Bangkok--17 Jun--Standard & Poor's
The performance of the 2007 and 2006 vintages of residential mortgage-backed securities (RMBS) and collateralized debt obligations (CDOs) backed by other securitizations, such as RMBS (CDOs of asset-backed securities [ABS]), caused material deterioration in rating comparability and performance. However, these declines in performance were offset by the historically consistent performance of corporate and government ratings and of some asset-backed security (ABS) ratings, according to a report published earlier today on RatingsDirect. "Rating Performance And Comparability: 2011 Update On The Modified Gini Coefficient Study," says that if not for the CDOs of ABS and RMBS performance, rating comparability and performance would be within our expectations. Furthermore, the performance projections we made in 2010 (see "Another Perspective On Rating Comparability And Performance," published April 9, 2010) based on expected defaults in structured finance were very close to actual performance in 2011. There have been no unexpected changes in performance.
Standard & Poor's Ratings Services is committed to maintaining the comparability of its ratings across asset classes and geographies. This research provides another measurement of rating comparability by considering the rank ordering of our credit ratings across all fixed-income sectors. The overall rank ordering of the rating system reflects, in part, whether ratings are comparable across sectors.
Based on the number of CDO and RMBS securities that we believe are likely to default in 2011 and 2012, we expect the overall measures of rank ordering to remain impaired for the next few years. However, once the current inventory of distressed securities works its way through the pipeline during the next two to three years, we believe the rank ordering will recover to its historical levels, or surpass them. Our continued focus on rating comparability and the recent updates to our criteria set the stage for stronger rank ordering in the future.
The report is available to subscribers of RatingsDirect on the Global Credit Portal at www.globalcreditportal.com. If you are not a RatingsDirect subscriber, you may purchase a copy of the report by calling (1) 212-438-7280 or sending an e-mail to
[email protected]. Ratings information can also be found on Standard & Poor's public Web site by using the Ratings search box located in the left column at www.standardandpoors.com. Members of the media may request a copy of this report by contacting the media representative provided.
Media Contacts:
John Piecuch, New York (1) 212-438-1579,
[email protected]
Analyst Contacts:
Jason Ontko, New York (1) 212-438-2784
Mark Adelson, New York (1) 212-438-1075