rating methodology sf cdo fû pfég gng gug1g · pdf fileoutdated methodology...
TRANSCRIPT
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE SEPTEMBER 2010
SEPTEMBER 30,2010
:
1. 1
2. SF CDO 2
3. SF CDO
4
4. 12
5.
14
6. SF CDO
17
7. 19
1: SF CDO
20
2:
SF CDO 22
3: 23
4:
24
5:
28
6: 29
:
03-5408-4100
03-5408-4152 SVP- [email protected]
SF CDO
Moody’s Approach to Rating SF CDOs
1.
CDO(SF CDO)1
SF CDORMBS SF CDO
SF CDO
SF CDOCDO
2007 (RMBS)
1 SF CDO ABS CDO
RATING METHODOLOGY
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
2 SEPTEMBER 2010 :SF CDO
2. SF CDO
2.1.
SF CDO SF CDO SF CDOSF CDO 3
1
1 SF CDO
SPV(CDS)
CDS 2a )2b
2a SF CDO
SPV ABS1ABS2
ABSn
CDO
ABC
CDO CDS
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
3 SEPTEMBER 2010 :SF CDO
2b SF CDO
3 2
3 SF CDO
3 (SPV) ABSCDS CDS
SPV
CDS
2 SF CDO
50%
SPV CDS
CDO
AB
SPV
CDS
CDO
ABC
ABS1ABS2
ABSn
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
4 SEPTEMBER 2010 :SF CDO
2.2.
SF CDO
SF CDO CDO 3
SF CDO CDOROMTM
CDOROM 3.4.1
CDOROM
SF CDO SF CDO
SF CDO
CDO
3. SF CDO
3.1
SF CDO CDO (Expected Loss, "EL"EL EL
3.2.
3.2.1
3.2.1.1.
CDO SF CDO
1
1A2 3% CMBS 35%
A2 CMBS
3
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
5 SEPTEMBER 2010 :SF CDO
33% 1CDOROM 4
3.2.1.2 SF CDO
CDS5 2
6
3.2.1.3
3.2.1.4
CDOROM 7
3.2.2.
10%1 2
3.2.2.1
3.2.2.4
RMBS CMBS ABS SF CDO
SF CDO 8
4 "CDOROM v.2.5 User Guide" (February 2009)
5 "Moody's Approach to Rating Synthetic Re-securitizations" (October 2003)(
CDO (2004 7 ) ) (PAUG)SF CDO
6
7 "CDOROM v2.5 User Guide" (February 2009) 8 3.2.2.1
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
6 SEPTEMBER 2010 :SF CDO
3.2.2.2
(1) = × (1 ) = /(1 )
EL= WAL))
DP= WAL
RR=
5EL9
3.2.2.3
SF CDO10
SF CDO11
SF CDO
SF CDO
420%
3.2.2.4
12
2 13
EL (1) EL1
Aaa1
3.2.2.5 :
SF CDOSF CDO
SF CDO SF CDO
9 ( )
10 "How Moody's Deals With Non-Moody's-Rated Collateral Instruments Within Moody's-Rated CDOs" (December 2003)
11
( )CDOSF CDO CDO
12 "Structured Finance Watchlist Resolutions: 1992-2003" (June 2004) 13 "CDO RatingFactors VOL. II No. 3 Notching Watchlisted Structured Finance Securities in CDOs" (March 2005)
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
7 SEPTEMBER 2010 :SF CDO
SF CDO2 3
1 RMBS EMEA RMBSABS ABS ABS SF CDO
CDO Aaa4 Aaa 12
2 ABS RMBSEMEA RMBS CMBS CLO
2 Aaa 2Aaa 6 2
REIT REIT30% 14
3.2.3
15
SF CDO
6
16
2007
22
17
18
CMBS RMBS ABS
2006 2007 RMBSAaa
CMBS CLO 2 CMBSCLO
14 "Moody's updates key assumptions for rating corporate synthetic CDOs" (January 2009)(
CDO (2009 1 ) ) 15 Robert C. Merton
16 6
17 "Moody's updates its key assumptions for rating structured finance CDOs" (December 2008)(
CDO (2008 12 ) ) 18
(2 RMBS )
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
8 SEPTEMBER 2010 :SF CDO
19
»
» A RMBS 1 RMBS
» SF CDO 1 2
»
»
»
»
6 2 3
3.3 EL
3.3.1
SF CDO2 1)
2)
EL
EL
3.3.2
SF CDO SF CDO:
» SF CDO:20 SF CDO
CDOROM 21
» SF CDO: SF CDO
CDOROM
» SF CDO: SF CDO(Correlated Binomial Expansion Technique, "CBET"
22
SF CDOCBET CDOROM
SF CDO
19 "Moody's updates its key assumptions for rating structured finance CDOs" (December 2008)(
CDO (2008 12 ) ) 20 CDS 21 "CDOROM v2.5 User Guide" (February 2009) 22 "Moody's Correlated Binomial Default Distribution" (August 2004)
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
9 SEPTEMBER 2010 :SF CDO
3.3.3
3.3.3.1 CDO CDOROM
CDOROM SF CDO23
3.2.1
3.2.2.1
3.2.3
24
3.3.4
3.3.4.1 CDO
EL
(2) =
Pj=CBET j
Lj= j
(3) = max 0,
(3) Present Value, "PV"Libor Libor
25
23 "CDOROM v2.5 User Guide"
(February 2009) 24 ( ) "CDOROM v2.5 User Guide" (February
2009) 25 "Using the
Structured Note Methodology to Rate CDO Combo-Notes" (February 2004)
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
10 SEPTEMBER 2010 :SF CDO
3.3.4.2 CDO
SF CDO100%
CDOROM 26
CDOROM(2)
(4) = 1
SF CDO CDOROM
(5) = max 0,
CDOROM SF CDO
60%SF CDO EL CDOROM
SF CDO 3.3.4.1
ELEL
EL 99%
27
3.3.5
ELSF CDO
EL EL5 WAL
ELEL 5
Aa1 Aa2 Aa2
SF CDO CDOROMSF CDO EL
(MM)28
3.3.6 SF CDO
MM 5.0 A1 ELMM 6.0 A2
26 "CDOROM v2.5 User Guide" (February 2009) CDOROM
27 "CDOROM v2.5 User Guide" (February 2009) 28 "Moody's Metric and Its Uses" (June 2006) "Managed Synthetic CDOs: Moody's CDOROMTM Guidelines" (August
2005)( CDO: CDOROMTM (2006 5 ) )
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
11 SEPTEMBER 2010 :SF CDO
SF CDO
3
3.3.7
SF CDO (Event of Default)
SF CDO5.5
3.4
3.4.1 CDOROM
EL EL(MM)
MM ELEL
SF CDO CDOROMCDOROM
CDOROM29
CDOROM
29 "Managed Synthetic CDOs: Moody's CDOROMTM Guidelines" (August 2005)(
CDO: CDOROMTM (2006 5 ) )
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
12 SEPTEMBER 2010 :SF CDO
4.
4.1 30
4.1.1
2b
CDS
4.1.2 EL
EL
ABS ABS(GIC)
CDO
CDS
SF CDOLibor 1 Libor 3 Libor
SF CDO
i) ii)iii)
EL
4.2
CDSEL
SF CDOCDS
EL
(
30 "Understanding Collateral Risks of Funded Synthetics in CDOs" (June 2006)( CDO
(2006 11 ) )
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
13 SEPTEMBER 2010 :SF CDO
4.3 31
3.2.1
ISDA
32
SF CDO (PAUG)
33
PAUG CDS
PAUG CDS
PAUG
34
ABS CDS PAUGCDO SF CDO 3.2.1.2
SF CDO
Caa2
4.4 SF CDO 35
ISDA CDS SF CDO(EOD
EL
ISDA CDS CDS
CDS
EL
SF CDO CDS CDS
SF CDO CDS CDS
36
31 "Moody's Approach To Rating Synthetic Resecuritizations" (October 2003)(
CDO (2004 7 ) )
4.1.2 EL
32 ("Historical Recoveries in Synthetic CDOs: Variation and the Cheapest-to-deliver" (February 2004) )
33 "Moody's Approach to Rating Collateralized Debt Obligations with Pay-As-You-Go Credit Default Swaps" (November 2006)
34 33 35 SF CDO CDS
SF CDO
EL EL 36 CDOROM
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
14 SEPTEMBER 2010 :SF CDO
5.
5.1
SF CDOSF CDO
CDS 37
5.1.1
100%
SF CDO(i) 1 (ii)
(WARF(iii) ( ) OC
( ) 238
5.1.2
39
5.2
SF CDO
SF CDO
P-1Aaa Aa3 P-1
SF CDO40
37
SF CDO
38 Aa2 Aa2Ba1
39 40 "Responses to Frequently Asked CDO Questions(Third of Series)" (March 2004) 10 "Temporary Use of Cash In
Structured Transactions: Eligible Investment Guidelines (The)" (December 2008)(: (2009 2 ) )
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
15 SEPTEMBER 2010 :SF CDO
5.3
5.3.1
41
5.3.2
SF CDO 2SF CDO
SF CDO
SF CDOSF CDO
SF CDO
5.4
5.4.1
SF CDO
21 42
2 20%2
(i)1 (ii)1
5%) 20 (iii)
41 "Responses to Frequently Asked CDO Questions(Third of Series)" (March 2004) 8 42
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
16 SEPTEMBER 2010 :SF CDO
5.4.2
SF CDO
SF CDO
SF CDO
WARF OC SF CDO WAL SF CDO 2
43
5.5 (EOD)
44
1
SF CDO
5.6
SF CDO 45
5.7
SF CDOISDA CSA
SF CDO
43 "CDO RatingFactors VOL. III No. 2 UPDATE: Post-Reinvestment Period Reinvesting in Actively-Managed CDOs"
(April 2006) 44 "UNDERSTANDING THE CONSEQUENCES OF ABS CDO EVENTS OF DEFAULT TRIGGERED BY LOSS OF
OVERCOLLATERALIZATION" (January 2008) 45
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
17 SEPTEMBER 2010 :SF CDO
5.8 RAC
SF CDO RACRAC
6. SF CDO
6.1
6.1.1
SF CDO SF CDO
SF CDO SF CDO
46
SF CDO
47
SF CDO
SF CDO
ADV
48
6.1.2
SF CDO (CMA)CMA 3
»
»
»
CMA
46 "Moody's Approach: Preparing CDO Managers for Moody's Operations Reviews" (December 2002) 47 (RIA) RIA
1940 RIA
48 "CDO Rating Methodology: Moody's Deal Score" (February 2003) "Update to Moody's Deal Score Report" (July 2005)
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
18 SEPTEMBER 2010 :SF CDO
49
CMA
CMA
6.2
SF CDOSF CDO
SF CDO
SF CDO:
»
»
» 50
»
»
»
»
6.3
1 SF CDO
(AUP)SF CDO
49 50
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
19 SEPTEMBER 2010 :SF CDO
7.
SF CDO
SF CDO SF CDOSF CDO
SF CDO
»
SF CDO
(a)(b)
(c)
»
SF CDO
»
SF CDOSF CDO
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
20 SEPTEMBER 2010 :SF CDO
1: SF CDO
ABS "Moody's Approach to Rating Multisector CDOs" (September 2000) CDO 2002 5 )
» 1= 1. 2. 3. 4.)
» 2= 1. 2. 3. A 4. B/C )
» 3= 1.CMBS 2.CMBS 3.CMBS4. ABS )
» 4= CDO
» 5= CDO
REIT 6 "Moody's Approach to Rating U.S. REIT CDOs" April 2010)
ABS
1 *
% (exc) % Aaa Aa A Baa Ba B
70.0% 100.0% 85.0% 80.0% 70.0% 60.0% 50.0% 40.0%
10.0% 70.0% 75.0% 70.0% 60.0% 50.0% 40.0% 30.0%
0.0% 10.0% 70.0% 65.0% 55.0% 45.0% 35.0% 25.0%
* 0% )
2 *
% (exc) % Aaa Aa A Baa Ba B
70.0% 100.0% 85.0% 80.0% 65.0% 55.0% 45.0% 30.0%
10.0% 70.0% 75.0% 70.0% 55.0% 45.0% 35.0% 25.0%
5.0% 10.0% 65.0% 55.0% 45.0% 40.0% 30.0% 20.0%
2.0% 5.0% 55.0% 45.0% 40.0% 35.0% 25.0% 15.0%
0.0% 2.0% 45.0% 35.0% 30.0% 25.0% 15.0% 10.0%
* 0% )
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
21 SEPTEMBER 2010 :SF CDO
3 *
% (exc) % Aaa Aa A Baa Ba B
70.0% 100.0% 85.0% 80.0% 65.0% 55.0% 45.0% 30.0%
10.0% 70.0% 75.0% 70.0% 55.0% 45.0% 35.0% 25.0%
5.0% 10.0% 65.0% 55.0% 45.0% 35.0% 25.0% 15.0%
2.0% 5.0% 55.0% 45.0% 35.0% 30.0% 20.0% 10.0%
0.0% 2.0% 45.0% 35.0% 25.0% 20.0% 10.0% 5.0%
* 0% )
4 CDO*
% (exc) % Aaa Aa A Baa Ba B
70.0% 100.0% 80.0% 75.0% 60.0% 50.0% 45.0% 30.0%
10.0% 70.0% 70.0% 60.0% 55.0% 45.0% 35.0% 25.0%
5.0% 10.0% 60.0% 50.0% 45.0% 35.0% 25.0% 15.0%
2.0% 5.0% 50.0% 40.0% 35.0% 30.0% 20.0% 10.0%
0.0% 2.0% 30.0% 25.0% 20.0% 15.0% 7.0% 4.0%
* 0% )
5 CDO*
% (exc) % Aaa Aa A Baa Ba B
70.0% 100.0% 85.0% 80.0% 65.0% 55.0% 45.0% 30.0%
10.0% 70.0% 75.0% 70.0% 60.0% 50.0% 40.0% 25.0%
5.0% 10.0% 65.0% 55.0% 50.0% 40.0% 30.0% 20.0%
2.0% 5.0% 55.0% 45.0% 40.0% 35.0% 25.0% 10.0%
0.0% 2.0% 45.0% 35.0% 30.0% 25.0% 10.0% 5.0%
* 0% )
6 REIT
SU RR
+2 60.0%
+1 50.0%
0 45.0%
-1 40.0%
-2 30.0%
-3 15.0%
C Ca 25.0%
= × 1 × 70%
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
22 SEPTEMBER 2010 :SF CDO
2: SF CDO
PAUG SF CDO
SF CDO 1-
3 25% 15%
6 75% 50%
1 95% 65%
2 100% 90%
1) *
» ABS**
» CBO/CLO
» CMBS
» ABS**
» ABS*
» ABS***
» ABS
» RMBS
» REIT
» ABS**
2) CDO
*
**
*** ABS ABS ABS ABS
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
23 SEPTEMBER 2010 :SF CDO
3:
(DP)
Moody's US EMEA
Sector Code Sector Name Aaa non-Aaa Aaa non-Aaa
136 ABS - Consumer - Cons.ABS - Auto 6 2 6 2
137 ABS - Consumer - Cons.ABS - Credit Card and other Consumer Unsecured Loans 6 2 6 2
138 ABS - Consumer - Cons.ABS - Student Loans 6 2 6 2
139 ABS - Consumer - RMBS - Prime 12 4 6 2
140 ABS - Consumer - RMBS - Subprime 12 4 12 4
141 ABS - Consumer - RMBS - CDO of RMBS 12 4 12 4
142 ABS - Consumer - RMBS - Manufactured Housing 12 4 12 4
143 ABS - Consumer - Div.SF.CDO - CDO of SF - Diversified 12 4 12 4
152 ABS - Corporate - CRE - CMBS - Credit Tenant Lease 6 2 6 2
153 ABS - Corporate - CRE - CRE CDO 12 4 12 4
154 ABS - Corporate - CRE - CMBS - Diversified 6 2 6 2
155 ABS - Corporate - CRE - CMBS - Office 6 2 6 2
156 ABS - Corporate - CRE - CMBS - Retail 6 2 6 2
157 ABS - Corporate - CRE - CMBS - Hotel 6 2 6 2
158 ABS - Corporate - CRE - CMBS - Industrial 6 2 6 2
159 ABS - Corporate - CRE - CMBS - Nursing Home 6 2 6 2
160 ABS - Corporate - CRE - CMBS - Residential/Multi-Family 6 2 6 2
161 ABS - Corporate - CRE - CMBS - Warehouse / Self-storage 6 2 6 2
162 ABS - Corporate - CRE - CMBS - Healthcare 6 2 6 2
163 ABS - Corporate - Specific - Tax Lien 6 2 6 2
164 ABS - Corporate - Specific - Mutual Fund Fees 12 4 12 4
165 ABS - Corporate - Specific - Structured Settlement 6 2 6 2
166 ABS - Corporate - Specific - Utility Stranded Cost 6 2 6 2
167 ABS - Corporate - Specific - Big Ticket Lease 6 2 6 2
168 ABS - Corporate - Specific - IP (including Entertainment Royalties) 6 2 6 2
169 ABS - Corporate - Specific - Dealer's Floorplan 6 2 6 2
170 ABS - Corporate - Specific - Tobacco Bonds 6 2 6 2
171 ABS - Corporate - Corp.CDO - Market Value CDO & CDO^2 12 4 12 4
172 ABS - Corporate - Corp.CDO - CDO exposed to IG 12 4 12 4
173 ABS - Corporate - Corp.CDO - CDO exposed to HY 6 2 6 2
174 ABS - Corporate - Corp.CDO - CDO exposed to EM 6 2 6 2
175 ABS - Corporate - Corp.CDO - ABS or CDO exposed to SME risk 6 2 6 2
176 ABS - Corporate - Corp.CDO - CDO - Franchise Loans 12 4 12 4
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
24 SEPTEMBER 2010 :SF CDO
4:
A. (ABS):
S&P S&PS&P BBB 1 Baa3
AAA AA- A+ BBB- BBB-
1 2 3
2 3 4
1 2 3
1 2 3
RV 1 2 3
1 2 3
1 3 4
1 2 3
1 2 3
1 2 3
1 2 3
1 2 4
1 1 2
1 2 3
1 2 3
1 2 4
1 2 3
1 2 3
1 2 3
1 2 3
1 2 3
2 3 4
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
25 SEPTEMBER 2010 :SF CDO
B. (RMBS):
S&P
AAA AA+ BBB- BBB-
1 2 3
A 1 2 3
A 1 3 4
Fitch
AAA AA+ BBB- BBB-
A 1 2 4
A 1 3 5
FitchA A 2
2 1
C. (CMBS):
S&P Fitch
Fitch S&P Fitch S&P
1
# Fitch S&P 2
Fitch S&P 1.5*
# A40
* 1.5 S&P Fitch BBB Baa3 Ba1
S&P Fitch
A. (ABS)
S&P 2
AAA BBB- BBB-
1 2
1 2
1 2
* 1 2
1 2
1 2
1 2
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
26 SEPTEMBER 2010 :SF CDO
* Baa3 S&P BBB A1
B. (RMBS)
S&P Fitch 2
AAA BBB- BBB-
1 2
RMBS
1) Fitch S&P AAA 1
2)
C. (CMBS)
S&P Fitch
Fitch S&P
A CMBS Fitch S&P 3
B CMBS
A CMBS B CMBS
B CMBS :
i)
ii) 5%
iii)
S&P
A. (ABS)
S&P
AAA A- BBB+
ABS 1 2
B. (RMBS)
S&P
AAA 2003 1 AAA 2003 1AA BBB- BBB-
RMBS 0 1 2
C. (CMBS)
S&P
AAA AAA
CMBS 1 2
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
27 SEPTEMBER 2010 :SF CDO
S&P
AAA BBB- AAA BBB-
2 1
3 1
2 1
RMBS 2 1
CMBS 2 3
*
* ABS ABS 2
OUTDATED
METHODOLOGY
28 SEPTEMBER 2010
5:
0 1 2 3 4 5 6 7
1 1 Aaa 0.0000% 0.00003% 0.0001% 0.0004% 0.0010% 0.0016% 0.0022% 0.0
2 10 Aa1 0.0000% 0.00031% 0.0017% 0.0055% 0.0116% 0.0171% 0.0231% 0.0
3 20 Aa2 0.0000% 0.00075% 0.0044% 0.0143% 0.0259% 0.0374% 0.0490% 0.0
4 40 Aa3 0.0000% 0.00166% 0.0105% 0.0325% 0.0556% 0.0781% 0.1007% 0.1
5 70 A1 0.0000% 0.00320% 0.0204% 0.0644% 0.1040% 0.1436% 0.1815% 0.2
6 120 A2 0.0000% 0.00598% 0.0385% 0.1221% 0.1898% 0.2569% 0.3207% 0.3
7 180 A3 0.0000% 0.02137% 0.0825% 0.1980% 0.2970% 0.4015% 0.5005% 0.6
8 260 Baa1 0.0000% 0.04950% 0.1540% 0.3080% 0.4565% 0.6050% 0.7535% 0.9
9 360 Baa2 0.0000% 0.09350% 0.2585% 0.4565% 0.6600% 0.8690% 1.0835% 1.3
10 610 Baa3 0.0000% 0.23100% 0.5775% 0.9405% 1.3090% 1.6775% 2.0350% 2.3
11 940 Ba1 0.0000% 0.4785% 1.1110% 1.7215% 2.3100% 2.9040% 3.4375% 3.8
12 1350 Ba2 0.0000% 0.8580% 1.9085% 2.8490% 3.7400% 4.6255% 5.3735% 5.8
13 1766 Ba3 0.0000% 1.5455% 3.0305% 4.3285% 5.3845% 6.5230% 7.4195% 8.0
14 2220 B1 0.0000% 2.5740% 4.6090% 6.3690% 7.6175% 8.8660% 9.8395% 10.5
15 2720 B2 0.0000% 3.9380% 6.4185% 8.5525% 9.9715% 11.3905% 12.4575% 13.2
16 3490 B3 0.0000% 6.3910% 9.1355% 11.5665% 13.2220% 14.8775% 16.0600% 17.0
17 4770 Caa1 0.0000% 9.5599% 12.7788% 15.7512% 17.8634% 19.9726% 21.4317% 22.7
18 6500 Caa2 0.0000% 14.3000% 17.8750% 21.4500% 24.1340% 26.8125% 28.6000% 30.3
19 8070 Caa3 0.0000% 28.0446% 31.3548% 34.3475% 36.4331% 38.4017% 39.6611% 40.8
20 10000 Ca 0.0000% 55.0000% 55.0000% 55.0000% 55.0000% 55.0000% 55.0000% 55.0
21 10000 C 0.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0
OUTDATED
METHODOLOGY
29 SEPTEMBER 2010
6:
Moody's Sector Code Sector Name
Map to, for correlation
only
ABS Recovery
Cat. (Table 4c) Key Agent
Key Agent Penalty (same
broad cat)
Assume Managed
unless specified?
Co
Global Me
Consu
136 ABS - Consumer - Cons.ABS - Auto 136 1 Originator 15% FALSE 5.00
137 ABS - Consumer - Cons.ABS - Credit Card and other Consumer Unsecured Loans 137 1 Originator 15% FALSE
138 ABS - Consumer - Cons.ABS - Student Loans 138 1 Originator 15% FALSE
139 ABS - Consumer - RMBS - Prime 140 2 Originator 15% FALSE Sam
Coun
140 ABS - Consumer - RMBS - Subprime 140 2 Originator 15% FALSE from above 10.0
141 ABS - Consumer - RMBS - CDO of RMBS 140 4 Arranger 15% FALSE 3.00%
142 ABS - Consumer - RMBS - Manufactured Housing 140 2 Originator 15% FALSE
143 ABS - Consumer - Div.SF.CDO - CDO of SF - Diversified 143 5
Manager/Arranger if
static 20% TRUE
144 ABS - Corporate - CRE - REIT - Hotel 144 6 NA 0% FALSE
145 ABS - Corporate - CRE - REIT - Multi family 145 6 NA 0% FALSE
146 ABS - Corporate - CRE - REIT - Office 146 6 NA 0% FALSE
147 ABS - Corporate - CRE - REIT - Retail 147 6 NA 0% FALSE
148 ABS - Corporate - CRE - REIT - Industrial 148 6 NA 0% FALSE
149 ABS - Corporate - CRE - REIT - Healthcare 149 6 NA 0% FALSE
150 ABS - Corporate - CRE - REIT - Self-storage 150 6 NA 0% FALSE
151 ABS - Corporate - CRE - REIT - Diversified 151 6 NA 0% FALSE
152 ABS - Corporate - CRE - CMBS - Credit Tenant Lease 152 3 NA 0% FALSE
OUTDATED
METHODOLOGY
30 SEPTEMBER 2010
Moody's Sector Code Sector Name
Map to, for correlation
only
ABS Recovery
Cat. (Table 4c) Key Agent
Key Agent Penalty (same
broad cat)
Assume Managed
unless specified?
Co
Global Me
Consu
153 ABS - Corporate - CRE - CRE CDO 153 3
Manager/Arranger if
static 20% FALSE Corpo
Rela
154 ABS - Corporate - CRE - CMBS - Diversified 154 3 NA 0% FALSE 5.00
155 ABS - Corporate - CRE - CMBS - Office 155 3 NA 0% FALSE
156 ABS - Corporate - CRE - CMBS - Retail 156 3 NA 0% FALSE Sam
Coun
157 ABS - Corporate - CRE - CMBS - Hotel 157 3 NA 0% FALSE 0.00
158 ABS - Corporate - CRE - CMBS - Industrial 158 3 NA 0% FALSE
159 ABS - Corporate - CRE - CMBS - Nursing Home 159 3 NA 0% FALSE
160 ABS - Corporate - CRE - CMBS - Residential/Multi-Family 160 3 NA 0% FALSE
161 ABS - Corporate - CRE - CMBS - Warehouse / Self-storage 161 3 NA 0% FALSE
162 ABS - Corporate - CRE - CMBS - Healthcare 162 3 NA 0% FALSE
163 ABS - Corporate - Specific - Tax Lien 163 3 Servicer 20% FALSE
164 ABS - Corporate - Specific - Mutual Fund Fees 164 3 Manager 20% FALSE Same region add-
on
165 ABS - Corporate - Specific - Structured Settlement
165 3 Servicer 20% FALSE (regardless of sector)
166 ABS - Corporate - Specific - Utility Stranded Cost
166 3 NA 0% FALSE 5.00%
167 ABS - Corporate - Specific - Big Ticket Lease 167 3 Servicer 20% FALSE (halved for Global vs.
168 ABS - Corporate - Specific - IP (including Entertainment Royalties)
168 3 Originator 20% FALSE non-Global exposure)
169 ABS - Corporate - Specific - Dealer's Floorplan 169 3 Seller 20% FALSE
170 ABS - Corporate - Specific - Tobacco Bonds 170 3 NA 0% FALSE
OUTDATED
METHODOLOGY
31 SEPTEMBER 2010
Moody's Sector Code Sector Name
Map to, for correlation
only
ABS Recovery
Cat. (Table 4c) Key Agent
Key Agent Penalty (same
broad cat)
Assume Managed
unless specified?
Co
Global Me
Consu
171 ABS - Corporate - Corp.CDO - Market Value CDO & CDO^2
171 4 NA (but check
Manager)
0% TRUE
172 ABS - Corporate - Corp.CDO - CDO exposed to IG
172 5 Manager/Arranger if
static
20% TRUE
173 ABS - Corporate - Corp.CDO - CDO exposed to HY
173 5 Manager/Arranger if
static
20% TRUE
174 ABS - Corporate - Corp.CDO - CDO exposed to EM
174 4 Manager/Arranger if
static
20% TRUE
175 ABS - Corporate - Corp.CDO - ABS or CDO exposured to SME risk
175 5 Manager / Originator
20% TRUE
176 ABS - Corporate - Corp.CDO - CDO - Franchise Loans
176 4 Originator 20% TRUE
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
32 SEPTEMBER 2010
)
ABS
2
25.00%
16.67%
ABS
Aaa - Aa 100.00%
A 93.33%
Baa - Ca 86.67%
Same Same Same
Meta Sector Broad Sector Narrow Sector Real-Estate
GlobalGlobal 2% 3% 0% 0%Same Region 0% 0% 5% 5%Same Country 0% 5% 5% 5%
Global 0% 0% 5%Same Region Consumer 0% 0% 0%Same Country 5% 5% 5%
Global 0% 0%Same Region 0% 0% Real-EstateSame Country 5% 5%
Global 3% 0% 0%Same Region 0% 5% 5%Same Country 0% 5% 0%
Global Corporate 0% 0%Same Region 10% 5%Same Country 5% 5%
Global 0% 0%Same Region 10% 5%Same Country 5% 5%
Div.SF.CDO
CRE
Corp.CDO
Specific
Cons.ABS
RMBS
OUTDATED
METHODOLOGY
INTERNATIONAL STRUCTURED FINANCE
33 SEPTEMBER 2010 :SF CDO
OU
Report Number: SF394 (Japanese)
SF157850(English)
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