DBRS Publishes Updated European Structured Finance Derivative Counterparty Criteria

DBRS Ratings Limited (“DBRS”) has today released an updated methodology for the use of derivatives in European Structured Finance transactions. DBRS will apply this methodology to provide ratings on Structured Finance transactions issued in Europe.

The updated methodology includes one new document titled, “Derivative Criteria for European Structured Finance Transactions." It supersedes the previous methodology, “Swap Criteria for European Structured Finance Transactions,” originally published February 2012.

Compared with the superseded methodology, the updated methodology includes separate treatment of single currency, single index basis swaps for volatility cushions, clarification of DBRS’s treatment of a derivative’s mark-to-market, and removal of the previous requirement that the issuer have certain rights to terminate the derivative if replacement or guarantee by the counterparty had not occurred within 30 business days of the second rating threshold being breached.

The updated methodology has been deemed by DBRS to have no material impact on any outstanding ratings.

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.