ARC Ratings’ approach to rating granular ABS focuses on asset portfolio credit quality, transaction structure, counterparty risk, operational risks, legal and sovereign risks. The typically highly granular nature of these transactions, against a common eligibility criteria or credit policy, enables ARC Ratings to form a transaction specific view. ARC Ratings will compute the expected level of defaults by extrapolating historical static cumulative default, delinquencies, recoveries and prepayment data. The assets’ analysis in combination with the qualitative analysis and review of the legal structure results in a rating that accurately reflects the risk of a specific transaction.
Consumer Asset Backed Securities Rating Criteria
30 Sep 2021
- Ashley Thomas
- Co-Head of Structured Finance (UK)
- Stefan Augustin
- Co-Head of Structured Finance (EU)