DBRS Releases Updated Methodologies for CLOs and CDOs of Corporate Credit

DBRS has today published updated versions of the methodologies it uses to rate and monitor collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs) of large corporate credit as well as other securitizations of corporate credit assets.

DBRS’s “Rating Methodology for CLOs and CDOs of Large Corporate Credit” is updated following the conclusion of the Request for Comment period on March 9, 2015. No comments were received during the comment period, and the DBRS changes proposed were adopted in full. The revised methodology contains material changes that increase the granularity of analysis for mezzanine tranches. The methodology “Cash Flow Assumptions for Corporate Credit Securitizations” is also updated with non-material changes. These documents supersede the previous corresponding methodologies published on January 21, 2014.

Key changes to “Rating Methodology for CLOs and CDOs of Large Corporate Credit” include:
-- Additional recovery rates for non-investment grade rating categories;
-- Minor updates to country tiers; and
-- A new DBRS CLO Asset Model, which is publicly available on www.dbrs.com.

The updates will have no to minimal impact on outstanding ratings.

For lists of public ratings affected, please refer to the following press releases:
-- “DBRS Places 53 Classes from 18 U.S. CLO and CDO Transactions Under Review after CLO Methodology Update” (April 7, 2015) http://www.dbrs.com/research/278581
-- “DBRS Places 16 Classes from 15 European CLO and CDO Transactions Under Review with Positive Implications” (April 7, 2015) http://www.dbrs.com/research/278582
-- “DBRS Confirms Ratings on Series A and Series B Notes Issued by IM GBP Empresas VI, FTA” (April 7, 2015) http://www.dbrs.com/research/278583
-- “DBRS Confirms U.S. ABS Deals” (April 7, 2015) http://www.dbrs.com/research/278584
-- “DBRS Methodology Update Results in No Impact on U.S. ABS Deals” (April 7, 2015) http://www.dbrs.com/research/278585

Notes:
The methodology providing DBRS’s processes and criteria is available by contacting us at info@dbrs.com.

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