Vivian van Breemen

190 Oc onnes ims tiegnhttl ye xipnec cotr pt hoar ta ttehde ui nn dt he er l ycirnegd imt or rattgi na gg se, l iarwr ess pa pe cptl iivc ea bol ef tt oh ee aCcRhAs, t aa tse tahri es rt he pe rgeesoegnrtas pphaircta ol fdti hs ter isbeuc ut i roint yo’ sf rt ihsek sl o. Ta nh sa tbiys , sCt Ra tAes aass ds iigs nc l oa scerde di ni t trha et i npgr obsapseecdt iovne snuopnpe l oe fmt he en tp ar ve av ii loaubsl es ttuo dpi oe st ehnatvi ae l ai nn va el yszt eo dr sw. Hh oe wt heevr eCrR, t Ao st hc oe nbsei ss tt eonf tol yu rt akkneocwr el eddi tgoer, rpiogihntts tion at hnea lUy nz ei t ei fdt Shteayt edsoi,nwt oe accocmo upnatr we ha ne nd ac sosni tgrnaisntgt ah ec rpeudbi tl ircal yt i nagv.aAi lsa ba lset ac rr teidnigt rating methodologies and find that there are differences among CRAs. W( Meo oqduya’ lsi tIantvi vees ltyo r as sSs ee rsvs i cteh, e2 0U2S2 )R, MS &B PS (cSr&e dPi tG rl oabt ianl gR ma t ient ghso, d2o0l o2 g1 y) , oF fi t cMh o(oFdi tyc’hs Ratings, 2020), DBRS (DBRS Morningstar, 2022), and KBRA (KBRA, 2021)58. In order to compare the methodologies, we used the five components of Ghent’s credit farriee ni dn lci onreps os rsactoerde (i ns e tehsee cCtRi oAn’ s5 m. 2 .e2t)htoodaonl oagl yyz eu swehda tt of a dc teot resr mo fi nc ree dt hi teo rc frreide int drl iant ei nsgs for RMBS tranches. We find that only Moody’s, S&P and DBRS consider creditor friendliness per state in their credit rating. All three CRAs only consider one out of of r et hc leo sf ui vree ’, cwo mh i pl eo tnheen rt se mi na i nt hi ne igr CmR Ae tsh(oFdi tocl ho gayn, dn Ka mB Re lAy) ‘dPoo wn oe tr -coof n- ssai dl ee rv as .n yj uodfi ct hi ael underling creditor friendliness components in their methodology.59 S&P considers the state foreclosure law (judicial/non-judicial) in their borrower’s cs toastte/sb be na seef idt ao nn atlhy es i ss p. Ienc itfhi ce il re gvai el wp r, ol icqeusisdeast ifoonr ft oi mr eecllionseus rseh. oTwh evtai rmi aebl iinl iet ys aa cc rr oo ss ss s( St a&t Pe sGal on bd arl aRt iant gi n lgesv, e2l 0s 2a1r e) . tMh oe roedfyo’rsea idnj cul sutds et dh ei nl otahne ipr r loobsas bsi el ivt ye roi tf yd ce af al cuul tl a(tPi oDn) 58r i sWk et haarte wo en ldy oa nb ol et tfou lrl ey vciaepwt upruebal il cl liyn pa vuat iflaacbtloerisnuf osremd abtyi oCnRoAns Ci nRtAhse mi r ectrheoddi torl aotgi inegs .mMoedaenl isn. g t h a t t h e r e m i g h t b e a 59C RWA es poencl iyf iccoa nl l ys i md eerntthi oencerde dt hi taotrt hf reiye nddelvi ni aetsesbceot wmepeonn et hnet sc os umf pf i oc ineennt tl ya ci nr oc os sr pUoSr as ttae tde si n( et .hge. , m e t h o d o l o g y w h e n t h e “we distinguish between properties located in judicial states from those which are not”).

RkJQdWJsaXNoZXIy MTk4NDMw