Structured Finance & Securitisation Ratings
Sector Head: Emma-Jane Fulcher
T: +27 11 784 1771
M: +27 79 793 0428
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GCR’s structured finance sector covers a wide variety of structured transactions. Examples are all forms of securitisations, credit linked securities, structured preference shares or other securities, structured bond funds and other cashflow driven transactions (e.g. project finance). Our structured finance rating approach is described in publicly available rating criteria reports:
Please click here for a Glossary of Terms
Global Master Structured Finance Rating Criteria, updated February 2017
Global Credit Ratings’ Global Master Structured Finance Rating Criteria (the “Criteria”) lays down the fundamental considerations for any Structured Finance transaction rated by GCR. Structured Finance transactions include all forms of asset backed securities, for example amongst others, transactions backed by residential and commercial mortgage loans, car loans, personal loans, consumer loans, equipment leases and structured credit. The Criteria is complemented by asset class specific criteria published by GCR, to be updated over time. The asset class specific criteria disclose any additional observations to or deviations from the Criteria.
Global Consumer Asset Backed Securitisation (ABS) Rating Criteria, updated May 2016
GCR’s Global Consumer ABS Rating Criteria (the “Criteria”) applies to Asset Backed Securitisation (“ABS”) transactions that benefit from a diversified portfolio with a large number of underlying obligors. The Criteria applies to a wide variety of asset classes with fixed repayment profiles such as car loans, equipment leases and personal loans.
Global Trade Receivables Securitisation Rating Criteria, updated May 2016
This Criteria (the “Criteria”) details GCR’s approach to rating trade receivables-backed securitisations. Each trade receivables securitisation is unique and the methodology may require certain adjustments depending on the specifics of each transaction, however, the following general approach can be used as a guideline for all trade receivables transactions. GCR considers both qualitative and quantitative factors in its approach. In addition to the review of the originator/servicer and underlying collateral/obligor characteristics, GCR analyses the legal and structural issues as well as the operational capabilities of all key transaction parties in determining the appropriateness of credit enhancement provided before according a rating to a trade receivables transaction.
Global Summary Structurally Enhanced Corporate Bonds Rating Criteria, updated September 2016
GCR’s Global Structurally Enhanced Corporate Bonds Rating Criteria applies to senior secured securities issued by corporates that benefit from certain structural enhancements. These enhancements can, for example, take the form of cash reserves, guarantees or transaction specific security packages. This rating criteria report lays down the fundamentals for structurally enhanced senior secured corporate bond issues that are not covered by other specific GCR rating criteria reports. Each transaction will be accompanied with a transaction specific report that will disclose any additional observations or deviations to the Criteria. This report should be read in conjunction with the Global Corporate Rating Criteria.
Global Residential Mortgage Backed Securities (RMBS) Rating Criteria, updated May 2016
GCR’s Global Residential Mortgage Backed Securities (“RMBS”) Rating Criteria (the “Criteria”) aims to summarise how GCR assesses credit risks within RMBS transactions globally (excluding the USA). The approach looks to analyse the risk of the underlying collateral on a loan by loan basis, the transaction structure, operational risk and counterparty
risk, amongst others.
Global Commercial Mortgage Backed (CMBS) Rating Criteria, updated May 2016
Global Credit Rating Co.’s (“GCR”) Global Commercial Mortgage Backed Securities (“CMBS”) Rating Criteria (the “Criteria”) aims to summarise how GCR assesses credit risks within CMBS transactions globally (excluding the USA). The approach looks to analyse the risk of the underlying collateral on a loan by loan basis, the transaction structure, operational risk and counterparty risk, amongst others.
Global Asset Backed Commercial Paper (ABCP) Rating Criteria, updated September 2016
Global Credit Rating Co.’s (“GCR”) Global Asset Backed Commercial Paper (“ABCP”) Criteria (the “Criteria”) lays down the fundamental considerations for any ABCP transaction rated by GCR. There are a number of different types of ABCP programme structures and support mechanisms, which are detailed in this Criteria. An ABCP is rated by analysing (i) the conduit and transaction structure, (ii) the capabilities of the sponsor and administrator as well as an analysis of the sponsor’s investment guidelines and (iii) an analysis of the underlying collateral. ABCP programmes are accorded a short term rating, which reflects the short term exposure to default of the rated entity and its capacity to meet its financial obligations within a 12 month period. ABCP is short term debt, issued on a discount or interest-bearing basis, with a maturity not exceeding 364 days. ABCP ratings accorded by GCR are in respect of timely repayment of both principal and interest.
Global Master Structured Finance Servicer Rating Criteria, updated February 2017
GCR’s servicer (“servicer quality” or “SQ”) ratings assess a servicer’s structure and management strength, financial profile, systems, controls and reporting capabilities, and its loan/debtor administration and/or collection abilities, in order to determine the quality of the servicing functions performed. GCR may require an originator or servicer to be rated as part of a structured finance transaction. This is of particular relevance in transactions where the underlying collateral is extremely granular. Preferably, this should be a GCR rating, to enhance GCR’s understanding of the capabilities and financial condition of the company performing the servicer function. However, ratings from a recognised rating agency (per rating agency regulations in each jurisdiction) can also be relied upon. This report details GCR’s approach to awarding servicer quality ratings to servicers which are primarily supporting structured finance transactions. However, servicer quality ratings are also of relevance where companies provide servicing for bought-in or third party portfolios, in the absence of a related structured finance transaction.
Global Credit-Linked Note and Repackaging Vehicle Rating Criteria, updated May 2016
Global Credit Rating Co.’s (“GCR”) Global Summary Credit-Linked Note (“CLN”) and Repackaging Vehicle (“Repack”) Rating Criteria (the “Criteria”) apply to notes issued, mainly by corporates or financial institutions, that rely upon the performance of one or more underlying counterparties (the “Reference Entity or Reference Entities”). The main feature of these notes is the absence of credit enhancement, where a failure by any of the Reference Entities to perform its obligations under a transaction can result in a default of the notes. This Criteria should be read in conjunction with GCR’s published ‘Global Master Structured Finance Rating Criteria, updated February 2015’. The Criteria does not apply to senior secured securities issued by corporates that benefit from certain structural enhancements i.e. Structured Bonds, where GCR’s ‘Global Structurally Enhanced Corporate Bonds Ratings Criteria, updated October 2014’, applies.
Collateralised Loan Obligation (‘CLO’) Rating Criteria, updated September 2016
GCR’s Collateralised Loan Obligation (‘CLO’) Rating Criteria (the ‘Criteria’) applies to managed transactions comprising granular and diverse pools of assets, typically loan obligations, from small and medium sized enterprises (‘SMEs’). The definition of SMEs can vary per jurisdiction but in line with the European Union definition, the definition of an SME may also include self-employed individuals, including artisans, sole traders and entrepreneurs, as well as small, medium sized enterprises and micro business. GCR will consider these types of entities as SMEs within its rating analysis.
Project Finance Rating Criteria, updated September 2016
GCR’s Project Finance Rating Criteria (the “Criteria”) applies to the long-term financing of assets that are for a single-purpose, and are structured so that they are non-recourse to the project owner or any other party. Typically, project finance assets may include; power generation and distribution, water and fuel pipeline, transportation projects and various other infrastructure. Project finance assets are assets that can produce relatively stable and predictable cash flows.
Articles of Interest
GCR provides Highlights from Global ABS View