DBRS Uses Global Structured Finance Modifier

DBRS uses a structured finance “(sf)” modifier on a global basis.

The International Organization of Securities Commissions (IOSCO) Code of Conduct Fundamentals for Credit Rating Agencies (IOSCO Code) requires that structured finance (SF) ratings be differentiated from credit ratings of other types of entities or obligations, preferably through a different credit rating identifier and disclose how this differentiation functions.* There are various regulatory requirements pursuant to which SF instruments must be clearly differentiated by adding an appropriate symbol or modifier to the rating category.**

DBRS uses the “(sf)” modifier next to the rating category for ratings in its press releases and rating reports and on its public website for ratings that meet specific criteria to indicate that the rating applies to an SF instrument. The “(sf)” modifier only indicates that the rated obligation is an SF instrument and does not change the meaning or definition of the rating in any other way, nor does it change the risk of any particular SF instrument. DBRS’s expectation of the performance of each rated SF instrument is not adjusted in any way by the “(sf)” modifier.

DBRS will mark the ratings of the following SF instruments with the “(sf)” modifier:

-- Asset-backed securities (ABS).
-- Asset-backed commercial paper (ABCP).
-- Residential mortgage-backed securities (RMBS).
-- Single- and multi-tranched collateralized debt obligations (CDOs) and credit default swaps (CDSs), with the exception of single-name CDSs.
-- Commercial mortgage-backed securities (CMBS).
-- Multi-tranched insurance securitizations.
-- Structured investment vehicles (SIVs).
-- Repackaged instruments where any of the underlying assets is an SF instrument.

DBRS is an independent, privately held, globally recognized credit ratings agency with offices in Toronto, New York, London, Chicago and Mexico City. DBRS strives to differentiate itself from competitors through a more pragmatic rather than mechanistic approach, in-depth research and unequalled mandate execution.

Notes:

• Refer to Provision 3.7 Transparency and Timeliness of Credit Ratings Disclosure in the IOSCO Code, 2015.
  ** Refer to Paragraph (40) and Article 3 Definitions in the EU CRA Regulation 1060/2009, as amended; section 4.9 of Appendix A to National Instrument 25-101 Designated Rating Organizations and Securities and Exchange Commission Rule 17g-7(b)(2)(vi)(D).