DBRS Publishes Swap Criteria for European Structured Finance Transactions

DBRS has today published its swap criteria for European structured finance transactions. This methodology applies to the use of swaps in the securitisation of residential mortgages, auto loans, trade receivables, leases, secured and unsecured consumer loans, small to medium-sized enterprise loans and other corporate debt, or other structured finance transactions generally referred to as asset-backed securities. It may also be applied by DBRS to other types of structured finance transactions including commercial mortgage-backed securitisation transactions, arbitrage collateralised debt obligations, balance sheet collateralised loan obligations, and covered bonds.

The methodology is intended to cover interest rate and basis swaps, caps, floors, collars and currency swaps, and is relevant to both swaps with fixed notional amounts and swaps where the notional amounts amortise or otherwise follow an uncertain payment profile. It is not intended to apply to credit default swaps or other derivatives whose primary purpose is to provide protection against the default of one or more reference entities.

This report expands upon the swap criteria present in our Legal Criteria for European Structured Finance Transactions which included similar rating thresholds for collateralisation and/or replacement or the addition of an appropriately rated guarantor. As a result, DBRS is not taking rating actions on any outstanding European securitisations.

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