We are improving users’ ability to search our free public website for S&P criteria documents. This enhancement will be available by mid-year 2008.
Include “what if” scenario analysis in rating reports to explain key rating assumptions and the potential impact of positive or negative events on the rating. »Progress
We are developing a framework for including “what if” scenario analysis in all of our initial ratings reports. We anticipate including this information in all CMBS, CLO, U.S. RMBS, and U.S. Auto Loan reports by year-end.
Improve the quality and integrity of information by working with market participants to improve disclosure of information on collateral underlying structured securities. In addition, implement procedures to collect more information about the processes used by issuers and originators to assess the accuracy and integrity of their data and their fraud detection measures so that we can better understand their data quality capabilities. »Progress
- On transactions closing after May 1, 2008, we are requesting updated loan level performance data from issuers on a monthly basis, consistent with data customarily sent to Trustees and third party data vendors in the U.S. RMBS market.
- We are in the process of revamping criteria for assigning overall mortgage originator rankings based on operational process and procedures. New criteria will be established by mid-year 2008.
- We are evaluating various fraud tools and detection policies used by originators for improved data integrity and will be incorporating these evaluations in the criteria to be established by mid-year 2008.
- We continue to identify other actions and will notify the market as they are implemented.
More broadly disseminate long- and short-term rating performance data. »Progress
We have broadened distribution of this data to include regulators, legislators and other market participants.
For example, we have produced a multimedia videocast, discussing the key highlights of S&P’s most recent annual corporate default and transition study. The videocast and study were distributed free of charge on March 31 to roughly 30,000 institutional investors and other market participants.
Better explain the comparability of ratings across asset classes/issuer types (structured vs. corporate vs. government). »Progress
Our goal is to continue to provide credit ratings that are reasonably comparable measures of creditworthiness across all major sectors and their sub-sectors. S&P uses the same rating scale across the structured finance, corporate and government sectors, including public finance to express our rating opinions. We will continue to publish data and articles on the subject of ratings comparability.
- Standard & Poor's Reaffirms Its Commitment To The Goal Of Comparable Ratings Across Sectors And Outlines Related Actions
Make available a Landmark Deal Report which summarizes new structures and major issues, and distribute the report widely to investors, intermediaries, issuers, regulators and media. »Progress
By mid-year 2008, we will publish new, key data items about the portfolio of every ABCP conduit and SIV we agree to rate. This increased disclosure will provide investors additional insight into the investments and risks of these entities and a better understanding of what assets underlie their investments. This will include asset metrics such as sector concentrations, key ratings dependencies such as credit support and liquidity providers, and liability metrics with regard to outstanding liabilities of the issuer.
- Credit FAQ: Increasing Transparency In Asset-Backed Commercial Paper Conduits
Develop an early warning indicator to investors that a key credit quality attribute (e.g. delinquencies; losses) of an issue or issuer differs from our expectations and has or may trigger a full review by S&P surveillance. »Progress
We have introduced new early warning indicators.
- We are publishing Synthetic Rating Over-Collateralization (SROC) monthly for all synthetic collateralized debt obligations. SROC is a key indicator of potential rating change.
- We have launched the Ratings Review Triggers product for European RMBS.
We will continue to look for additional methods of improving transparency and update the market on our actions.
Develop an identifier to the ratings of securitizations that will highlight to the market that: (a) the rating is on a securitization, and (b) the rating is on a new type of rating structure or securitization. »Progress
We have developed a proposal for the identification of securitized ratings. We will publish a request for comment by mid-year asking for feedback. An update on next steps will be provided by Q3 2008. View our request for comment issued May 29, 2008: click here