DBRS Publishes Updated Methodologies for Canadian Structured Finance

DBRS has today published three updated Canadian Structured Finance methodologies as follows:

-- Legal Criteria for Canadian Structured Finance (CDN Legal Criteria)
-- Derivatives Criteria for Canadian Structured Finance (CDN Derivatives Criteria)
-- Rating Canadian ABCP and Related Enhancement Features (CDN ABCP Criteria)

In publishing these updated methodologies, DBRS has amended the rating thresholds to “A” or R-1 (low) by DBRS from A (high) or R-1 (middle) by DBRS for the following entities that may play a role in transactions where debt rated by DBRS is in the highest rating categories of AAA (sf) or R-1 (high) (sf):

-- CDN Legal Criteria: Eligible Institution (Account Bank), Credit Enhancer and Eligible Investment entity

-- CDN Derivatives Criteria: Derivatives Counterparty

-- CDN ABCP Criteria: GLS or Enhanced Liquidity Provider and PWCE/SWCE Provider

Capitalized terms not otherwise defined in this press release are as defined or described in the methodologies.

These rating thresholds have been amended in order to create global consistency among similar methodologies in DBRS’s other jurisdictions, namely its Legal Criteria for U.S. Structured Finance methodology (July 2017), Legal Criteria for European Structured Finance Transactions methodology (September 2016) and Derivative Criteria for European Structured Finance Transactions methodology (October 2016). The rationale for the updated rating thresholds is based on research and analysis conducted by DBRS regarding the probability of default of the debt rated by DBRS when taking into consideration the entity subject to these rating thresholds and any remedial action taken to mitigate the related risk.

These updates supersede previous versions of these methodologies published in July 2016, July 2016 and April 2017, respectively. Other than the amended rating thresholds indicated above, the balance of the updates to the methodologies were editorial in nature.

While certain details have been clarified in these methodologies, DBRS deems the changes to not be material and has determined that no ratings are or will be changed as a result of these updates.

Notes:
DBRS rating definitions and the terms of use of such ratings are available at www.dbrs.com.
DBRS’s methodologies and criteria are available at www.dbrs.com or by contacting us at info@dbrs.com.