DBRS Publishes Updated Methodology on Rating Global Structured Finance CDO Restructurings

DBRS today has published its revised methodology for rating global structured finance collateralized debt obligation (“SF CDO”) restructurings. This revised methodology, titled “Rating Global Structured Finance CDO Restructurings,” supersedes the previous methodology, published in July 2010, “Rating U.S. & European Structured Finance CDO Restructurings”.

The revised methodology incorporates a discussion of the DBRS analysis for rating restructured tranches of existing CDOs, ratings on new SF CDOs that contain an existing pool of structured finance assets, and the likelihood of ultimate payment of amounts due on interest rate swaps and other cash flow streams from SF CDOs. The revised methodology also incorporates the updated U.S. RMBS methodology, “RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology,” published in October 2011. The revised methodology maintains a “look-through” approach, which relies on a fundamental analysis of each structured finance asset within a CDO, rather than the Gaussian Copula approach, which uses idealized default probabilities, recovery rates and asset default correlations. This revised methodology maintains consistency between DBRS’s methodologies for rating U.S. & European residential mortgage backed securities and associated RE-REMICs and restructurings of structured finance CDOs.

DBRS today has also published a new methodology, “Unified Interest Rate Model for Global Structured Finance CDO Restructurings.” This new methodology provides a framework for generating interest rate stress scenarios for use in the SF CDO Restructurings rating analysis.

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

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