Duff & Phelps Credit Rating Co. SPECIAL REPORTpeople.stern.nyu.edu/igiddy/ABS/emermktsrec.pdf · 2000. 7. 27. · SPECIAL REPORT Duff & Phelps Credit Rating Co. DCR CHICAGO u NEW

SPECIAL REPORTDuff & Phelps Credit Rating Co.

DCRCHICAGO

u

NEW YORKu

LONDONu

HONG KONG

International

DCRs Approach to RatingExisting Trade Receivables Transactions

in Emerging Markets

April 1999

EXECUTIVE SUMMARY

xisting trade receivables securitization hasevolved over the last few years. Althougha reasonably mature product in the devel-

oped markets of the United States and Europe, itis still in the developmental stage in theemerging markets. Nonetheless, trade receivablessecuritization can provide an attractive fundingavenue to the cash-strapped emerging market is-suers. Unlike future-flow securitization, the reli-ance is on the existing assets and not on future, yet-to-be-generated assets in existing trade receivablessecuritization. Therefore, the rating is not inextri-cably linked to the originator’s performance,thereby providing a fundraising route for those is-suers whose credit quality constrains them fromusing the future-flow securitization route. Tradereceivables securitization can enable access to in-vestment-grade funding even if the corporate doesnot have an investment-grade rating.

This report details DCR’s approach to rating

single-seller trade receivables securitization,based on its well-established framework for rat-ing such transactions in developed markets andfor adopting the methodology to its experiencesand exposures to such transactions in emergingmarkets. DCR does acknowledge that each tradereceivables securitization is unique in its own re-spect and that the methodology may require cer-tain adjustments depending on the specifics ofeach transaction. However, DCR perceives thatthe following general approach can be used as aguideline for all transactions.

As in virtually all of its rating methodologies,DCR considers both qualitative and quantitativefactors in its approach. In addition to the review ofseller/servicer and underlying collateral/obligorcharacteristics, DCR analyzes the legal, structuraland sovereign issues in determining the requiredcredit enhancement and rating of a trade receiv-ables transaction.

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Duff & Phelps Credit Rating Co. DCR’s Approach to Rating Existing Trade Receivables Transactions in Emerging Markets

StructureIn a typical trade receivables transaction,

the existing trade receivables of the origina-tor are assigned to a special-purpose vehicle(SPV), which issues securities backed by suchassigned receivables. As the trade receiv-ables are of a short-term nature, the typicalpaydown of the underlying assigned receiv-ables should be approximately one to sixmonths (exact paydown period will dependon the payment terms). However, the tradereceivables securitization may be structuredto last as long as two to five years—possiblylonger—through use of a revolving period.In the revolving period, the collections re-ceived from the receivables are used to payinterest only to the investors and the bal-ance is used to repurchase new receivables.

The revolving of short-term assets allowsissuers to use securitization as part of a long-term funding strategy and allows trade re-ceivables securities to meet investors tar-geted maturities. A long revolving periodalso implies assessing the sustainability ofnew receivables generation capacity of theoriginator. However, the same is not a con-straint to the rating, as nongeneration of newreceivables should trigger early amortizationand, therefore, should initiate paydown pre-maturely.

The principal amortization can be in theform of uncontrolled amortization or con-trolled amortization. In the case of uncon-trolled amortization, all collections are usedfor allocation toward the interest and princi-pal repayments, and the purchase of new re-ceivables is ceased. The principal amortiza-tion period is structured with a sufficientcushion from the normal paydown of theunderlying receivables (i.e., if the receivablesgenerally pay down in four months, the

principal amortization period is set at eightmonths to account for a stressed collectionsscenario). Controlled amortization involvesa specified schedule of principal paymentsand the purchase of new receivables not fullyceased. Excess collections, after paying inter-est and scheduled principal, are partially re-invested to purchase new receivables. How-ever, the underlying collateral requirementis usually higher in the case of controlled am-ortization.

The principal amortization can commenceearlier on, triggering an early amortizationevent. The early amortization events can besegregated into performance-based triggerssuch as an increase in the defaults, delinquen-cies, a change in payment terms and nonper-formance-based triggers (i.e., bankruptcy oforiginator, cross default by the originator,commencement of legal proceeding againstthe originator, etc). Fewer performance-basedtriggers are needed if a dynamic reserve is in-corporated as credit enhancement (detailedlater in the section titled “Credit Enhance-ment”). This also reduces the prepayment riskfor investors who are averse to early amorti-zation events.

The receivables pool balance may vary overtime because the collections and new receiv-ables generation are generally not uniform. Forexample, a seller may generate $10 million innew receivables, but the receivables collectedare only $6 million in a specified period. In thiscase, the SPV purchases new receivables of $6million from the collections account and makeup the difference with $4 million of seller notesto the seller or issues of variable funding certifi-cates. The seller notes and variable funding cer-tificates are not legally subordinated to the in-vestor class, although they can be structured assubordinated. The fluctuations in the receiv-

Existing Trade Receivables Versus Future-Flow Trade Receivables1. In the case of existing trade receivables, the reliance is on existing receivables that are already generated,

whereas in the case of future-flow receivables, the reliance is on future, yet-to-be-generated receivables.

2. In existing trade receivables, the transaction rating is not linked to the underlying corporate’s performance rating.Rating is decoupled from the originator’s rating, and the underlying receivables characteristics and performancedetermine the transaction rating. The transaction rating can be several notches higher than the originator’s LCrating. In a future-flow transaction, the transaction rating is strongly tied to the originator’s performance and istypically constrained by the corporate’s LC rating.

3.The receivables must be of a minimum critical level to justify an existing trade receivables transaction.For example, a US$50 million existing trade receivables transaction would require existing receivablesof at least the same amount and typically higher (number depends on the rating level and creditenhancement requirement). The originator should also be in a position to maintain the same level ofreceivables on a continuous basis in the future to support the transaction; otherwise the transactioncould pay down. In a future-flow transaction, there is no such requirement of a minimum level ofreceivables. However, typically the annual exports to principal issuance should be approximately 0.75to 1.00, depending on the risks and mitigants of that particular transaction.

Duff & Phelps Credit Rating Co.DCR’s Approach to Rating Existing Trade Receivables Transactions in Emerging Markets

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ables pool balances are absorbed by such selleror variable funding certificates. Many trade re-ceivables transactions are structured as mastertrust, providing flexibility to convert or substi-tute seller certificates (held by originator) intonew investor certificates, provided reserve re-quirements and rating agencies’ conditions aremet.

It is important that the receivables poolbalance is maintained at a certain minimumlevel. One way to ensure a minimum level ofreceivables is the collateral sufficiency test.That is the aggregate receivables less re-quired credit enhancement need to be greaterthan the investor principal outstanding. Thistrigger is important because if collections de-cline or dilutions or losses increase, a collat-eral shortfall may occur. If there is insufficientcollateral, this trigger traps collections in anexcess funding account until such time as thecollateral is sufficient, or if the deficiency con-tinues without the cure for a specified pe-riod, the deal winds down.

Onshore VersusOffshore Trade Receivables

There are two main classifications of tradereceivables securitization: onshore trade re-ceivables securitization and offshore trade re-ceivables securitization.

Onshore Trade ReceivablesIn the case of an onshore trade receivable

securitization, the receivables are generatedin a single country and are typically denomi-nated in local currency. These receivables arethen assigned to a domestic or overseas SPV.The funding can be raised in local currency

(LC) in the concerned country or in foreign cur-rency (FC) in the overseas markets. The trans-action rating of domestically raised fundswould be constrained by the sovereign LC rat-ing (although not necessarily capped), as theonshore receivables are severely impacted bysovereign macroeconomic conditions and le-gal constraints, and will reflect the paymentability of the transaction in the local currency.

Onshore trade receivables in which fund-ing is raised overseas in FC are subject to ex-change rate, convertibility/transfer risks andsovereign macroeconomic risks. DCR be-lieves that ratings of such onshore transac-tions could be constrained by both the sover-eign FC and LC rating. The sovereign FC ceil-ing can be exceeded by incorporating aproper cross currency swap covering ex-change rate and convertibility/transfer risks.In such a swap the payments in domestic cur-rency are made to an onshore branch of swapcounterparty whose corresponding offshorebranch agrees to remit the payment in dollarsabroad.

However, DCR also believes that eventhough the FC ceiling is pierced with a propercross currency swap, the LC ceiling will, inmost cases, constrain the transaction rating(although not necessarily cap it), as the under-lying collateral (domestic receivables) cannotbe completely insulated from the domestic eco-nomic, political and the legal environment ofthe concerned country.

DCR perceives that the onshore trade re-ceivables performance would be significantlyimpacted by severe macroeconomic condi-tions such as high inflation and real interestrates, plunging real incomes, severe recession

Linkage of Trade Receivables Secutitization to Sovereign Ceilings

Sovereign FC Ceiling Sovereign LC CeilingOnshore trade receivables, Not applicableOnshore funding(LC obligations backed by Constrained by sovereign LC rating;LC receivables) difficult to breach, although possible to

exceed depending on the degree ofinfluence the macroeconomic and legalenvironment the sovereign has on thetransaction performance

Onshore trade receivables, Breached if properOffshore funding cross currency(FC obligations backed by swap is existentLC receivables)

Offshore trade receivables Automatically breaches Breached, as offshore generation ofOffshore funding FC ceiling as receivables receivables and offshore obligors(FC obligations backed by are generated offshore isolate sovereign risk to a large extentFC receivables)

Transaction rating capped at certain notches above sovereign FC,depending on transaction specifics, as sovereign interference andexpropriation risk cannot be fully ruled out

Table 1

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or political and social disturbances. For ex-ample, if country X is rated ‘BB+’ on FC and‘BBB+’ on LC, then DCR believes that an exist-ing trade receivables transaction in country Xshould not be rated much higher than ‘BBB+’(this is assuming the credit enhancement, col-lateral characteristics, legal issues, swapmechanism and other transaction features arein conformity with the level of rating). How-ever, it would be difficult to define a set bench-mark for the rating level cap, as the influenceof the sovereign LC rating on potential perfor-mance of the asset-backed transaction willvary across sovereigns and time periods. De-spite the LC sovereign rating constraining thetransaction rating, it still enables anoninvestment-grade originator on an LC ba-sis to achieve an investment-grade transactionrating.

Offshore Trade ReceivablesIn offshore transactions, the receivables

are basically export receivables denomi-nated in hard currencies that are generatedoffshore, such as the U.S. dollar. These receiv-ables automatically provide a natural hedgeagainst the exchange rate, convertibility andtransfer risks and, therefore, are not con-strained by the FC ceiling of the country.Also, as the receivables are generated off-shore and obligors are in other countries,these receivables are also, to a large extent,isolated (although not completely) from themacroeconomic and legal risks of the origi-nating country, enabling the transactionrating to be higher than the LC sovereignceiling.

Nonetheless, DCR perceives that the

Diagram 1Onshore Trade Receivables Securitization

Funding Raised Overseas in FC(With Cross Currency Swap)

Ons

hore

SPVP&I Payments

INVESTORS

ORIGINATOR CUSTOMERS LOC IssuingBank

LOC NegotiatingBank

Assignment/Sale of

Receivables

ExcessPayments(PurchaseNewReceivables)

Swap Counterparty— offshore

Payments (Domestic Currency)Swap Counterparty— onshore

US$Payments

Sale ofGoods

Payments Payments

PaymentsDomestic Currency

Inter-Companyflows

Ons

hore

Ons

hore

INVESTORSINVESTORS

Payments

ORIGINATOR

CUSTOMERS

SPV

LOC IssuingBank

LOC NegotiatingBank

Saleof

Goods Sale ofReceivables

Excess Payments(Purchase New Receivables)

Payments

P&I Payments

Payments Payments

Ons

hore

Diagram 2Offshore Trade Receivables Securitization


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transaction is still subject to a certain degreeof sovereign expropriation and interferencerisk. Certain agreements under the transac-tion, such as the sale/assignment of receiv-ables agreement (or sale of goods agree-ment) between the originator and the over-seas SPV, are likely to be governed underdomestic laws. This provides leeway to thesovereign to take some drastic actions un-der the color of law to expropriate receiv-ables in an extreme economic stress situa-tion. DCR will, therefore, cap the transactionrating at a certain level above the sovereignFC rating, depending on transaction andsovereign specifics.

The typical onshore and offshore trade re-ceivables structures are shown on the facingpage.

Other Structural IssuesBesides assignment of receivables directly

to the SPV, some trade receivables structuresalso incorporate the sale of goods to an inter-mediary that, in turn, assigns the receivables tothe SPV. A common reason for having an in-termediary is to bypass certain tax and regu-latory issues in certain countries. Sale of re-ceivables directly to an SPV could attractvalue-added tax and could require obtainingapproval from regulatory authorities. By hav-ing an intermediary SPV between the goodsthat are sold (instead of assigning receivables),the aforementioned tax and regulatory issuesare avoided. This intermediary, in turn, as-signs the receivables, and such assignmentdoes not fall under the regulatory laws of theoriginating country.

Another advantage that can be obtained ifthe intermediary can be structured as a typicalbankruptcy-remote SPV, with its underlying as-sets “ring fenced” against the competing claimsof all its creditors (including the originator sell-ing goods to the intermediary SPV), is to preventredirection and co-mingling risks. This interme-diary SPV assigns all the receivables to a trust ora new SPV. However, as the payment flow in atrade receivables transaction is quite complex,involving a large number of customers whouse different modes of payments—letter ofcredit (LOCs), documents against payment(DPs), documents against acceptance (DAs),etc.—there is a possibility that some paymentsmay flow back to the intermediary rather thanto the new SPV or trust, to which the receiv-ables are assigned. This may occur notwith-standing the existence of notices and acknowl-edgments (as explained in the section titled“Legal Considerations”) to obligors with in-structions to pay directly into a separate ac-count under the sole domain of the trustee forthe benefit of investors. In this case, as the in-termediary SPV is a “ring fenced” SPV and

controlled by the trustee, such receivable col-lections can be structured to be claimed backby the trust, mitigating redirection/co-min-gling risks.

The SPV or the trust to which the receiv-ables are assigned (either by the originator di-rectly or through an intermediary SPV) mustset up a separate collection account to which allthe payments are directed. Funds held in suchan account should not be subject to entrapmentin the bankruptcy estate of the originator. Forthis it is necessary that all the payee obligorshave been given instructions to pay directly tothe specific trust collection account. The payeeobligors in a trade receivables transaction arenot only the customers paying directly but alsocustomers paying through LOCs and otherbanking instruments. The notices, therefore,need to be served not only to customers butalso to the LOC negotiating bank (in case thebeneficiary named in the LOC or other bankinginstruments is not the designated trust ac-count) through which LOCs and other bankingchannel payments are routed. The paymentmechanism has to be carefully analyzed andit must be ensured that payments are directedonly into the specific trust collection accountby issue of notices to all intermediaries in-volved like negotiating banks.

Collateral ConsiderationsThe receivables represent indebtedness of

obligors from the sale of goods. The obligorsare the customers that pay directly and theLOC issuing banks in cases in which receiv-ables are backed by LOCs. DCR works withthe seller/servicer to achieve eligibility re-quirements that are not disruptive to the nor-mal course of business, yet provide investorprotection. Some examples of receivablesdeemed ineligible include receivables aged be-yond a certain number of days; receivablesdue from originator’s affiliates (although cer-tain structures may allow this); receivablesdue from certain countries or currencies incase of cross-border transactions; and receiv-ables due from government or governmentagencies having a right to offset. These grosseligible receivables are further adjusted with aconcentration reduction amount to arrive atthe net eligible receivables or the borrowingbase. The concentration reduction generallyincludes limits on receivables by region, coun-try, currency and rating level of obligors (in-cluding LOC banks).

The purpose of concentration reduction isto ensure the losses or disputes from largeobligors do not translate into significantlosses for the pool. The concentration limitwill depend on the specific transaction andthe rating sought for the transaction. How-ever, as a broad benchmark DCR will re-

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quire that single noninvestment-grade andinvestment-grade obligors do not exceed 5%and 10% of the aggregate receivables pool,respectively. Similarly the benchmark limitfor noninvestment-grade and investmentgrade country is 10% and 20%, respectively.The net eligible receivables or the borrowingbase is arrived at after deducting the requi-site concentration reductions. This is theamount on which the funding is raised andcredit enhancement is sized to arrive at theissuance amount of the investor certificates.

Credit EnhancementTwo types of credit enhancements can be

applied for existing trade receivablessecuritization: a dynamic reserve mecha-nism and static credit enhancement. In atrade receivables pool, receivables pay outwithin two to three months and the pool com-position and characteristics could vary con-siderably from period to period. The dynamicreserve is a formula-driven form of credit en-hancement that constantly adjusts theamount held in the reserve fund in responseto changes in pool performance. A dynamicreserve can be much more preferable com-pared to static credit enhancement, both frominvestors’ and issuers’ perspective.

From the investor’s perspective, a dy-namic reserve allows for a continuous creditenhancement in concert with the perfor-mance of underlying assets, takes into ac-count changes in pool characteristics andprotects against rapid deterioration of poolperformance. It also enables investors tomatch their returns to maturity as it preventsany early wind-down in case of a spike inlosses above a trigger level. From the issuer’sperspective, a dynamic reserve provides anenhancement structure more economicalthan static reserve. It prevents undue penaltyrequiring a specific amount of cash in the re-

serve account irrespective of the underlyingpool’s performance. It also considerably re-duces the chances of early amortization of thetransaction, as fewer performance-basedtriggers are incorporated in the structure.

Dynamic Reserve Credit EnhancementA dynamic reserve equals the sum of the

loss reserve and dilution reserves. The loss re-serve sizes the amount required to cover lossesusing a multiple of past delinquency as a proxyfor losses. The dilution reserve amount pro-tects the investor against losses resulting fromdilutions such as returned items and billingdisputes. DCR uses a sophisticated model forcalculation of the dynamic reserve. DCR’s dy-namic reserve calculation also utilizes a vola-tility factor based on standard deviation forboth the loss and dilution components of thereserve calculation, which is unique in the in-dustry. The complete details of dynamic re-serve calculations, along with an illustration,are attached in the Annex on page 10.

The dynamic reserve is set up along witha minimum reserve floor. The reserve floorfunctions as protection from credit risk im-plicit in obligor concentrations and ensuresthat expected levels of dilutions are coveredat minimum. It mitigates the risk of loss to in-vestors resulting from the likelihood that atarget number of obligors will default in theirpayment obligations during an amortizationperiod. The reserve floor is calculated by add-ing an amount equal to certain obligor con-centrations. The reserve floor should at leastcover a certain number of the obligors in dif-ferent rating categories, depending on thetransaction’s rating. The reserve floor shouldalso cover expected dilution, and a stressmultiple of the 12-month average dilutionwill need to be assessed.

Static Credit EnhancementStatic credit enhancement can be preferable

for a pool of receivables exhibiting little vola-tility across various performance parametersin the past. For calculation of the static creditenhancement, information on the last four tofive years of historical data on receiv-ables performance, including delinquencies,losses and dilutions, is required. The histori-cal data should cover at least one recessioncycle of the concerned industry, which willgive an indication of the stressed reserve levelrequirement. DCR will apply its dynamic re-serve calculation model on the historicalnumbers and will typically assume the maxi-mum reserve requirement in any month asthe static reserve level for the transaction.This reserve level may be adjusted (upwardor downward) if the current operating andexpected environment of the receivables sowarrant.

A Sample Eligible Receivables andIssuance Amount Calculations inTrade Receivables Securitization

Gross ReceivablesLess Ineligible Receivables (as per eligibility criteria)■ Receivables aged beyond a certain number of days■ Receivables due from certain ineligible countries■ Receivables due from certain ineligible currenciesGross Eligible ReceivablesLess Concentration Reduction■ Obligor limit by rating category■ Obligor limit by country/region■ Obligor limit by currencyNet eligible receivables (borrowing base)Less subordination (or reserve requirements)Net principal funding amount

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If the details on the historical performanceare not available or historical performancedoes not cover a recessionary cycle, DCR, insuch circumstances, can use its CBO ap-proach to analyze the receivables. In thiscase, each rating of each receivable obligorwill be analyzed, along with its concentra-tion by rating category, country, region, in-dustry, etc. A box approach will be used inwhich the receivables always have to satisfya predesignated rating level, country, regionand other specific concentration limitsthroughout the term of the transaction.

Stricter concentration limits will beplaced vis á vis concentration limits placedto cull out ineligible receivables (as detailedearlier). Receivables in excess of the concen-tration limit specified will be deemed ineli-gible and in the absence of sufficient genera-tion of new receivables in the future periods,the transaction can pay down if the collat-eral sufficiency test is not met. To arrive atthe targeted transaction rating, this pool ofreceivables will be analyzed based on CBOmethodology. This method of calculation ofstatic reserve presupposes that the creditquality or the ratings of all the receivable ob-ligor is known.

Carrying Cost ReserveThe rating also accounts for the need of

reserves sufficient to cover the costs associ-ated with the administration of thesecuritization itself. Because trade receiv-ables do not have an explicit interest rate, adiscount sufficient to cover carrying costson stressed basis must be imputed. The car-rying cost reserve requirement is based onthe actual interest costs during the time re-quired to wind down the securitization plustrustee fees, servicing fees and other admin-istrative costs. This reserve requirement isover and above the credit enhancement re-quirement on dynamic or static basis, whichspecifically cover default and dilution risksand not the administration costs.

Credit enhancement for onshore tradereceivables transactions

DCR’s model for dynamic reserve calcula-tions uses a specific stress multiple commen-surate with the transaction rating level (for de-tails on specific stress factors, refer to the An-nex). This stress multiple is applied to the keyperformance parameters such as default/di-lution ratio, default/dilution horizon stress,etc., to arrive at the dynamic reserve amount.However, these specific stress multiples relateto the receivables generated in a ‘AAA’ (LCrating) country or offshore receivables inwhich no single-country risk is present. DCRperceives that in the case of onshore trade re-ceivables, significantly impacted by the sover-

eign macroeconomic and legal conditions, thestress multiple will be different from the spe-cific stress multiple typically used for a ‘AAA’(LC rating) country or offshore trade receiv-ables transactions.

DCR perceives that the stress multiple is afunction of the sovereign macroeconomic andlegal environment of the underlying collateral.Therefore, the stress multiple used if the receiv-ables are generated in a ‘AAA’ (LC rating)country such as the United States and in any‘BBB’-rated (LC rating) emerging market coun-try has to be different. The degree of differencewill be transaction-specific and will criticallydepend on the targeted transaction rating andthe concerned sovereign’s domestic economicsituation and legal environment, with thesovereign’s local currency rating as the broadbenchmark.

Legal ConsiderationsIn legal analysis of trade receivables, the

two key areas DCR focuses on are:

■ The sale or assignment of receivables to theSPV; and

■ The enforceability of such sale or assign-ment against the obligors.

The SPV to which the receivables are as-signed should be bankruptcy remote. The SPVbuys the receivables from the originator andsells/pledges them to the trust, thereby dis-tancing receivables from the risk of originator’sbankruptcy. DCR’s stress scenarios for estab-lishing legal requirements assume that anynoninvestment-grade seller experiences bank-ruptcy during the life of the transaction. There-fore, in all trade receivables transactions, DCRneeds to be assured that the trustee has a supe-rior interest in the receivables compared to theinterest of other creditors. DCR also evaluatesthe risk that such interest may be subject tononinsolvency-related and timing delays, suchas those that may arise due to sovereign or cor-porate reasons. DCR will also need to reviewthe potential applicability of bankruptcy lawin any of the related jurisdictions that providefor a debt moratorium, automatic stay or othersimilar delays in the exercise of the creditors’rights and the effect such laws may have onthe transfer of receivables prior to bankruptcyor liquidation. Certain legal opinions relatingto true sale/nonconsolidation and the perfec-tion of first perfected security interest are re-quired to ensure legal soundness.

The issue of notes to the seller from the SPCfor ineligible receivables could affect the truesale characteristic of the transaction in certainjurisdictions. The legal opinion should pro-vide a comfort to DCR that such seller notesdo not hinder true sale characterization or elsethe transaction should incorporate requisite

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covenants, such as capping the amount of theseller note, to ensure the soundness of the le-gal structure of the transaction.

The obligors in trade receivables transac-tions should be issued a written notice inwhich the originator instructs the obligors toeffect all payments to a collection account thatis under the control of a trustee. The notices bythemselves may not be enough to bind the ob-ligors to pay into the collection account andthe acknowledgments from the obligors as areceipt by countersigning on notice should beobtained. However, in many trade receivablestransactions (particularly cross border), be-cause the numbers of the obligors are verylarge, it is somewhat impracticable for theoriginator to obtain acknowledgments fromall the obligors.

In such a situation, DCR could rely on legalopinions from various obligors’ jurisdictionsstating that notice by itself is enough for per-fection of assignment against the obligors.However, if such jurisdictional legal opinioncannot be obtained, then acknowledgmentshave to be obtained from the obligors to ensureenforceability of notice. Overall notices and ac-knowledgments or jurisdictional legal opin-ions are necessary to ensure that obligors payinto the specific collection account and to miti-gate any payment diversion risks.

In addition to legal opinions on true sale,first perfected security interest and noticeand acknowledgments, certain other opin-ions from each applicable jurisdiction re-garding enforceability of transaction docu-ments; enforceability of foreign judgments;necessary government consents; and no im-munity from legal process, etc., need to beobtained. The specific requirements for aparticular transaction will determine the re-quirements of the legal opinions.

Seller/Servicer IssuesThe evaluation of capabilities of the

servicer is a key component of rating a tradereceivables transaction. Typically, in all tradereceivables transactions, the seller is theservicer for the transaction also. DCR reviewsthe servicer’s system capabilities, capacityand flexibility, controls in place to mitigate er-rors and fraud, management/reporting struc-ture and contingency plans. A sophisticatedaccounts receivables system is essential totrade receivables transactions because of therapid turnover of the receivables and very fre-quent reporting requirements (perhaps on adaily or weekly basis). DCR also evaluates theseller/servicer’s financial condition and therisk of bankruptcy. A financially distressedseller/servicer may have a negative impact onthe pool’s performance. An obligor’s willing-ness to pay a financially troubled seller/

servicer may decrease if collection efforts areexpected to slacken. Thus, the financial insta-bility of the seller/servicer may result in higherdilutions, set-off risks and delinquencies.

Backup ServicerAs in the emerging markets, the transac-

tion rating is typically several notcheshigher than the seller/servicer rating tomitigate the risk of seller’s bankruptcy ordeterioration of seller’s financial condition.DCR will require in most transactions thata “hot” or “warm” backup servicing mecha-nism is in place to ensure continuous servic-ing during bankruptcy of the seller/servicer. (A “hot” backup runs a paralleladministrative system for receivables, whilea “warm” backup reviews the periodicservicer reports, verifies the pool’s cashflows and receives monthly computertapes.) The requirement of a backup servic-ing mechanism is of particular importancein emerging markets even though the sameis not rigidly applied in developed markets.

For a rapidly revolving asset type liketrade receivables, the timeliness of transfer tothe backup servicer’s system is critical. Forthis reason, DCR prefers the backup servicerbe involved in the servicing process at the be-ginning of the transaction. The backupservicer should be provided with all the datafiles and the same should be checked for op-erations in its system. The backup servicershould receive all the data files on a fixedperiodic basis and maintain an on-line link-up with the existing servicers’ systems sothat it has real time data and active over-sight of servicing. The backup servicertransfer time plan should be clearly set up.Also, the backup servicer servicing capabili-ties in terms of its track record, experience,staffing levels, data handling, processingcapabilities and set-up needs to reviewed.

The triggers incorporated in the transac-tion for the backup servicer commencementneed to be carefully analyzed. In view of theimportance of backup servicer and linkage ofreceivables performance to the seller’s finan-cial condition, the triggers should be proac-tive to warn any potential bankruptcy of theoriginator. The triggers, therefore, should belinked directly to the servicer’s financial con-dition such as its debt-to-capital ratio, crossdefaults on other obligations, commence-ment of any legal proceeding against theseller, etc.

Fraud RisksThe review of the seller/servicer’s structure

of management and controls/checks in place isalso necessary to mitigate fraud risks. Fraudrisk is present in securitizations of all assettypes. However, it is of critical importance in


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rapidly revolving asset type like trade receiv-ables. This risk is further increased when a tradereceivables transaction is structured in a subin-vestment-grade sovereign.

To mitigate fraud risks, the initial pool of re-ceivables, the invoicing procedures, reportingsystems, etc., should be audited by a certifiedpublic accounting firm (preferably “big-five”).Such an audit, as well as a review of manage-ment controls and checks in place, should becarried out throughout the term of the transac-tion. The servicer report incorporating com-plete details on receivables performance, re-serve requirements and compliance to transac-tion covenants in a collection period should beprepared in a predefined format throughoutthe life of the transaction. The same needs to bevetted by a certified public accounting firm on aregular basis. The servicer report is typicallyprepared by the seller/servicer. However, DCRmay insist that a third-party servicer take onthis responsibility in certain cases to furthermitigate the fraud risks.

Major RisksLegal risks: The legal risks are mitigated bysuitable legal opinions on the bankruptcy re-moteness of SPV, true sale of receivables to theSPV and ensuring enforceability of notices inapplicable jurisdictions either through obtain-ing acknowledgments from customers orthrough jurisdictional legal opinions.

Obligor default and dilution risks: The defaultrisk of the obligors and dilution risks are miti-gated by culling out ineligible receivables, set-ting up concentration limits and determiningcredit enhancement levels based on historicalanalyses of payments (in case of static creditenhancement) and ongoing analyses of pay-ments (in case of dynamic reserve).

Sovereign risks: DCR perceives the element ofsovereign risks is in both offshore and onshoretrade receivables transaction. In offshore tradereceivables, the risk is considerably muted, al-though the risk of sovereign interference in asevere stress situation cannot be ruled out. Inonshore trade receivables, the transaction issubject to a higher degree of legal and macro-economic risks, as receivables are generatedonshore, and therefore, the transaction ratingis typically capped near the LC rating, de-pending on the transaction structure and thesovereign involved.

The two other major elements of sovereignrisks are detailed below:

◆ Redirection risks. There is no productredirection risks in the transaction, as thefunding is against only the existing receiv-ables. The payment redirection risks aremitigated by issuing notice to all obligors(including negotiating banks in the case ofindirect LOC payments by customers) andobtaining acknowledgments or legal opin-ion in relevant jurisdictions to ensure en-forceability of the notices.◆ Transfer and covertibility risks. In thecase of an offshore trade receivables (off-shore funding backed by offshore obli-gors), transaction automatically mitigatesagainst transfer and convertibility risks,as the receivable payments do not enter theoriginator’s country. In the case of an on-shore trade receivables in which the fund-ing is raised overseas (offshore fundingbacked by onshore receivables), the trans-fer and convertibility risk is typically miti-gated by incorporating a cross currencyswap.

Fraud risks. The risk of fraud is mitigated byan initial audit of the receivables pool andinvoicing procedures and, thereafter, a regu-lar audit of the same along with a review ofthe seller/servicer’s structure of manage-ment and controls and checks in place,throughout the term of the transaction. Theinstallation of a hot third-party servicer thatprepares the servicer report also mitigatesthe fraud risk to a certain extent. While fraudrisk is apparent in all securitizations involv-ing the originator acting as the servicer, DCRbelieves the risk is increased when structur-ing a transaction in a subinvestment-gradesovereign.

Servicing risks. The servicing risks are miti-gated by incorporating a “hot” or “warm”backup servicing mechanism. As the origina-tor typically is the main servicer, the transac-tion covenants should have suitable proac-tive backup servicer triggers forewarning aoriginator’s deteriorating financial conditionand impending bankruptcy. Review of thebackup servicer transfer plan and thebackup servicer’s credentials is also neces-sary to ensure smooth operation of the trans-action in the case of triggering the backupservicer event. DCR

u 10


Calculating the Dynamic ReserveDynamic Reserve = Loss Reserve + Dilution Reserve (subject to a minimum required reserve floor)

Loss Reserve = (A x B x C x D) + E

A = Rating MultiplierB = Default RatioC = Default Horizon StressD = Payment Terms FactorE = Default Volatility Factor

Rating Multiplier: This number is used to add a multiple of stress commensurate with the transaction’s ratinglevel to the other Loss Reserve components (see table below)

Default Ratio: Highest three-month rolling average (of the most recent 12 months) of the default percentagethat is an approximation of the losses, plus any identified write-offs less than 91 days past due when written off,divided by the total sales in the month in which these loss proxy accounts were generated. This sales number isused to account for the time-lag effect when estimating performance rates. Assuming 30-day payment terms andaccounts in a delinquent bucket of 91-120 days used as a loss proxy, the Default Ratio would equal the highestthree-month rolling average over a 12-month of all accounts 91-120 days past due plus any identified non-pays,as a percentage of sales four months prior.

Default Horizon Stress: All sales that occurred during the default horizon as a percentage of eligiblereceivables. The default horizon is the lesser of (1) the actual time from origination for a receivable to becomeineligible for the purposes of securitization, or (2) the sum of the weighted-average payment terms and thenumber of days delinquent used to approximate losses, in the example above, the default horizon is approximatelyfour months (30 + 91 = 121 days). Given stable originations and a 30-day portfolio turnover, the stress wouldequal approximately four. This stress, in conjunction with the Default Ratio, quantifies the amount of receivableslikely to default that are embedded in the current portfolio.

Payment Terms Factor: Current weighted-average payment terms divided by the original weighted-averagepayment terms. On the first day of a transaction, this factor will always be one, but a sampling of accountsthroughout the term of the transaction will indicate changes in the weighted-average payment terms. This factoris used to adjust the horizon stress if there is a fluctuation in the payment terms, since the originator has the abilityto control/change payment terms.

Default Volatility Factor: The 12-month sample standard deviation of the monthly default percentage (anapproximation of the losses, plus an identified write-offs less than 91 days past due when written off, divided bythe total sales in the month during which these loss proxy accounts were generated), multiplied by the Z value.The Z value provides a confidence interval commensurate with the rating of the transaction (see Table below).This Volatility Factor protects investors from spikes occurring after a period of relatively stable perfomance.

Dilution Reserve = [(A x B) + E] x C x DA = Rating MultiplierB = Dilution RatioC = Dilution Horizon StressD = Payment Terms FactorE = Dilution Volatility Factor

Rating Multiplier: This number is used to add a multiple of stress commensurate with the transaction’s ratinglevel to the other Dilution Reserve components (see table above).

Dilution Ratio: 12-month average of the percentage of current dilutions over the sales in the month originatingthe dilutions.

Dilution Horizon Stress: Cumulative sales in the dilution horizon divided by the ending balance of theeligible receivables. The dilution horizon is the weighted-average time lag between the sale and the recognitionof dilution, as estimated using a sampling of invoices for dilutive items. This stress, in conjunction with the DilutionRatio, quantifies the amount of receivables likely to be subject to dilution that are embedded in the currentportfolio.

Payment Terms Factor : See above.

Dilution Volatility Factor: Sample standard deviation over 12 months of the percentage of current dilutionsover the sales in the month originating the dilutions, multiplied by the Z value. The Zvalue provides a confidenceinterval commensurate with the rating of the transaction (see table above). This volatility Factor protects investorsfrom losses due to dilutions in a wind-down scenario, even after a period of relatively stable dilutions.

Required RatingRating Multipliers “Z” Values

AAA 2.50 2.58AA 2.25 2.58A 2.00 1.96

BBB 1.50 1.96

Rating Multipliersand Appropriate Z Values

Annex


11 u

The following illustrates the mechanics ofthe dynamic reserve in an actual tradereceivables transaction (note that numbershave been changed slightly to protect theidentity of the transaction). In both theLoss Reserve and Dilution Reserve tables(page 13), it is possible to see that everylevel of losses or dilutions is met by morethan adequate credit enhancementcoverage.

Mechanics of the Loss Reserve: Thefollowing il lustration emulates a ‘AAA’-rated security with constant 30-daypayment terms so the Rating Multiplieralways equals 2.50 (see page 10) and the Payment Terms Factor always equals 1 (30days/30 days). In month 10, the number used as a loss proxy has increased from theprevious month’s level to 1.25%. In this case, the loss proxy is a sum of any accountsidentified as non-pays and accounts 91-120 days delinquent. Because the loss proxyincreased, the three-month rolling average of the loss proxy (column ii) also increases.Taking the highest three-month rolling average gives a Default Ratio of 0.73%, meaningthat for every $1.00 of originations there is $0.0073 of embedded loss. To account for thelosses embedded in the portolio that were generated since the period in which the lossproxy accounts were generated, the Default Horizon Stress is calculated by dividing thefour-month cumulative sales by the ending balance of eligible receivables. Thus, it is expectedthat if a wind-down commences in month 10, 2.24% (3.07 x 0.73%) of the total portfolio isexpected to result in losses during the wind-down period. The 12-month sample standarddeviation of the loss proxy increases from 0.10% to 0.24% in month 10. The standarddeviation is then multiplied by the ‘AAA’ Z value of 2.58% (see page 10) to calculate theDefault Volatility Factor of 0.62%. The Default Volatility Factor is added to the product of theRating Multiplier, Default Ratio, Default Horizon Sress and Payment Terms Factor to realizethe required Loss Reserve percentage [(2.50 x 0.73% x 3.07 x 1) - 0.62% = 6.22%].

Wind-down protection: In a wind-down scenario, the reser ve levels remain at thelevels required in the month preceding the wind-down. The Loss Reserve table illustratesthat when the highest losses occur (month 10), the reserve level required in the previousmonth (4.24%) provides support equal to 3.4X the single-month loss rate (1.25%). As thedefault horizon stress in month nine is 3.23, the month nine reserve level is sufficient to coverlosses during a wind down. Graph 2 presents a striking representation of the sufficiency ofthe reserve, in dollar terms, if a wind-down commences in month 10. The graph shows thatthe reserve account, held at the month nine level (4.24%), covers even the peak DefaultRatio for the balance of the horizon [1.25% - (3 x 0.73%) = 3.44%]. Notwithstanding awind-down, the Loss Reserve immediately increases dramatically in response to a spike ofthe loss proxy indicator, as illustrated in Graph 1.

Volatility Protection: The DilutionReserve table presents the effect on thereser ve calculation of an increase indilutions in month 12. While the DilutionReserve increases substantially at theend of the month, the table indicatesthat the Dilution Volatili ty Factor is astrong catalyst in the reserve requirementincrease. Dilutions more than doublefrom month 11 to month 12, but theDilution Ratio increases by only 7.9%because it is a 12-month rolling averagecalculation. The standard deviationcalculation, however, captures the spikeand causes the Dilution Volatility Factorto increase 2.4%,-from 2.54% to 3.16%.

Mechanics of the Dilution Reserve: The calculation of the Dilution Reserve is similarto that of the Loss Reserve. However, because a 12-month rolling average of Dilutoins hasmore of a tendency to dampen spikes than the three-month rolling average that is used inthe Loss Reserve calculation, the volatility factor is embedded in, rather than added to, theDilution Reserve. Taking Month 12 as an example, dilutions as a percent of sales in themonth that generated the dilutions increased to 5.76% from 2.33%. This dramatic increasemet an increase in the Dilution Ratio from 3.16% to only 3.41%. However, the 12-month

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Loss Reserve in Previous PeriodLoss Proxy for Current Period

Loss Reserve $

Graph 2

Case Study: The Mechanics of the Dynamic Reserve

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Loss Reserve in Previous PeriodLoss Proxy for Current Period

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Graph 1

u 12


sample standard deviation simultaneously increased to 1.22%, in turn causing the DilutionVolatility Factor to reach 3.16% (1.22% times the ‘AAA’ Z value of 2.58).

In this example, the ‘AAA’ Rating Multiplier is used and the Payment Terms Factor remainsunchanged at 1. To calculate the required Dilution Reserve level, the product of the RatingMultiplier and the Dilution Ratio is added to the Dilution Volatility Factor (2.50 x 3.41%) +3.16), then this sum is multiplied by both the Dilution Horizon and the Payment Terms Factor(((2.50 x 3.41%) + 3.16) + 1.63 x 1).

Case Study (cont’d)

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13 u

A i ii B iii iv C D v E viRating Default Ending Default 12-Month Default

Multiplier Loss/Proxy/ (3-Month Ratio 4-Month Balance Horizon Payment Sample Standard Volatility Loss(for ‘AAA’ Sales Rolling 12-Month Cumulative Eligible Stress Terms Deviation Factor Reserve

Month rating) 4-Month Prior Avg. of i) Peak of ii) Sales Receivables (iii/iv) Factor (of i) (2.58xV) ((AxBxCxD)+E)1 2.50 0.32% 0.44% 0.56% $349,600 $110,700 3.16 1 0.13% 0.33% 4.71%2 2.50 0.60% 0.49% 0.56% $362,000 $120,750 3.00 1 0.14% 0.35% 4.51%3 2.50 0.42% 0.45% 0.56% $387.500 $121,700 3.18 1 0.14% 0.35% 4.77%4 2.50 0.33% 0.45% 0.56% $382,600 $112,800 3.39 1 0.10% 0.27% 4.98%5 2.50 0.52% 0.42% 0.49% $386,400 $116,000 3.33 1 0.11% 0.28% 4.37%6 2.50 0.50% 0.45% 0.49% $397,900 $123,900 3.21 1 0.11% 0.27% 4.21%7 2.50 0.47% 0.49% 0.49% $391,900 $120,900 3.24 1 0.11% 0.27% 4.28%8 2.50 0.40% 0.45% 0.49% $399,800 $109,750 3.64 1 0.11% 0.27% 4.78%9 2.50 0.54% 0.47% 0.49% $396,000 $122,750 3.23 1 0.10% 0.25% 4.24%10 2.50 1.25% 0.73% 0.73% $361,000 $117,500 3.07 1 0.24% 0.62% 6.22%11 2.50 0.76% 0.85% 0.85% $356,000 $126,750 2.81 1 0.25% 0.64% 6.62%12 2.50 0.27% 0.76% 0.85% $356,000 $118,200 3.01 1 0.26% 0.68% 7.09%

Loss Reserve

A i B ii iii C D iv E vRating Dilution Ending Dilution 12-Month Dilution

Multiplier Dilutions/ Ratio 2-Month Balance Horizon Payment Sample Standard Volatility Dilution(for ‘AAA’ Sales (12-Month Cumulative Eligible Stress Terms Deviation Factor Reserve

Month rating) 2-Month Prior Avg. of i) Sales Receivables (ii/iii) Factor (of i) (2.58 x iv) ((AxB)+E)xC+D)1 2.50 5.05% 3.26% $191,000 $110,700 1.72 1 1.65% 4.26% 21.39%2 2.50 2.04% 2.95% $186,500 $120,750 1.55 1 1.54% 3.98% 17.55%3 2.50 3.96% 3.09% $196,500 $121,700 1.62 1 1.46% 3.76% 18.57%4 2.50 3.16% 3.10% $196,100 $112,800 1.74 1 1.35% 3.48% 19.55%5 2.50 3.64% 3.16% $189,900 $116,000 1.64 1 1.28% 3.29% 18.33%6 2.50 3.79% 3.22% $201,800 $123,900 1.63 1 1.22% 3.15% 18.25%7 2.50 3.92% 3.29% $202,000 $120,900 1.67 1 1.18% 3.03% 18.80%8 2.50 3.03% 3.27% $198,000 $109,750 1.80 1 1.12% 2.90% 19.95%9 2.50 2.81% 3.45% $194,000 $122,750 1.58 1 0.77% 1.98% 16.76%10 2.50 1.44% 3.26% $163,000 $117,500 1.39 1 0.95% 2.45% 14.69%11 2.50 2.33% 3.16% $162,000 $126,750 1.28 1 0.98% 2.54% 13.33%12 2.50 5.76% 3.41% $193,000 $118,200 1.63 1 1.22% 3.16% 19.08%

Dilution Reserve

Annexure (contd)

u 14


About the Authors

mit K. Agarwala is an assistant vicepresident in the International Struc-tured Finance Group at DCR.

Based in Hong Kong, Mr. Agarwala is re-sponsible for credit rating analysis of struc-tured finance transactions in the Asia-Pacificregion. He works on various traditional exist-ing asset-backed types, such as trade, creditcard and consumer receivables, aside fromnontraditional future-flow transactions in-cluding trade and financial future-flows.

Prior to joining DCR, Mr. Agarwala wasan assistant director at Peregrine Fixed In-

come Limited. He was responsible fordebt structuring and execution andworked on several deals in the region.Previously, he worked for approximatelyfive years in the Proprietary CreditGroup of Industrial Credit and Invest-ment Corporation of India Ltd. (ICICI), apremier financial institution in India.

Mr. Agarwala holds a Bachelor of Com-merce (Hons.) and an M.B.A., with special-ization in Finance, from University ofDelhi, India. He can be reached at+(852) 2901 0505/[email protected].

regory J. Kabance is a vice president inthe International Structured FinanceGroup at DCR.

Mr. Kabance plays a leading role in pro-viding credit ratings for emerging marketstructured finance transactions. He is cur-rently focusing on Asian securitization andis responsible for analytical coverage of ex-isting asset transactions, including con-sumer receivables and CBO/CLOs, and fu-ture-flow receivable transactions, includingexport receivables and bank receivables. Hehas recently moved to Hong Kong fromDCR’s Chicago office where he was respon-sible for analytical coverage of Latin Ameri-can securitization.

Prior to joining DCR, Mr. Kabanceserved as a commercial credit analyst atthe Bank of Tokyo where he was respon-sible for analyzing a variety of companies,including Japanese subsidiaries domiciledin the United States. He was also respon-sible for certain asset-backed transactions.Previously, he worked at Michigan Na-tional Bank as a credit analyst responsiblefor various transactions, including real es-tate and middle-market corporations.

Mr. Kabance earned a B.A. in financefrom Michigan State University and at-tended the University of Chicago’s Gradu-ate School of Business. He can be reachedat +(852) 2901 0502/[email protected].

G

A

Information was obtained from sources believed to be accurate and reliable. However, we do not guarantee the accuracy, adequacy or completeness of any informationand are not responsible for any errors or omissions or for the results obtained from the use of such information. Issuers of securities rated by DCR have paid a creditrating fee based on the amount and type of securities issued. We do not perform an audit in connection with any information received and may rely on unauditedinformation. Our ratings are opinions on credit quality only and are not recommendations to buy, sell or hold any financial obligation and may be subject to revision,suspension or withdrawal at any time as necessary due to changes in or unavailability of information or other circumstances.

Copyright © 1999 Duff & Phelps Credit Rating Co. All rights reserved. Contents may be used by news media with credit to Duff & Phelps Credit Rating Co.


15 u

Short-Term DebtRating Scale

Rating Definition

High Grade

D-1+ Highest certainty of timely payment.Short-term liquidity, including internaloperating factors and/or access toalternative sources of funds, isoutstanding, and safety is just belowrisk-free U.S. Treasury short-termobligations.

D-1 Very high certainty of timely payment.Liquidity factors are excellent andsupported by good fundamentalprotection factors. Risk factors are minor.

D-1- High certainty of timely payment.Liquidity factors are strong andsupported by good fundamentalprotection factors. Risk factors are verysmall.

Good Grade

D-2 Good certainty of timely payment.Liquidity factors and companyfundamentals are sound. Althoughongoing funding needs may enlarge totalfinancing requirements, access to capitalmarkets is good. Risk factors are small.

Satisfactory Grade

D-3 Satisfactory liquidity and other protectionfactors qualify issues as to investmentgrade. Risk factors are larger and subjectto more variation. Nevertheless, timelypayment is expected.

Non-Investment Grade

D-4 Speculative investment characteristics.Liquidity is not sufficient to insureagainst disruption in debt service.Operating factors and market access maybe subject to a high degree of variation.

Default

D-5 Issuer failed to meet scheduled principaland/or interest payments.

Long-Term Debt& Preferred Stock

Rating Scale

Rating Definition

AAA Highest credit quality. The risk factors arenegligible, being only slightly more thanfor risk-free U.S. Treasury debt.

AA+ High credit quality. Protection factorsAA are strong. Risk is modest but may varyAA- slightly from time to time because of

economic conditions.

A+ Protection factors are average butA adequate. However, risk factors areA- more variable and greater in periods of

economic stress.

BBB+ Below average protection factors butBBB still considered sufficient for prudentBBB- investment. Considerable variability in

risk during economic cycles.

BB+ Below investment grade but deemedBB likely to meet obligations when due.BB- Present or prospective financial protection

factors fluctuate according to industryconditions or company fortunes. Overallquality may move up or down frequentlywithin this category.

B+ Below investment grade and possessingB risk that obligations will not be metB- when due. Financial protection factors will

fluctuate widely according to economiccycles, industry conditions and/orcompany fortunes. Potential exists forfrequent changes in the rating within thiscategory or into a higher or lower ratinggrade.

CCC Well below investment grade securities.Considerable uncertainty exists as totimely payment of principal, interest orpreferred dividends. Protection factors arenarrow and risk can be substantial withunfavorable economic/industryconditions, and/or with unfavorablecompany developments.

DD Defaulted debt obligations. Issuer failed tomeet scheduled principal and/or interestpayments.

DP Preferred stock with dividend arrearages.

Credit ratings are based on information obtained from sources believed to be accurate and reliable and are not a recommendation to buy, sell or hold a financial obligation. We do not perform an audit inconnection with any information received and may rely on unaudited information. Credit ratings may be subject to revision, suspension or withdrawal at any time as necessary due to changes in orunavailability of information or other circumstances.

Rating Hotline (312) [email protected]

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Suite 3500 12th Floor St. Helens, 1 Undershaft Ruttonjee CentreChicago, IL 60603 New York, NY 10004 London, EC3A 8EE 11 Duddell Street

Central, Hong Kong

Documents

Duff & Phelps Credit Rating Co. SPECIAL REPORTpeople.stern.nyu.edu/igiddy/ABS/emermktsrec.pdf · 2000. 7. 27. · SPECIAL REPORT Duff & Phelps Credit Rating Co. DCR CHICAGO u NEW