Adds (sf) Indicator to Ratings
New York, June 28, 2012 -- Moody's Investors Service today has updated its definition of the types
of securities it considers "structured finance instruments."
As a result, it will apply the (sf) indicator to credit ratings
it assigns to certain derivative product companies, structured covered
bonds, and insurance-linked notes. A list of the securities
and issuers today's update affects appears at the end of this release.
The original list of securities Moody's considers structured finance
instruments appeared in its 14 July 2010 press release on its structured
finance ratings indicator. Subsequent updates appeared in Moody's
28 December 2010 press release on the list of ratings receiving the (sf)
indicator and the 23 September 2011 press release updating the determination
of types of securities constituting structured finance instruments.
Today's update follows the adoption of regulatory technical standards
by the European Securities and Markets Authority. The full name
of the regulation is "COMMISSION_ DELEGATED REGULATION_ (EU) of 21.3.2012
supplementing Regulation (EC) _No 1060/2009 of the European Parliament
and of the Council with regard to regulatory technical standards on the
content and format of ratings data periodic reporting to be submitted
to the European Securities and Markets Authority by credit rating agencies."
Derivative Product Companies
Moody's will apply the (sf) indicator to some but not all counterparty
ratings of derivative product companies (DPCs). DPCs are wholly
owned operating company subsidiaries of financial institutions.
Their primary function is to trade interest rate and currency swaps with
non-affiliated counterparties. The list of structured finance
instruments will continue to exclude DPCs whose counterparty ratings rely
exclusively on the credit support of non-(sf) entities.
Credit Derivative Product Companies
Moody's counterparty ratings of credit derivative product companies
(CDPCs) will include the (sf) indicator. CDPCs are a type of operating
company whose sole business consists of selling credit protection for
corporate entities through credit default swaps. Moody's
treats CDPCs as "derivative product companies" as referred
to in regulations.
Structured Covered Bonds
Moody's ratings of structured covered bonds will include the (sf)
indicator. Structured covered bonds are covered bonds that are
not enabled by a specific legal framework and have one or both of the
following characteristics:
1) at issuance, payments depend primarily on the performance of
the assets in the cover pool
2) the programme that issues the bonds issues more than one class of debt.
Insurance-linked Notes
Moody's ratings of credit-linked notes will include the (sf)
indicator. Insurance-linked notes are fixed income securities
that
1) a special purpose vehicle, or special purpose reinsurer or entity
related to the special purpose reinsurer, issues
2) are part of a transaction whose main purpose is to transfer to investors
the risk of losses associated with a clearly defined set of insurance
exposures
3) are part of a transaction for which the lifespan of the issuer aligns
with the tenor of the issued securities
Regulations of the EU and the US rely on definitions of structured finance.
To satisfy both EU and US regulations, in assigning ratings,
Moody's relies on a single definition of a structured finance instrument,
reflecting its interpretation of
1) the definition of "structured finance instrument" in the EU regulation
2) the description of "structured finance product" in sections (a)(3)
and (b)(9) of the Securities and Exchange Commission's Rule 17g-5
(Amended Rule) as applicable under the Securities and Exchange Act of
1934
3) similar concepts in other legislation and international principles
such as Basel II
4) market practices for instruments that were difficult to categorize
Moody's decision to apply the (sf) indicator to new financial products
will remain dynamic and subject to feedback from market participants including
regulators.
Securities and Issuers Affected
Moody's is adding the (sf) indicator to its counterparty ratings
of the following DPCs and CDPCs:
Athilon Capital Corp.
Athilon Asset Acceptance Corp.
Channel Capital Plc
Citi Swapco Inc.
Koch Financial Products, LLC
Merrill Lynch Derivative Products AG
Morgan Stanley Derivative Products Inc.
Nomura Derivative Products Inc.
SMBC Derivative Products Limited
Theta Corporation
Moody's is adding the (sf) indicator to its ratings of the following
structured covered bonds:
Programa Cédulas TDA, Fondo de Titulización de Activos
- Series A1
Programa Cédulas TDA, Fondo de Titulización de Activos
- Series A3
Programa Cédulas TDA, Fondo de Titulización de Activos
- Series A4
Programa Cédulas TDA, Fondo de Titulización de Activos
- Series A5
Programa Cédulas TDA, Fondo de Titulización de Activos
- Series A6
CÉDULAS TDA 2, FTA
CÉDULAS TDA 3, FTA
CÉDULAS TDA 5, FTA
CÉDULAS TDA 6, FTA
CÉDULAS TDA 7, FTA
CÉDULAS TDA 17, FTA
CÉDULAS TDA 20, FTA - Serie A1
CÉDULAS TDA 20, FTA - Serie A2
CÉDULAS TDA 21, FTA
IM CÉDULAS 1 GBP, FTA
IM CÉDULAS 2, FTA
IM CÉDULAS 4, FTA
IM CÉDULAS M1, FTA
IM CÉDULAS 7, FTA
IM CÉDULAS 9, FTA
IM CÉDULAS 10, FTA
CÉDULAS GBP 3, FTA
IM Cédulas 14, FTA
IM Cédulas 15, FTA
CÉDULAS GBP 5, FTA
AyT Cedulas Cajas III, FTA
AyT Cedulas Cajas IV, FTA
AyT Cedulas Cajas V, FTA - Series A
AyT Cedulas Cajas V, FTA - Series B
AyT Cedulas Cajas VI, FTA - Series A
AyT Cedulas Cajas VI, FTA - Series B
AyT Cedulas Cajas VIII, FTA - Series A
AyT Cedulas Cajas VIII, FTA - Series B
AyT Cedulas Cajas IX, FTA - Series A
AyT Cedulas Cajas IX, FTA - Series B
AyT Cedulas Cajas X, FTA - Series A
AyT Cedulas Cajas X, FTA - Series B
AyT Cedulas Cajas XI, FTA
AyT Cédulas Cajas Global, FTA - Series I
AyT Cédulas Cajas Global, FTA - Series II
AyT Cédulas Cajas Global, FTA - Series III
AyT Cédulas Cajas Global, FTA - Series IV
AyT Cédulas Cajas Global, FTA - Series VI
AyT Cédulas Cajas Global, FTA - Series VII
AyT Cédulas Cajas Global, FTA - Series VIII
AyT Cédulas Cajas Global, FTA - Serie IX
AyT Cédulas Cajas Global, FTA - Series X
AyT Cédulas Cajas Global, FTA - Series XI
AyT Cédulas Cajas Global, FTA - Series XII
AyT Cédulas Cajas Global, FTA - Series XIII
AyT Cédulas Cajas Global, FTA - Series XIV
AyT Cédulas Cajas Global, FTA - Series XVI
AyT Cédulas Cajas Global, FTA - Series XIX
AyT Cédulas Cajas Global, FTA - Series XX
AyT Cédulas Cajas Global, FTA - Series XXIV
AyT Cédulas Cajas Global, FTA - Series XXV
AyT Cédulas Cajas Global, FTA - Series XXVI
AyT.10 Financiación Inversiones, FTA
AyT Prestige Cajas de Ahorros, FTA
AyT Financiación Inversiones II, FTA
AyT Financiación Inversiones III, FTA
PROGRAMA PITCH, FTA
RURAL CÉDULA I, FTA
Moody's is adding the (sf) indicator to its ratings of the following
insurance-linked notes:
LIICA Holdings, LLC
Shenandoah Trust Capital I
Northwind Holdings, LLC
Tailwind Holdings, LLC
Maria Leibholz
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Algis Remeza
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Updates Definition of Securities Constituting SF Instruments