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1、CHAPTER THIRTY-FIVERATING AGENCY APPROACH TO STRUCTURED FINANCEHEDIKATZ Managing Director FitchRatingsThere are four major areas of focus in rating a structured-finance securitiza- tion. These are (1) collateral analysis, where the credit of the underlyingassets is evaluated, (2) financial analysis
2、of the structure, which may includecash-flow modeling, (3) legal review of the structure and documentation, and (4) review of the respective parties such as the seller/servicer. These four areas of focus are presented and explained in a committee forum by the primary analyst. All rating decisions, i
3、ncluding rating actions on existing transactions, are made via an internal committee process. This chapter will describe the committee process and address each of the four major areas of focus in turn.CREDIT COMMITTEE PROCESSMost transactions are rated by an analytical team consisting of a primary a
4、nd a secondary analyst. The primary analyst, most often the senior of the two, is responsible for managing the rating process, including meeting the appropriate timeline for rating the particular transaction. The secondary analyst works with the primary analyst to analyze the collateral and structur
5、e of the transaction. The team formulates a rating recommendation and prepares supporting docu- mentation for presentation to a credit rating committee. A minimum quorum is necessary for a committee to make a rating decision. The quorum usually con- sists of the primary analyst, the secondary analys
6、t, two senior directors, and analysts from other groups as needed.Most structured finance rating committees contain at least the following information: Proposed deal structure and comparison structures of issuers prior securitizations, as well as peer group comparisons827Copyright 2005, 2001, 1997,
7、1995, 1991, 1987, 1983 by The McGraw-Hill Companies, Inc. Click here for terms of use. Collateral stratifications provided by banker/issuer Underwriting guidelines (if applicable) Originator and/or servicer reviews or ratings Collateral pool analysis and comparison pool analysis of issuers prior sec
8、uritizations, as well as peer group comparisons Performance of prior securitizations Default and recovery assumptions Cash-flow results, including prepayment, interest rate, and/or currency stresses or hedge termsThe rationale behind the recommended rating will be discussed, including any positive c
9、redit characteristics and analystsconcerns. The credit rating commit-tee then will officially determine the rating. The credit rating committee considers all the relevant quantitative and qualitative issues to arrive at the appropriate ratingthat reflects both the current information and the prospec
10、tive performance. If there are no unresolved issues, a rating is assigned. If there are unresolved issues, the committee meeting may be suspended until the issues are resolved and a rating can be determined subsequently.COLLATERAL ANALYSISAssets that have been securitized include but are not limited
11、 to residential and commercial mortgage loans, credit card receivables, auto loans, future trade receivables, and other securities such as corporate bonds. Each of these asset types has its own unique characteristics and performance drivers. The major drivers of virtually all asset performance are d
12、efaults, whether they be bor- rower defaults (such as mortgage loans) or corporate defaults (such as bonds) and recovery values should the asset default. The primary objective of collat- eral analysis is to answer the question, “What is the probability of default, and if the asset defaults, how much
13、 will be recovered?” In the ideal situation, this question should be asked and answered for each asset in a portfolio of assets to be securitized.Default and recovery drivers are relatively asset-specific. For example, default drivers for a residential mortgage loan include the ratio of the amount o
14、f the loan to the value of the home, or “LTV,” and the borrowers credit his- tory, job stability, and regional economics. Recovery drivers of a residential mortgage loan include the value of the home at the time of default, as well as the time and expense associated with the foreclosure and sale pro
15、cess. Examples of default and recovery drivers for three other types of assets (com- mercial mortgage-backed securites, auto loan ABS, and credit card ABS) are listed in Exhibit 351.828PART 4Credit Analysis and Credit Risk ModelingCHAPTER 35Rating Agency Approach to Structured Finance829E X H I B I
16、T351Examples of Default and Recovery Drivers for Securities Backed by Commercial Mortgage Loans, Auto Loans, and Credit Card ReceivablesFor the commercial mortgage loans backing CMBS: Lease terms Property income verifications Credit approvals Principal/borrower reviews Expense reimbursements Regional vacancy rate assumptions Management fees Historical expenses Insurance Taxes Utilities Maintenance costs Capital expenditures Debt service on mortgage
