DBRS Places 7 Classes from 7 European Transactions Under Review with Developing Implications

DBRS Ratings Limited (“DBRS”) has today placed Under Review with Developing Implications 7 transactions and 7 ratings for collateralized loan obligation (“CLOs”) and collateralized debt obligation (“CDOs”) transactions backed primarily by portfolios of corporate credit.

The rating actions reflect material updates to the methodologies DBRS uses to rate and monitor CLOs backed by corporate credit (see “Rating CLOs and CDOs of Large Corporate Credit” and “Cash Flow Assumptions for Corporate Credit Securitizations,” both published January 21, 2014).

This methodology supersedes the current Rating Methodology for CLOs and CDOs of Large Corporate Credit, published February 7, 2012.

Key changes to the methodology include:
• updates to the Stressed Default Rate calculations, including a new DBRS CLO Asset Model that replaces the DBRS Large Pool Model;
• increased recovery rates for senior secured loans, reflecting an increased expectation for recovery, particularly at the A (sf) through BB (sf) stress levels;
• decreased recovery rates for senior unsecured bonds;
• new stress for covenant-lite loans at the AAA (sf) and AA (sf) stress levels; and
• removal of regional correlation factors.

The complete list of public ratings affected by today’s rating action can be found at the end of this Press Release. DBRS re-rates all credit ratings that have been assigned based on the methodology changes and discloses all resulting ratings and rating actions changes.

The principal methodology applicable is Rating CLOs and CDOs of Large Corporate Credit.

The ratings listed are under review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90 day period. As this review pertains to a methodological change, a resolution of today’s Under Review with Developing Implications placements should be completed within a six month period. The purpose of these rating actions was solely based upon the updated to the current methodology. DBRS reviews and ratings are under regular surveillance.

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

Information regarding DBRS ratings, including definitions, policies and methodologies is available on www.dbrs.com.

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see:
http://cerep.esma.europa.eu/cerepweb/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

DBRS Ratings Limited
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Mincing Lane
London, EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

Lead Surveillance Analyst: Alfonso Candelas
Rating Committee Chair: Jerry van Koolbergen

The lead responsibilities for each above transaction have been transferred from the initial lead analyst to Alfonso Candelas.