DBRS Clarifies Disclosure Related to Updated Methodology for CLOs and CDOs of Corporate Credit

DBRS is today clarifying certain press releases published on April 7, 2015, related to the publication of an updated version of the methodology 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 methodology entitled “Rating CLOs and CDOs of Large Corporate Credit” was updated on April 7, 2015, following a Request for Comment period that concluded on March 9, 2015. No comments were received during the comment period, and the DBRS changes proposed were adopted in full. The methodology updated on April 7, 2015, superseded the previous methodology published on January 21, 2014.

The updated methodology contains material changes that increase the granularity of analysis for mezzanine tranches. The material changes associated with this update were not clearly disclosed in the accompanying press releases. An updated CLO Asset Model was released. The changes to the CLO Asset Model, in and of themselves, were not material and did not results in rating actions.

The original disclosure reads as follows:
“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 updated disclosure reads as follows:
“Material changes to ‘Rating CLOs and CDOs of Large Corporate Credit’ include:
-- Additional recovery rates for non-investment-grade rating categories; and
-- Minor updates to country tiers.

Additionally, non-material changes were applied to the DBRS CLO Asset Model, and an updated version is now publicly available on www.dbrs.com.”

The updated disclosure affects the following press releases:
-- “DBRS Releases Updates Methodologies for CLO and CDOs of Corporate Credit”
(April 7, 2015) http://www.dbrs.com/research/278579/dbrs-releases-updated-methodologies-for-clos-and-cdos-of-corporate-credit.html
-- “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-53-classes-from-18-u-s-clo-and-cdo-transactions-under-review-after-clo-methodology-update.html
-- “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-places-16-classes-from-15-european-clo-and-cdo-transactions-under-review-with-positive-implications.pdf--- “DBRS Confirms Two U.S. ABS Transactions” (April 7, 2015) http://www.dbrs.com/research/278584/dbrs-confirms-two-u-s-abs-transactions.html
-- “DBRS Methodology Update Results in No Impact on U.S. ABS Deals” (April 7, 2015) http://www.dbrs.com/research/278585/dbrs-methodology-update-results-in-no-impact-on-u-s-abs-deals.html

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.