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ARCHIVE | Criteria | Structured Finance | ABCP: Credit Enhancement Levels Established For U.S. ABCP Eligible Bank Liquidity Sep 05
Standard & Poors, Sep 2005
Abstract
Standard & Poor's Ratings Services has developed credit enhancement benchmarks for ABCP conduits that finance rated securities backed by eligible liquidity facilities. This criteria is consistent with the amount of additional risk introduced to CP investors if liquidity agreements are entered into, or amended to restrict an ABCP issuer's ability to draw on the liquidity facilities to fund against non-investment-grade rated securities in order to minimize the regulatory capital charge proposed under the FIN 46-R related regulatory capital relief 'Final Rule' (please see related article entitled 'U.S. ABCP Credit Enhancement To Increase With Final Rule Compliance, Will Reflect Historical Rating Behavior,' published July 13, 2005). These new credit enhancement levels extend Standard & Poor's existing criteria for securities arbitrage programs....
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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