On Oct. 6, 2022, S&P Global Ratings published a request for comment (RFC) on its proposed criteria, "Request For Comment: Methodology For Assessing Securitizations Of Nonperforming Loans."
Following our consideration of the feedback received, we finalized and published our criteria, "Methodology For Assessing Securitizations Of Nonperforming Loans," on Dec. 5, 2022.
We'd like to thank market participants who provided feedback. This RFC Process Summary provides an overview of the external written comments we received from the market on the proposed criteria and the changes we made following the RFC period.
External Written Comments Received From Market Participants That Led To Significant Analytical Changes To The Final Criteria
We did not receive any external written comments from market participants that led to significant analytical changes to the criteria.
External Written Comments Received From Market Participants That Did Not Lead To Significant Analytical Changes To The Final Criteria
We received one comment suggesting further transparency in the criteria in the areas of market value decline determination for residential properties, the maximum amount of recoveries credit is given to, types of residential valuations, and haircut determination for commercial real estate. In response, we have added clarity to table 2, "Residential properties: MVD" to indicate that we also consider the age of the property valuation. We have added text to section 1, "Credit Quality Of The Securitized Assets" to make it clear that the recovery amount we give credit to in our analysis is capped by the overall claim versus the borrower. We have clarified that the valuation types for residential properties described are provided as examples and are not intended to be exhaustive.
We made no change following the feedback that for commercial real estate the haircuts should differ between types of properties because the criteria already say that the type is one factor considered when setting the haircuts.
Significant Analytical Changes To The Final Criteria That Did Not Arise From Market Feedback
We finalized and published the final criteria without making any significant analytical changes to the criteria that are unrelated to market feedback we received.
This report does not constitute a rating action.
Analytical Contacts: | Giuseppina Martelli, Milan + 39 02 72 111 274; giuseppina.martelli@spglobal.com |
Elton Eakins, London + 44 20 7176 3698; elton.eakins@spglobal.com | |
Roberto Paciotti, Milan + 390272111261; roberto.paciotti@spglobal.com | |
Methodology Contacts: | Volker Laeger, Frankfurt + 49 693 399 9302; volker.laeger@spglobal.com |
Andrew O'Neill, CFA, London + 44 20 7176 3578; andrew.oneill@spglobal.com | |
Andrew M Bowyer, CFA, London + 44 20 7176 3761; andrew.bowyer@spglobal.com |
No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.