From: Parchment, James [mailto:james_parchment ...



From: Parchment, James [mailto:james_parchment@]

Sent: Monday, June 13, 2011 6:54 PM

To:

Subject: S&P Credit Estimates

Importance: High

 

To All Recipients of Credit Estimates:

 

S&P has implemented dollar limits to determine when credit estimates are the most appropriate form of analysis for CDO assets. These debt issuance limits became effective for companies in the Americas (including Bermuda and the Caribbean) at the end of April 2011.

 

These dollar limits and the associated waiting period have been implemented to further reduce any confusion between interactive ratings and credit estimates.  The credit estimate service is intended as a point-in-time, abbreviated analysis to help investors, collateral managers, and S&P’s CDO analysts assess the credit quality of portfolio assets; whereas interactive ratings are ongoing credit opinions with published rationales that are distributed to the broader investor community.

 

Assets for which credit estimates were issued prior to April 2011, will not be affected until the companies issue new debt transactions.  S&P will continue to perform credit estimate updates on these companies until they refinance.  When the companies refinance, the guidelines below will apply to companies in the Americas (including Bermuda and the Caribbean) as to whether or not S&P will be able to perform a new credit estimate.

 

• Credit estimates will no longer be available on companies with total new debt issuances (including undrawn facilities) greater than $499 million.

 

• A six month waiting period from the date of the final executed credit agreement will apply for credit estimates on companies with total new debt issuances between $200 million and $499 million (including undrawn facilities).

 

When considering new debt transactions with accordion features, S&P will focus on the amount of the debt issued at the time of analysis in order to make its determination of whether or not to perform a credit estimate.

 

Additionally, we would like to take this opportunity to remind the CLO community that credit estimates are not available on:

 

• Debtor-In-Possession facilities

• Borrowers that are SPVs

• Companies with complex organizational structures

• Structured Finance tranches

 

 

Regards,

James Parchment

Director, Head of US Credit Estimates 

Standard & Poor's

55 Water Street, 39th Floor

New York, NY 10041-0003

Phone: (212) 438-4445

Fax: (212) 438-7820

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