DBRS Confirms Two U.S. ABS Transactions

DBRS, Inc. (DBRS) has today confirmed the ratings on two ABS transactions affected by material updates to one of the methodologies used to rate the transactions (see “Rating CLOs and CDOs of Large Corporate Credit” published April 7, 2015).

Key changes to “Rating Methodology for CLOs and CDOs of Large Corporate Credit” include the following:
-- 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.

DBRS confirmed the following transactions:

-- OnDeck Asset Securitization Trust LLC 2014-1
-- CAN Capital Funding LLC Series 2014-1

Updates to the methodology were found to create a minor increase in expected losses. The transactions have exhibited stable performance trends, and when considering application of the updates, credit enhancement for each class is sufficient to cover DBRS-expected losses at their respective rating levels.

Notes:
The applicable methodologies are the DBRS Master U.S. ABS Surveillance Methodology and Rating CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies. DBRS criteria and methodologies are publicly available on its website at http://www.dbrs.com/methodologies.