DBRS Publishes Updated Methodologies for Canadian Structured Finance

DBRS Limited (DBRS) has today released updated versions of its Legal Criteria for Canadian Structured Finance (the CSF Legal Criteria), Derivatives Criteria for Canadian Structured Finance (the CSF Derivatives Criteria) and Rating Canadian ABCP and Related Enhancement Features (the ABCP Criteria), each of which supersedes the versions published in August 2014 (in the case of the CSF Legal Criteria and CSF Derivatives Criteria) and April 2015 (in the case of the ABCP Criteria).

DBRS has revised the long-term rating thresholds expected for each of the following transaction parties listed in (1) and (2) to A (high) from AA (low), in order to be consistent with the counterparty rating thresholds in the CSF Derivatives Criteria and DBRS’s expectations for Canadian institutions that play a role in the Canadian Structured Finance transactions rated by DBRS:

(1) As outlined and defined in the CSF Legal Criteria: (a) an Eligible Institution, (b) a Credit Enhancer and (c) Eligible Investments, and

(2) As outlined and defined in Schedules A, B and C of the ABCP Criteria, respectively: (a) a GLS Liquidity Provider, (b) a PWCE/SWCE Provider and (c) an Enhanced Liquidity Provider.

The balance of the changes made to the updated CSF Legal Criteria and CSF Derivatives Criteria are intended to provide further clarity and increased transparency into DBRS’s rating approach. No other changes were made to the ABCP Criteria other than as indicated above.

DBRS does not deem these updates and changes as material and has determined that the updated methodologies will not result in any impact on existing Canadian structured finance ratings.

If you have any questions regarding the updated methodologies, please feel free to contact Jamie Feehely, Debbie Caruso or Banu Ozlem Unal.