DBRS Publishes Final Rating U.S. Structured Finance Transactions, Operational Risk Assessment for U.S. ABS Servicers & Originators and Master U.S. ABS Surveillance Methodologies

DBRS, Inc. (DBRS) finalized the methodologies it will use to rate and monitor asset-backed securitization (ABS) transactions backed by long-term care insurance commissions. The following methodologies have been finalized following the conclusion of the Request for Comment period on December 17, 2017:

(1) A new appendix to “Rating U.S. Structured Finance Transactions” methodology titled “Long-Term Care Insurance Commission ABS.” The appendix provides an analytical framework for reviewing transactions backed by commissions payable on long-term care insurance policies in the United States.
(2) The “Sample Operational Risk Questions for U.S. Insurance Commission Originators/Acquirers” appendix to the existing “Operational Risk Assessment for U.S. ABS Originators” and the “Sample Operational Risk Questions for U.S. Insurance Commission Servicers” to the existing “Operational Risk Assessment for U.S. ABS Servicers” methodologies.
(3) The “U.S. Long-Term Care Commission ABS (LTCC ABS)” appendix to the existing “DBRS Master U.S. ABS Surveillance Methodology.”

No comments were received during the comment period and therefore the final versions contain no changes to the initial versions of the methodologies. The methodologies are effective immediately.
The “Rating U.S. Structured Finance Transactions” appendix provides a discussion of the following:
-- Credit factors to consider,
-- Key collateral performance drivers,
-- Policy characteristics,
-- Operational risk,
-- Legal and regulatory risk,
-- Transaction structure and
-- Cash flow analysis.

Additionally, in the “Rating U.S. Structured Finance Transactions” methodology, DBRS has incorporated language in the section on Re-Securitization allowing for the inclusion of structured finance fees and other securitization interests distributed in accordance with an underlying transaction’s priority of payments. The changes are considered to not be material as the changes provide clarification to the concepts previously included in the methodology. Based on the changes there will be no rating impact on any existing DBRS rated transactions.

Notes:
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