DBRS Updates Methodology for Mapping Financial Institution Internal Ratings for Structured Credit

DBRS today has published its revised methodology for mapping financial institution internal ratings to DBRS ratings. This revised methodology, titled “Mapping Financial Institution Internal Ratings to DBRS Ratings for Global Structured Credit Transactions,” supersedes the previous methodology, published in June 2009, “Mapping Financial Institution Internal Ratings to DBRS Ratings for Structured Credit Transactions”.

The revised methodology eliminates a previous rating mapping technique based on analyzing the correlation of the internal risk scores of the financial institution to publicly available NRSRO and/or ECAI ratings. No outstanding DBRS ratings rely on this mapping technique, and therefore no rating actions shall be taken on any outstanding ratings due to the removal of this mapping technique from the methodology.

The revised methodology further clarifies a rating mapping technique that uses historical default and rating transition data for each internal category. Based on the internal ratings data from the financial institution, the methodology outlines how historical transition matrices are used to generate a 10 year cumulative default probability table for the internal rating system. This is then compared to the DBRS idealized default probability table to provide a final mapping that can be used to assign ratings to global structured credit transactions. No material changes were made to the methodology with regard to the application of this rating mapping technique and no rating actions shall be taken on any outstanding ratings.

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

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