DBRS Publishes Updated Canadian Credit Card Methodology

DBRS has today released its updated methodology for rating Canadian credit card securitizations (Methodology), in conjunction with the release of the “Methodology for Rating U.S. Credit Card ABS” on October 18, 2008 (see link below). The publication of this Methodology is part of DBRS’s continued effort to provide market participants with updates and insight into the rationale behind DBRS’s rating opinions.

This Methodology outlines the analytical approach that DBRS takes to rating credit card securitizations in Canada, and discusses the key elements that DBRS evaluates through qualitative and quantitative analysis. The Methodology also consolidates the various criteria, industry studies and commentaries issued by DBRS since the last methodology for Canadian credit card securitization was published.

This Methodology is separated into three main sections: first, an overview of the fundamentals of credit card receivables as an asset class in Canada; second, a summary of the core legal and structural elements of credit card securitizations; and third, a review of DBRS’s approach to evaluating appropriate credit enhancement for credit card securitizations in Canada. The last section also includes an overview of various forms of credit enhancement, the typical credit card performance metrics and a quantitative example.

Each DBRS rating is based upon an analysis of the underlying assets, the transaction parties, the legal and funding structure, and the available credit enhancement. These considerations are assessed under various stress scenarios to ensure that commensurate enhancement is available to each rating assigned.

The Methodology is available by clicking on the link below or contacting us at info@dbrs.com.

Media Contact:
Caroline Creighton
Senior Vice President - Communications
+1 416 597 7317
ccreighton@dbrs.com