DBRS Publishes Canadian Structured Credit Surveillance Methodology

DBRS has today released its Canadian structured credit surveillance methodology.

The methodology describes the DBRS surveillance review process, including rating committee, rating actions and disclosure, as well as the surveillance methodology DBRS uses to analyze and monitor collateralized debt obligation (CDO) transactions. The report focuses on synthetic structures that reference senior unsecured corporate obligations, and also addresses managed transactions and CDOs of asset-backed securities (ABS), including those which primarily consist of non-prime U.S. residential mortgage-backed securities (RMBS).

The report differentiates between credit risks and market risks affecting CDO transactions and provides details on the surveillance processes used to analyze both types of risk. In the surveillance of leveraged CDO transactions, the final rating assigned by DBRS is the lower of the implied rating from credit risk and the implied rating from market risk.

The methodology providing DBRS's processes and criteria is available by contacting us at info@dbrs.com.