DBRS Morningstar Publishes Updated Methodology for Rating Canadian ABCP and Related Enhancement Features

DBRS Morningstar published an updated version of “Rating Canadian ABCP and Related Enhancement Features” (the Methodology).

The updated version of the Methodology includes two nonmaterial changes, the first being a clarification with respect to acceptable forms of full-wrap liquidity and the second being a change to allow fully wrapped transitions to be included in a conduit where the form of full-wrap liquidity has previously been reviewed by DBRS Morningstar.

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on March 3, 2022, and is effective as of March 3, 2023. DBRS Morningstar deems the update not to be material and has determined that no ratings are expected to change as a result of this update.

Notes:
The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

DBRS Morningstar methodologies are publicly available on its website www.dbrsmorningstar.com under Methodologies & Criteria.

For more information on this methodology or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].