DBRS Publishes Updated Methodology for Rating Structured Finance CDO Restructurings

DBRS has today published an updated version of its “Rating Structured Finance CDO Restructurings” methodology (the Methodology).

The Methodology is effective as of the date of this press release and supersedes any previously available criteria.

The updated Methodology contains conforming changes that reflect updates made to the U.S. residential mortgage-backed securities methodology published as “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (the U.S. RMBS Methodology). The Methodology references the U.S. RMBS Methodology to the extent portfolios underlying Structured Finance CDO Restructurings contain U.S. residential mortgage-backed securities.

DBRS does not deem the updates to be material. In addition, a preliminary impact analysis performed on the eighteen outstanding transactions that are currently rated using the Methodology does not indicate that the resulting rating differences are significant. A substantial portion of the reviewed transactions indicated a potential confirmation or upgrade.

It is worth noting that the above impact analysis merely considers model-to-model, as opposed to model-to-actual, rating changes. The DBRS surveillance review does apply certain qualitative factors that may not have been accounted for in a typical loss or cash flow analysis. In conjunction with the updates, DBRS will review all affected securities and take timely and appropriate rating actions under the updated methodology if warranted.

Notes:
The Methodology is available by clicking on Rating Structured Finance CDO Restructurings under Related Research or by contacting us at info@dbrs.com. The U.S. RMBS Methodology is available by clicking on RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology under Related Research or by contacting us at info@dbrs.com

DBRS criteria and methodologies are publicly available on its website www.dbrs.com under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.