TaxTMI 
TaxTMI 
Guidelines for Enhanced Disclosures by Credit Rating Agencies (CRAs)
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....nstrument, whichever is earlier. Accordingly, all DTs shall continue to report any delays/ default in payment on debentures to the CRA(s) having rated the said debenture for the lifetime of the instrument, irrespective of the rating on that instrument being withdrawn. c. Ratings of non-cooperative issuers shall be included in the cohort under the rating category in which the instrument is currently being rated. B. Based on the above approach, a CRA shall disclose, on an annual basis, the average one-year, two-year and three-year cumulative default rates (based on weighted average) each for: a. Last 10-financial years period (Long-run average default rates) b. 24, 36 and 48 most recent cohorts, respectively (Short-run average default rates) C. The format of the above disclosures is specified at Annexure A. Consequently, Annexure B. VII of SEBI Circular SEBI/HO/MIRSD/ DOP2/CIR/P/2018/86 dated May 30, 2018 stands deleted. D. The above disclosures shall be made on a consolidated basis for all financial instruments rated by a CRA. E. Further, the historical data on the default rates disclosed every year shall be archived and made available on the website of each CRA for la....
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....ce level of 2%. iii. For A: * Zero for 1-year default rate with a tolerance level of 3%. g. For ratings on non-structured instruments, various instruments of an issuer with equal seniority level and having same rating shall not be included separately for default rate calculation. However, various instruments of an issuer having different seniority levels shall be included as separate instances, subject to a cap of three instances across all rating categories put together. h. For ratings on structured instruments, various instruments, issued by a trust, with the same degree of seniority and hence having same rating shall not be included separately for default rate calculation. However, various instruments, issued by a trust, having different seniority levels shall be included as separate instances. Further, in order to avoid under-estimation of default rates in case of significantly higher number of tranches of differing seniority but same rating, a cap of three tranches per rating category per issuer may be applied. C. The above standardised and uniform PD benchmarks shall be disclosed on the website of each CRA for ratings of long-term and short-term instruments, on a co....
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....ios including stress scenarios. Such assessment shall also be disclosed in the press release regarding the rating action. V. Disclosure of rating sensitivities in press release A. The disclosure of factors to which the rating is sensitive, is critical for the end-users to understand the factors that would have the potential to impact the credit worthiness of the entity. Accordingly, in order to improve transparency, the CRA shall have a specific section on 'Rating Sensitivities' in the Press Release which shall explain the broad level of operating and/ or financial performance levels that could trigger a rating change, upward and downward. Such factors shall be disclosed in quantitative terms to the extent possible, discernible to the investors, and should not read like a general risk factor. VI. Disclosure on liquidity indicators A. SEBI Circular SEBI/ HO/ MIRSD/ DOS3/CIR/P/2018/140 dated November 13, 2018, inter-alia, mandated inclusion of a specific section on Liquidity in the Press Release, highlighting parameters such as liquid investments, access to unutilised credit lines, liquidity coverage ratio, adequacy of cash flows for servicing maturing debt obligation, etc. B....
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....x. AAA (CE) - Instruments with this rating are considered to have the highest degree of safety regarding timely servicing of financial obligations. Such instruments carry lowest credit risk. AA (CE) - Instruments with this rating are considered to have high degree of safety regarding timely servicing of financial obligations. Such instruments carry very low credit risk. A (CE) - Instruments with this rating are considered to have adequate degree of safety regarding timely servicing of financial obligations. Such instruments carry low credit risk. BBB (CE) - Instruments with this rating are considered to have moderate degree of safety regarding timely servicing of financial obligations. Such instruments carry moderate credit risk. BB (CE) - Instruments with this rating are considered to have moderate risk of default regarding timely servicing of financial obligations. B(CE) - Instruments with this rating are considered to have high risk of default regarding timely servicing of financial obligations. ​​​​​​​C(CE) - Instruments with this rating are considered to have very high likelihood of default regarding timely payment....