Article 5
Structured finance ratings
1. Subject to the specific characteristics set out in paragraph 2 and 3, a credit rating agency shall report long-term ratings on an issue basis for structured finance instruments.
2. A credit rating agency shall report long-term ratings on an issuer basis for structured investment vehicles and similar structures.
3. A credit rating agency shall report short-term ratings on an issue basis for asset-backed commercial papers.
4. When reporting structured finance ratings, a credit rating agency shall classify the ratings within one of the following asset classes:
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(a) |
Asset-backed securities. This asset class includes the sub-asset classes auto/boat/airplane loans, student loans, consumer loans, health care loans, manufactured housing loans, film loans, utility loans, equipment leases, credit card receivables, tax liens, non-performing loans, credit-linked notes, recreational vehicle loans, and trade receivables; |
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(b) |
Residential mortgage-backed securities. This asset class includes the sub-asset classes prime residential mortgage-backed securities and non-prime residential mortgage-backed securities and home equity loans; |
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(c) |
Commercial mortgage-backed securities. This asset class includes the sub-asset classes retail or office property loans, hospital loans, care residences, storage facilities, hotel loans, nursing facilities, industrial loans, and multifamily properties; |
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(d) |
Collateralised debt obligations. This asset class includes the sub-asset classes collateralised loan obligations, collateralised bond obligations, collateralised synthetic obligations, single-tranche collateralised debt obligations, collateralised fund obligations, collateralised debt obligations of asset-backed securities, and collateralised debt obligations of collateralised debt obligations; |
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(e) |
Asset-backed commercial papers; |
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(f) |
Other structured finance instruments that are not included in the preceding asset classes, including structured covered bonds, structured investment vehicles, insurance-linked securities and derivative product companies. |
5. A credit rating agency shall specify which asset class and sub-asset class (where applicable) each rated instrument belongs to.
6. For the purpose of field 17 of Table 1 of Annex II, the country code used for an instrument shall be that of the country of domicile of the majority of the underlying assets. Where it is not possible to identify the domicile of the majority of the underlying assets, the rated instrument shall be classified as ‘International.’