DBRS Publishes Updated Dutch Addendum to the Master European RMBS Rating Methodology

DBRS Ratings Limited (DBRS) has today published an amended version of its Master European Residential Mortgage-Backed Securities (RMBS) Rating Methodology (“Master”) and Jurisdictional Addenda. This methodology, effective as of the date of this press release, supersedes the previous methodology dated February 2012.

The Master methodology with the addenda describes the DBRS rating criteria for European residential mortgage portfolios and forms part of the DBRS criteria for rating European residential mortgage-backed securities (RMBS) and other transactions linked to residential mortgage assets including covered bonds in the Netherlands, Spain, Italy, Portugal, the United Kingdom, Belgium, France and Ireland.

In the updated methodology, DBRS changed the Market Value Decline (MVD) assumptions for certain rating levels and also changed the cost of sales assumptions for the Dutch Market. The MVD assumptions have increased for the rating scenario of BBB (high) and below. DBRS has decreased the variable foreclosure costs used in the calculation for Loss Given Default.

Accordingly, all outstanding Dutch RMBS transactions will be reviewed and rating actions published as soon as possible.

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