DBRS Publishes Commentary on the Effect of Sovereign Risk on Securitisations in the Euro Area

DBRS has today published a commentary on the effect of sovereign risk on securitisations in the Euro area. This commentary, along with DBRS sovereign rating methodology, explains the manner in which DBRS incorporates this risk into the analysis of our structured finance ratings domiciled in the Euro area.

In practice, DBRS does not apply a maximum number of notches between a sovereign rating and the most senior tranche of a structured finance transaction. DBRS believes that assigning a fixed number of notches between the ratings simplifies the nature of the sovereign risk that is relevant to each structured finance transaction and implies that there is a fixed link between the sovereign and structured finance transactions in all circumstances. When considering sovereign risk in structured finance rating analysis, DBRS uses a case-by-case approach that is jurisdiction-specific and asset-class specific with the risks and protections of each transaction identified and considered.

For the entire commentary on the effects of sovereign risk on securitizations in the Euro area, please click on the link below.