DBRS Publishes Its Methodology for Rating U.S ABS CDO Restructurings

DBRS has today published its methodology for rating restructurings of U.S asset-backed security (ABS) collateralized debt obligations (CDOs). “As DBRS continues to expand its coverage in both the United States and Europe, our goal for this methodology is to provide a framework that illustrates how DBRS integrates our view of the underlying ABS assets as well as describe how we stress and model the performance of the resulting liabilities,” says Darren Davies, Managing Director of U.S. Structured Credit.

The role of DBRS as a credit rating agency is to provide a third-party opinion as to the likelihood of the repayment of principal and interest on the tranches being rated (equity tranches are typically unrated). Although the current state of the entire securitization market remains in flux, this methodology aims to provide appropriate levels of flexibility, while providing a rigorous qualitative and quantitative framework that is both consistent and transparent.

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