DBRS Publishes Final Unified Interest Rate Model Methodology for European Securitisations

DBRS has today published its finalised Unified Interest Rate Model methodology for European securitisations. The methodology describes the DBRS process for the generation of consistent interest rate stresses across currency markets as well as markets which do not have underlying term structures.

The final methodology does not have any substantive changes from the proposed Unified Interest Rate Model methodology which was published with a request for comments.

As a result, DBRS is not taking rating actions on any outstanding European securitisations.

DBRS criteria and methodologies are publicly available on its website www.dbrs.com under Methodologies.