80866 Federal Register / Vol. 75, No. 246 / Thursday, December 23, 2010 / Notices 

connection with the reorganization were 

paid by applicant. 

Filing Date: The application was filed 

on December 2, 2010. 

Applicant’s Address: 

OppenheimerFunds, Inc., 6803 S. 

Tucson Way, Centennial, CO 80112. 

BlackRock California Investment 

Quality Municipal Trust Inc. [File No. 

811–7664] 

Summary: Applicant, a closed-end 

investment company, seeks an order 

declaring that it has ceased to be an 

investment company. By September 30, 

2010, applicant had redeemed all of its 

Series W7 Preferred Shares at their 

liquidation preference plus any accrued 

but unpaid dividends. On September 

30, 2010, applicant made a liquidating 

distribution to its common 

shareholders, based on net asset value. 

Expenses of $25,025 incurred in 

connection with the liquidation were 

paid by applicant. Applicant has 

retained approximately $100,000 in 

cash to pay any contingent liabilities 

recognized after the liquidation date. 

Filing Dates: The application was 

filed on October 5, 2010 and amended 

on December 6, 2010. 

Applicant’s Address: 100 Bellevue 

Parkway, Wilmington, DE 19809. 

T. Rowe Price Tax-Free Intermediate 

Bond Fund, Inc. [File No. 811–7051] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. On November 13, 

2006, applicant transferred its assets to 

T. Rowe Price Summit Municipal 

Funds, Inc., based on net asset value. 

Expenses of approximately $17,940 

incurred in connection with the 

reorganization were paid by applicant, 

the acquiring fund and T. Rowe Price 

Associates, Inc., applicant’s investment 

adviser. 

Filing Dates: The application was 

filed on June 26, 2009, and amended on 

December 2, 2010. 

Applicant’s Address: 100 E. Pratt St., 

Baltimore, MD 21202. 

AFBA 5Star Funds [File No. 811–8035] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. On March 12, 

2010, applicant transferred its assets to 

corresponding series of FBR Funds, 

based on net asset value. Expenses of 

$94,946 incurred in connection with the 

reorganization were paid by AFBA 

Investment Management Company, 

applicant’s investment adviser, and FBR 

Fund Advisers, Inc., investment adviser 

to the acquiring fund. 

Filing Dates: The application was 

filed on September 22, 2010, and 

amended on December 14, 2010. 

Applicant’s Address: 909 N. 

Washington St., Alexandria, VA 22314. 

Liquid Institutional Reserves [File No. 

811–6281] 

Summary: Applicant seeks an order 

declaring that it has ceased to be an 

investment company. On April 22, 

2004, applicant made a liquidating 

distribution to its shareholders, based 

on net asset value. Expenses of $6,560 

incurred in connection with the 

liquidation were paid by UBS Global 

Asset Management (Americas) Inc., an 

affiliate of applicant’s investment 

adviser. 

Filing Date: The application was filed 

on December 9, 2010. 

Applicant’s Address: c/o UBS Global 

Asset Management, Attn: Keith A. 

Weller, 1285 Avenue of the Americas, 

12th Floor, New York, NY 10019. 

For the Commission, by the Division of 

Investment Management, pursuant to 

delegated authority. 

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. 2010–32287 Filed 12–22–10; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–63573; File No. 4–622] 

Credit Rating Standardization Study 

AGENCY: Securities and Exchange 

Commission. 

ACTION: Request for comment. 

SUMMARY: The Securities and Exchange 

Commission is requesting public 

comment to help inform its study 

pursuant to Section 939(h) of the DoddFrank Wall Street Reform and Consumer 

Protection Act of 2010 on the feasibility 

and desirability of: Standardizing credit 

ratings terminology, so that all credit 

rating agencies issue credit ratings using 

identical terms; standardizing the 

market stress conditions under which 

ratings are evaluated; requiring a 

quantitative correspondence between 

credit ratings and a range of default 

probabilities and loss expectations 

under standardized conditions of 

economic stress; and standardizing 

credit rating terminology across asset 

classes, so that named ratings 

correspond to a standard range of 

default probabilities and expected losses 

independent of asset class and issuing 

entity. 

DATES: The Commission will accept 

comments regarding issues related to 

the study on or before February 7, 2011. 

ADDRESSES: Comments may be 

submitted by any of the following 

methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/other.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number 4–622 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number 4–622. This file number should 

be included on the subject line if e-mail 

is used. To help us process and review 

your comments more efficiently, please 

use only one method. The Commission 

will post all comments on the 

Commission’s Internet Web site (http:// 

www.sec.gov). Comments are also 

available for Web site viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street, NE., 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. All comments received 

will be posted without change; we do 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. 

FOR FURTHER INFORMATION CONTACT: 

Randall W. Roy, Assistant Director, 

Division of Trading and Markets, at 

(202) 551–5522; Alan A. Dunetz, Branch 

Chief, Division of Trading and Markets, 

at (212) 336–0072; Kevin S. Davey, 

Securities Compliance Examiner, at 

(212) 336–0075; Kristin A. Devitto, 

Securities Compliance Examiner, at 

(212) 336–0038; Mark M. Attar, Branch 

Chief, Division of Trading and Markets, 

at (202) 551–5889; or Raymond A. 

Lombardo, Branch Chief, Division of 

Trading and Markets, at (202) 551–5755, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–7010. 

Discussion: 

On July 21, 2010, President Obama 

signed the Dodd-Frank Wall Street 

Reform and Consumer Protection Act of 

2010 (the ‘‘Dodd-Frank Act’’) into law. 

Under Section 939(h) of the Dodd-Frank 

Act, the Securities and Exchange 

Commission (the ‘‘Commission’’) is 

required to study the feasibility and 

desirability of: (A) Standardizing credit 

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Federal Register / Vol. 75, No. 246 / Thursday, December 23, 2010 / Notices 80867 

ratings terminology, so that all credit 

rating agencies issue credit ratings using 

identical terms; (B) standardizing the 

market stress conditions under which 

ratings are evaluated; (C) requiring a 

quantitative correspondence between 

credit ratings and a range of default 

probabilities and loss expectations 

under standardized conditions of 

economic stress; and (D) standardizing 

credit rating terminology across asset 

classes, so that named ratings 

correspond to a standard range of 

default probabilities and expected losses 

independent of asset class and issuing 

entity. Not later than one year after the 

date of enactment of the Dodd-Frank 

Act, the Commission must submit to 

Congress a report containing the 

findings of the study and the 

recommendations, if any, of the 

Commission with respect to the study. 

Request for Comment: 

The Commission believes that 

submissions by interested parties with a 

wide range of views, including those of 

investors who use credit ratings, 

portfolio managers, credit rating 

agencies, investment firms, 

underwriters, issuers, regulators and the 

academic community, will provide 

valuable information as it conducts the 

study required by Section 939(h) of the 

Dodd-Frank Act. Accordingly, the 

Commission requests commenters’ 

views on each of the topics to be 

addressed in the Commission’s study 

under Section 939(h) of the Dodd-Frank 

Act. In particular, the Commission seeks 

commenters’ views in response to the 

following questions: 

(1) Is it feasible and desirable to 

standardize credit ratings terminology, 

so that all credit rating agencies issue 

credit ratings using identical terms? 

a. Do commenters agree that the term 

‘‘credit ratings terminology’’ as used in 

Section 939(h) of the Dodd-Frank Act 

refers to the symbols and numbers 

credit rating agencies use to denote 

credit ratings and the definitions and 

meanings they promulgate for those 

symbols and numbers? If not, what 

other (or additional) credit rating 

terminology should this study focus on? 

Commenters who identify other 

terminologies should indicate for all 

subsequent questions whether they are 

discussing the other terminologies or 

ratings symbols and numbers and their 

corresponding definitions and 

meanings. 

b. Are there credit rating 

terminologies used by different credit 

rating agencies that are currently 

comparable? If so, please identify and 

explain how they are comparable. 

c. Identify differences in the credit 

rating terminologies used by credit 

rating agencies. What is the significance 

of these differences? 

d. What issues do commenters 

encounter when they seek to compare 

ratings from different credit rating 

agencies? 

e. Some credit rating agencies employ 

multiple credit rating scales designed to 

distinguish between different types of 

issues and/or issuers. For example, a 

credit rating agency may employ 

different credit rating symbols for 

ratings of long term securities, short 

term securities, money market funds, 

claims paying abilities of insurance 

companies, and issues and/or issuers in 

different jurisdictions. Do commenters 

believe that some types of credit rating 

symbols used by credit rating agencies 

are more or less suitable to 

standardization? Is it feasible or 

desirable to use a single credit rating 

scale for all types of issues and 

issuances? Should a standardized credit 

rating scale include separate symbols for 

different types of credit ratings? If so, 

what separate credit symbols should be 

included in the standardized credit 

rating terminology? Alternatively, 

should credit rating terminologies for 

some types of issues or issuers not be 

standardized? If so, for which types of 

issuers or issuances? 

f. The credit ratings of some credit 

rating agencies address probability of 

default while the ratings of other credit 

rating agencies address expected loss. 

Other rating scales may address other 

metrics such as, for example, distance to 

distress (e.g., with respect to the public 

finance ratings of some credit rating 

agencies). Do commenters believe that it 

is more or less desirable to have credit 

ratings of different credit rating agencies 

address different risks? Why? 

g. Some credit rating agencies employ 

credit rating modifiers including, for 

example, ‘‘credit watch’’ and ‘‘rating 

outlook’’ to indicate a view as to the 

likelihood that a credit rating may 

change. Do commenters believe that it is 

feasible or desirable to include such 

credit rating modifiers in a standardized 

credit rating terminology? Why? 

h. If commenters believe that 

standardizing credit ratings terminology 

is desirable and feasible: 

i. What level of detail should be 

included in the standardized credit 

rating terminology? 

ii. What mix of quantitative and 

qualitative factors should be referenced 

in each rating definition? 

iii. Should a standardized credit 

rating terminology address likelihood of 

default, expected loss, or some other 

metric? 

iv. Some credit rating agencies issue 

a number of broad categories of credit 

ratings that can be further delineated 

using identifiers (e.g., pluses and 

minuses) to allow additional gradations 

of ratings. How many gradations of 

credit quality should be included in a 

standardized terminology for credit 

ratings? 

v. Should a standardized credit rating 

terminology employ a separate 

terminology for certain asset classes 

(e.g., for structured finance ratings)? Are 

there asset classes or types of ratings, 

such as short term or financial strength 

ratings, where a separate terminology 

should be considered? 

vi. What organizations or combination 

of organizations should be responsible 

for developing and administering the 

standardized credit rating terminology? 

For example, should the Commission 

develop and administer the 

standardized terminology? Should an 

independent board or organization be 

formed to develop and administer the 

standardized terminology? 

vii. What time period should be 

allowed for credit rating agencies to 

map their existing ratings to a new 

credit rating terminology, or for private 

contracts and investment management 

agreements that reference credit ratings 

to be changed to refer to the 

standardized terminology? 

viii. Do commenters believe that it 

would be more desirable for credit 

rating agencies to retain their existing 

credit rating terminologies and make 

publicly available detailed information 

on how each credit rating agency’s 

ratings can be mapped to a standardized 

terminology? Or would it be more 

desirable if the credit rating agency used 

only the standardized terminology? 

(2) Is it feasible and desirable to 

standardize the market stress conditions 

under which credit ratings are 

evaluated? 

a. Under what market stress 

conditions are credit ratings currently 

evaluated? 

b. To what degree do commenters 

believe that credit rating agencies 

currently identify the market stress 

conditions under which credit ratings 

are evaluated? To the extent these 

market stress conditions are identified 

by credit rating agencies, do 

commenters believe that the market 

stress conditions used by different 

credit rating agencies at comparable 

credit rating levels are similar? If so, 

how are they similar? If not, how do 

they differ? 

c. Do commenters believe that market 

stress conditions can be defined in a 

consistent manner across different 

industry sectors and geographic regions? 

d. Do commenters believe that 

standardized market stress conditions 

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80868 Federal Register / Vol. 75, No. 246 / Thursday, December 23, 2010 / Notices 

are equally relevant to the evaluation of 

all asset classes or issuers? For example, 

are there some asset classes or issuers 

where the relative degree of 

idiosyncratic risk versus systemic risk 

differs? If so, are market stress 

conditions less relevant, for example, to 

asset classes and issuers where there is 

a higher level of idiosyncratic risk? 

e. If commenters believe that it is 

feasible and desirable to standardize the 

market stress conditions under which 

credit ratings are evaluated: 

i. What parameters should be defined 

in these market stress conditions? For 

example, unemployment rates, declines 

in GDP and financial market declines 

are widely referenced indicators of 

market stress. What other parameters do 

commenters believe should be defined? 

ii. How should market stress 

conditions differ across different 

industry sectors and geographic regions? 

iii. Should these stress conditions 

reference specific historical market 

stresses such as, for example, the Great 

Depression or the 2008 financial crisis? 

iv. Should each credit rating level 

have its own specifically defined stress 

conditions? 

(3) Is it feasible and desirable to 

require a quantitative correspondence 

between credit ratings and a range of 

default probabilities and loss 

expectations under standardized 

conditions of economic stress? 

a. To what extent do credit rating 

agencies or others assign a quantitative 

correspondence between credit ratings 

and a range of default probabilities and 

loss expectations? 

i. To what extent do commenters 

believe that the correspondence is 

similar for comparable ratings from 

different credit rating agencies? 

ii. To what extent do commenters 

believe that the correspondence is 

similar across industry sectors and 

geographical regions? 

iii. To what extent do commenters 

believe that the correspondence is 

constant throughout the economic 

cycle? 

iv. To what extent do commenters 

believe that the correspondence has 

been constant over time? For example, 

do commenters believe that the range of 

default probabilities and loss 

expectations corresponding to the credit 

ratings of different credit rating agencies 

have become more or less conservative 

over time? 

b. Does the ability to assign a 

correspondence between credit ratings 

and a range of default probabilities and 

loss expectations in a sector vary 

depending on the degree to which a 

rating methodology for that sector is 

more or less quantitative in nature? Are 

there other factors, such as the quality 

or amount of historical performance 

data or structural complexity that may 

make it more or less difficult to assign 

a correspondence between credit ratings 

and a range of default probabilities and 

loss expectations? 

c. Does the likelihood of rating 

transitions for similarly rated assets vary 

among asset classes? If so, how should 

variation in the likelihood of rating 

transitions be addressed when a 

quantitative correspondence is assigned 

between credit ratings and a range of 

default probabilities and loss 

expectations? 

d. Is there a role for market-based 

measures such as credit spreads or 

option-based approaches (i.e., Mertontype models which provide a distance to 

default measure based on equity prices) 

in determining a correspondence 

between credit ratings and a range of 

default probabilities and loss 

expectations? 

e. If commenters believe that 

requiring a quantitative correspondence 

between credit ratings and a range of 

default probabilities and loss 

expectations under standardized 

conditions of economic stress is feasible 

and desirable: 

i. What factors should be considered 

in determining the range of default 

probabilities and loss expectations 

associated with each rating? Should 

specific time horizons be specified for 

each default probability and loss 

expectation range? If so, how many 

different time horizons should be 

specified for each credit rating, and 

what are appropriate time horizons? 

ii. The ratings of some credit rating 

agencies primarily address probability 

of default while others address expected 

loss. Should credit rating agencies be 

allowed to choose whether their ratings 

address one or the other? Should a 

single rating address both probability of 

default and loss expectation or should 

default probabilities and loss severity be 

addressed separately? 

iii. What are the views of commenters 

on how the accuracy of the quantitative 

correspondence assigned by a given 

credit rating agency between its credit 

ratings and a range of default 

probabilities and loss expectations 

should be measured? 

(4) Is it feasible and desirable to 

standardize credit rating terminology 

across asset classes, so that named 

credit ratings correspond to a standard 

range of default probabilities and 

expected losses independent of asset 

class and issuing entity? 

a. To what degree do commenters 

believe that credit ratings are currently 

comparable across asset classes? For 

example, do commenters believe that 

credit ratings of structured finance 

products or municipal securities are 

comparable to credit ratings in other 

sectors? 

b. In cases where credit rating 

agencies currently use the same credit 

rating terminology for multiple asset 

classes, what is the view of commenters 

on the adequacy and transparency of the 

procedures credit rating agencies use to 

achieve comparability? 

c. What mix of quantitative and 

qualitative factors should be considered 

when standardizing credit rating 

terminology across asset classes, so that 

named credit ratings correspond to a 

standard range of default probabilities 

and expected losses? 

i. To what degree should 

standardization be based on quantitative 

factors such as, for example, historical 

performance metrics including rating 

transition and default studies? What 

other quantitative factors should be 

considered? 

ii. To what degree should 

standardization be based on qualitative 

factors such as, for example, analyst 

judgment regarding the comparability of 

credits from different sectors? What 

other qualitative factors should be 

considered? 

d. Are there asset classes where the 

risk characteristics of the asset class, 

limitations on the quality of data, 

structural complexity, limitations on 

historical performance data, or other 

factors make it more difficult to apply 

to that asset class a standardized credit 

rating terminology which applies to 

other asset classes and issuers so that 

named ratings correspond to a standard 

range of default probabilities and 

expected losses? 

All interested parties are invited to 

submit their views, in writing, on these 

questions. 

By the Commission. 

Dated: December 17, 2010. 

Elizabeth M. Murphy, 

Secretary. 

[FR Doc. 2010–32280 Filed 12–22–10; 8:45 am] 

BILLING CODE 8011–01–P 

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