Press Release

DBRS Morningstar Publishes Final Methodology for Derivatives Criteria for Canadian Structured Finance

June 16, 2023

DBRS Morningstar finalized its “Derivatives Criteria for Canadian Structured Finance” methodology (the methodology). In addition, DBRS Morningstar has conducted a periodic review of the methodology.

This methodology presents the criteria by which DBRS Morningstar analyzes counterparty risk and its mitigation in relation to derivatives arrangements that are part of Canadian structured finance transactions.
The methodology supersedes the prior version published on June 22, 2022, and is effective as of June 16, 2023.

The changes relate to the increase of the volatility cushions in the context of collateral posting at the first rating threshold for cross-currency swaps, following a review of historical currency exchange rate volatilities.

DBRS Morningstar rates six Canadian Covered Bond programs and 12 Canadian ABS transactions, which include a currency swap considered in the analysis. No outstanding ratings are expected to be affected as result of the changes and, hence, there is no rating impact.

All comments received during the request for comment period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

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:

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

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