R&R Consulting » R&R Consulting

STRUCTURED FINANCE CREDIT RATINGS

R&R Consulting — Thu, 26 May 2011 17:22:41 +0000

Joint Obligation Ratings in Consumer ABS

Thomas Adams, Ann Rutledge and Sylvain Raynes

Current rating agency practices do not appear to factor into the ratings of insured consumer asset-backed securities (ABS) the effects of correlation between an insurer default and a transaction default. As a result, the rating agencies assign lower ratings to insured bonds from consumer ABS transactions even when the performance of the underlying assets and the performance of the insurer may have a low correlated probability of default. In this article, a swell-known securitization attorney and two R&R principals show the significant and hitherto unacknowledged rating impact of correlation. They provide a detailed analysis and conclude that a significant rating benefit could be conferred by the proper inverse correlation structure.

http://www.iinews.com/site/pdfs/JSF_Spring_2011_Raynes.pdf

Rutledge and Raynes Comment on Financial Crisis Inquiry Commission Revelations

R&R Consulting — Fri, 28 Jan 2011 12:05:24 +0000

The New York Times and Huffington Post quote R&R Consulting principals Sylvain Raynes and Ann Rutledge on the report of the Financial Crisis Inquiry Commission released on January 27. Among the report’s revelations is the finding that some $2.9 billion from the taxpayer rescue of American International Group ended up covering speculative trading by Goldman Sachs, without any proceeds filtering to Goldman’s clients or business partners.
Sewell Chan, “Crisis Panel’s Report Parsed Far and Wide,” The New York Times, January 27, 2011,
Shahien Nasiripour, “Goldman Sachs Got Billions From AIG for Its Own Account, Crisis Panel Finds,” Huffington Post, January 28, 2011

Raynes on S&P Mess-up: Who’s Getting Fired?

R&R Consulting — Thu, 16 Dec 2010 23:26:59 +0000

R&R Consulting principal Sylvain Raynes welcomes Standard and Poor’s admission that it incorrectly analyzed 1,196 securities tied to U.S. residential mortgages, but wonders if anyone at the company will bear the consequences. Read the full article by Jody Shenn, “S&P May Reduce 1,196 Securities Tied to Residential Mortgages After Errors,” Bloomberg, December 15, 2010.

R&R’s Rutledge Sheds Light on Obscure Bailout Vehicle

R&R Consulting — Sat, 11 Dec 2010 12:28:35 +0000

The Wall Street Journal interviews R&R Consulting principal Ann Rutledge about how the Federal Reserve’s bailout of troubled firms made use of an obscure investment vehicle that had been closed out of the commercial-paper market long before the program was launched. Read the full story by Serena Ng and Liz Rappaport, “How Fed Crisis Aid Got Tested,” The Wall Street Journal, December 9, 2010 (paid access required).

R&R’s Raynes: Fed ‘Weaseled Out’ of Its Duty to Taxpayers

R&R Consulting — Thu, 02 Dec 2010 22:08:02 +0000

Bloomberg quotes R&R Consulting principal Sylvain Raynes regarding news that the Federal Reserve withheld details on individual securities pledged as collateral by recipients of the $885 billion federal bailout. Read the full story by Caroline Salas and Matthew Leising, “Federal Reserve Withholds Collateral Data, Denying Taxpayers Gauge of Risk,” Bloomberg, December 2, 2010.