDO - CDO of SF - Diversified 12 4 12 4

152 ABS - Corporate - CRE - CMBS - Credit Tenant Lease 6 2 6 2

153 ABS - Corporate - CRE - CRE CDO 12 4 12 4

154 ABS - Corporate - CRE - CMBS - Diversified 6 2 6 2

155 ABS - Corporate - CRE - CMBS - Office 6 2 6 2

156 ABS - Corporate - CRE - CMBS - Retail 6 2 6 2

157 ABS - Corporate - CRE - CMBS - Hotel 6 2 6 2

158 ABS - Corporate - CRE - CMBS - Industrial 6 2 6 2

159 ABS - Corporate - CRE - CMBS - Nursing Home 6 2 6 2

160 ABS - Corporate - CRE - CMBS - Residential/Multi-Family 6 2 6 2

161 ABS - Corporate - CRE - CMBS - Warehouse / Self-storage 6 2 6 2

162 ABS - Corporate - CRE - CMBS - Healthcare 6 2 6 2

163 ABS - Corporate - Specific - Tax Lien 6 2 6 2

164 ABS - Corporate - Specific - Mutual Fund Fees 12 4 12 4

165 ABS - Corporate - Specific - Structured Settlement 6 2 6 2

166 ABS - Corporate - Specific - Utility Stranded Cost 6 2 6 2

167 ABS - Corporate - Specific - Big Ticket Lease 6 2 6 2

168 ABS - Corporate - Specific - IP (including Entertainment Royalties) 6 2 6 2

169 ABS - Corporate - Specific - Dealer's Floorplan 6 2 6 2

170 ABS - Corporate - Specific - Tobacco Bonds 6 2 6 2

171 ABS - Corporate - Corp.CDO - Market Value CDO & CDO^2 12 4 12 4

172 ABS - Corporate - Corp.CDO - CDO exposed to IG 12 4 12 4

173 ABS - Corporate - Corp.CDO - CDO exposed to HY 6 2 6 2

174 ABS - Corporate - Corp.CDO - CDO exposed to EM 6 2 6 2

175 ABS - Corporate - Corp.CDO - ABS or CDO exposed to SME risk 6 2 6 2

176 ABS - Corporate - Corp.CDO - CDO - Franchise Loans 12 4 12 4

OUTDATED

METHODOLOGY



4:

A. (ABS):

S&P S&PS&P BBB 1 Baa3

AAA AA- A+ BBB- BBB-

1 2 3

2 3 4

1 2 3

1 2 3

RV 1 2 3

1 2 3

1 3 4

1 2 3

1 2 3

1 2 3

1 2 3

1 2 4

1 1 2

1 2 3

1 2 3

1 2 4

1 2 3

1 2 3

1 2 3

1 2 3

1 2 3

2 3 4

OUTDATED

METHODOLOGY



B. (RMBS):

S&P

AAA AA+ BBB- BBB-

1 2 3

A 1 2 3

A 1 3 4

Fitch

AAA AA+ BBB- BBB-

A 1 2 4

A 1 3 5

FitchA A 2

2 1

C. (CMBS):

S&P Fitch

Fitch S&P Fitch S&P

1

# Fitch S&P 2

Fitch S&P 1.5*

# A40

* 1.5 S&P Fitch BBB Baa3 Ba1

S&P Fitch

A. (ABS)

S&P 2

AAA BBB- BBB-

1 2

1 2

1 2

* 1 2

1 2

1 2

1 2

OUTDATED

METHODOLOGY



* Baa3 S&P BBB A1

B. (RMBS)

S&P Fitch 2

AAA BBB- BBB-

1 2

RMBS

1) Fitch S&P AAA 1

2)

C. (CMBS)

S&P Fitch

Fitch S&P

A CMBS Fitch S&P 3

B CMBS

A CMBS B CMBS

B CMBS :

i)

ii) 5%

iii)

S&P

A. (ABS)

S&P

AAA A- BBB+

ABS 1 2

B. (RMBS)

S&P

AAA 2003 1 AAA 2003 1AA BBB- BBB-

RMBS 0 1 2

C. (CMBS)

S&P

AAA AAA

CMBS 1 2

OUTDATED

METHODOLOGY



S&P

AAA BBB- AAA BBB-

2 1

3 1

2 1

RMBS 2 1

CMBS 2 3

*

* ABS ABS 2

OUTDATED

METHODOLOGY

28 SEPTEMBER 2010

5:

0 1 2 3 4 5 6 7

1 1 Aaa 0.0000% 0.00003% 0.0001% 0.0004% 0.0010% 0.0016% 0.0022% 0.0

2 10 Aa1 0.0000% 0.00031% 0.0017% 0.0055% 0.0116% 0.0171% 0.0231% 0.0

3 20 Aa2 0.0000% 0.00075% 0.0044% 0.0143% 0.0259% 0.0374% 0.0490% 0.0

4 40 Aa3 0.0000% 0.00166% 0.0105% 0.0325% 0.0556% 0.0781% 0.1007% 0.1

5 70 A1 0.0000% 0.00320% 0.0204% 0.0644% 0.1040% 0.1436% 0.1815% 0.2

6 120 A2 0.0000% 0.00598% 0.0385% 0.1221% 0.1898% 0.2569% 0.3207% 0.3

7 180 A3 0.0000% 0.02137% 0.0825% 0.1980% 0.2970% 0.4015% 0.5005% 0.6

8 260 Baa1 0.0000% 0.04950% 0.1540% 0.3080% 0.4565% 0.6050% 0.7535% 0.9

9 360 Baa2 0.0000% 0.09350% 0.2585% 0.4565% 0.6600% 0.8690% 1.0835% 1.3

10 610 Baa3 0.0000% 0.23100% 0.5775% 0.9405% 1.3090% 1.6775% 2.0350% 2.3

11 940 Ba1 0.0000% 0.4785% 1.1110% 1.7215% 2.3100% 2.9040% 3.4375% 3.8

12 1350 Ba2 0.0000% 0.8580% 1.9085% 2.8490% 3.7400% 4.6255% 5.3735% 5.8

13 1766 Ba3 0.0000% 1.5455% 3.0305% 4.3285% 5.3845% 6.5230% 7.4195% 8.0

14 2220 B1 0.0000% 2.5740% 4.6090% 6.3690% 7.6175% 8.8660% 9.8395% 10.5

15 2720 B2 0.0000% 3.9380% 6.4185% 8.5525% 9.9715% 11.3905% 12.4575% 13.2

16 3490 B3 0.0000% 6.3910% 9.1355% 11.5665% 13.2220% 14.8775% 16.0600% 17.0

17 4770 Caa1 0.0000% 9.5599% 12.7788% 15.7512% 17.8634% 19.9726% 21.4317% 22.7

18 6500 Caa2 0.0000% 14.3000% 17.8750% 21.4500% 24.1340% 26.8125% 28.6000% 30.3

19 8070 Caa3 0.0000% 28.0446% 31.3548% 34.3475% 36.4331% 38.4017% 39.6611% 40.8

20 10000 Ca 0.0000% 55.0000% 55.0000% 55.0000% 55.0000% 55.0000% 55.0000% 55.0

21 10000 C 0.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0

OUTDATED

METHODOLOGY

29 SEPTEMBER 2010

6:

Moody's Sector Code Sector Name

Map to, for correlation

only

ABS Recovery

Cat. (Table 4c) Key Agent

Key Agent Penalty (same

broad cat)

Assume Managed

unless specified?

Co

Global Me

Consu

136 ABS - Consumer - Cons.ABS - Auto 136 1 Originator 15% FALSE 5.00

137 ABS - Consumer - Cons.ABS - Credit Card and other Consumer Unsecured Loans 137 1 Originator 15% FALSE

138 ABS - Consumer - Cons.ABS - Student Loans 138 1 Originator 15% FALSE

139 ABS - Consumer - RMBS - Prime 140 2 Originator 15% FALSE Sam

Coun

140 ABS - Consumer - RMBS - Subprime 140 2 Originator 15% FALSE from above 10.0

141 ABS - Consumer - RMBS - CDO of RMBS 140 4 Arranger 15% FALSE 3.00%

142 ABS - Consumer - RMBS - Manufactured Housing 140 2 Originator 15% FALSE

143 ABS - Consumer - Div.SF.CDO - CDO of SF - Diversified 143 5

Manager/Arranger if

static 20% TRUE

144 ABS - Corporate - CRE - REIT - Hotel 144 6 NA 0% FALSE

145 ABS - Corporate - CRE - REIT - Multi family 145 6 NA 0% FALSE

146 ABS - Corporate - CRE - REIT - Office 146 6 NA 0% FALSE

147 ABS - Corporate - CRE - REIT - Retail 147 6 NA 0% FALSE

148 ABS - Corporate - CRE - REIT - Industrial 148 6 NA 0% FALSE

149 ABS - Corporate - CRE - REIT - Healthcare 149 6 NA 0% FALSE

150 ABS - Corporate - CRE - REIT - Self-storage 150 6 NA 0% FALSE

151 ABS - Corporate - CRE - REIT - Diversified 151 6 NA 0% FALSE

152 ABS - Corporate - CRE - CMBS - Credit Tenant Lease 152 3 NA 0% FALSE

OUTDATED

METHODOLOGY

30 SEPTEMBER 2010



only

ABS Recovery



broad cat)

Assume Managed

unless specified?

Co

Global Me

Consu

153 ABS - Corporate - CRE - CRE CDO 153 3

Manager/Arranger if

static 20% FALSE Corpo

Rela

154 ABS - Corporate - CRE - CMBS - Diversified 154 3 NA 0% FALSE 5.00

155 ABS - Corporate - CRE - CMBS - Office 155 3 NA 0% FALSE

156 ABS - Corporate - CRE - CMBS - Retail 156 3 NA 0% FALSE Sam

Coun

157 ABS - Corporate - CRE - CMBS - Hotel 157 3 NA 0% FALSE 0.00

158 ABS - Corporate - CRE - CMBS - Industrial 158 3 NA 0% FALSE

159 ABS - Corporate - CRE - CMBS - Nursing Home 159 3 NA 0% FALSE

160 ABS - Corporate - CRE - CMBS - Residential/Multi-Family 160 3 NA 0% FALSE

161 ABS - Corporate - CRE - CMBS - Warehouse / Self-storage 161 3 NA 0% FALSE

162 ABS - Corporate - CRE - CMBS - Healthcare 162 3 NA 0% FALSE

163 ABS - Corporate - Specific - Tax Lien 163 3 Servicer 20% FALSE

164 ABS - Corporate - Specific - Mutual Fund Fees 164 3 Manager 20% FALSE Same region add-

on

165 ABS - Corporate - Specific - Structured Settlement

165 3 Servicer 20% FALSE (regardless of sector)

166 ABS - Corporate - Specific - Utility Stranded Cost

166 3 NA 0% FALSE 5.00%

167 ABS - Corporate - Specific - Big Ticket Lease 167 3 Servicer 20% FALSE (halved for Global vs.

168 ABS - Corporate - Specific - IP (including Entertainment Royalties)

168 3 Originator 20% FALSE non-Global exposure)

169 ABS - Corporate - Specific - Dealer's Floorplan 169 3 Seller 20% FALSE

170 ABS - Corporate - Specific - Tobacco Bonds 170 3 NA 0% FALSE

OUTDATED

METHODOLOGY

31 SEPTEMBER 2010



only

ABS Recovery



broad cat)

Assume Managed

unless specified?

Co

Global Me

Consu

171 ABS - Corporate - Corp.CDO - Market Value CDO & CDO^2

171 4 NA (but check

Manager)

0% TRUE

172 ABS - Corporate - Corp.CDO - CDO exposed to IG

172 5 Manager/Arranger if

static

20% TRUE

173 ABS - Corporate - Corp.CDO - CDO exposed to HY


static

20% TRUE

174 ABS - Corporate - Corp.CDO - CDO exposed to EM


static

20% TRUE

175 ABS - Corporate - Corp.CDO - ABS or CDO exposured to SME risk

175 5 Manager / Originator

20% TRUE

176 ABS - Corporate - Corp.CDO - CDO - Franchise Loans

176 4 Originator 20% TRUE

OUTDATED

METHODOLOGY


32 SEPTEMBER 2010

)

ABS

2

25.00%

16.67%

ABS

Aaa - Aa 100.00%

A 93.33%

Baa - Ca 86.67%

Same Same Same

Meta Sector Broad Sector Narrow Sector Real-Estate

GlobalGlobal 2% 3% 0% 0%Same Region 0% 0% 5% 5%Same Country 0% 5% 5% 5%

Global 0% 0% 5%Same Region Consumer 0% 0% 0%Same Country 5% 5% 5%

Global 0% 0%Same Region 0% 0% Real-EstateSame Country 5% 5%

Global 3% 0% 0%Same Region 0% 5% 5%Same Country 0% 5% 0%

Global Corporate 0% 0%Same Region 10% 5%Same Country 5% 5%

Global 0% 0%Same Region 10% 5%Same Country 5% 5%

Div.SF.CDO

CRE

Corp.CDO

Specific

Cons.ABS

RMBS

OUTDATED

METHODOLOGY



OU

Report Number: SF394 (Japanese)

SF157850(English)

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rating methodology sf cdo fû pfég gng gug1g · pdf fileoutdated methodology...

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