Rating US & European Structured Finance CDO Restructurings

DBRS has published its revised methodology for rating US & European structured finance CDO restructurings. This revised methodology supersedes the previous methodology, published in May 2009, “Rating U.S. ABS CDO Restructurings”.

The revised methodology utilizes a “look-through” approach, which allows for fundamental analysis on each structured finance asset within a CDO, rather than the more traditional Monte Carlo simulation approach using idealized default probabilities and recovery rates. This revised methodology maintains consistency between DBRS’s methodologies for rating residential mortgage backed securities, RE-REMICs, and restructurings of US & European structured finance CDOs.

DBRS criteria and methodologies are publicly available on its website www.dbrs.com under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

DBRS's rating definitions and the terms of use of such ratings are available at www.dbrs.com.