DBRS Updates Methodology for Rating Canadian Covered Bonds

DBRS has today released its updated methodology for rating Canadian covered bonds. The publication of this updated methodology is part of DBRS’s continued efforts to provide market participants with updates and insight into the rationale behind DBRS’s rating opinions.

This updated methodology maintains intact the three-building-blocks approach that DBRS takes to rating Canadian covered bonds and makes the following changes:

– Inclusion of detailed rating thresholds and acceptable remedies for various counterparties and events within a typical Canadian covered bond program, such as swap counterparty, standby account bank, cash manager, perfection of mortgages and funding of a reserve account.

– Expansion and clarification of key criteria in the legal framework assessment.

– Consolidation and simplification of repetitive sections and terminologies.

– The addition of a user-friendly summary table as an appendix to the methodology

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

DBRS took no rating action as a result of the updated methodology as the newly published rating thresholds and acceptable remedies above have already been included in the structures of all Canadian covered bond issuances rated by DBRS.

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