ARC Ratings’ GSF Criteria sets out a framework for the rating of any structured finance transaction, this includes ABS transactions backed by assets ranging from CMBS to trade to NPLs. The criteria is complemented by asset class specific criteria that show how ARC Ratings derives assumptions relevant to a specific asset class.

When rating a structured finance transaction the focus lies on the transaction’s legal structure, the historical and expected future asset default/recovery performance and amortisation profile, counterparty risks, the Originator and Servicer, the asset and cash-flow. The analytical process is concluded by a rating panel consisting of experts and then lifetime monitoring.