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ARCHIVE | Criteria | Structured Finance | CDOs: 'AAAt' Swaps Approved In Structured Finance Transactions Jan 99
Standard & Poors, Jan 1999
Abstract
Editor's note: This criteria is no longer current. It has been superseded by the criteria article titled 'Counterparty And Supporting Obligations Methodology And Assumptions,' published on Dec. 2, 2010. As a result of the growing and increasingly liquid market for swaps, Standard & Poor's will rate structured finance transactions with swaps from 'AAAt' rated derivative product companies. The derivative product company will have to post additional collateral with the trustee to ensure sufficient funds are available to replace the swap during market swings. Terminating derivative product companies are rated based on their ability to pay the mark to market at termination. Structured financings, however, need additional protection against movement in swap values between termination and replacement. Volatility buffers for 'AAA'...
Companies mentioned in this report are: Australia (Commonwealth of) (Unsolicited Ratings),Canada,New Zealand,Sweden (Kingdom of),Japan (Unsolicited Ratings),Spain (Kingdom of),Italy (Republic of) (Unsolicited Ratings),Hongkong Electric Co. Ltd.
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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