DBRS Publishes Updated Unified Interest Rate Model Methodology for European Structured Finance Transactions

DBRS Ratings Limited (DBRS) has today published an updated “Unified Interest Rate Model for European Structured Finance Transactions.”

The methodology is being published pursuant to DBRS’s periodic review of methodologies and criteria. The criteria is effective as of the date of this press release and supersedes any previously available criteria.

DBRS has updated the methodology and, for euro-denominated rates, has substituted historical-based volatility for market-based volatility in addition to a limited inclusion of negative interest rates. The change reflects the unprecedentedly low levels of euro-zone interest rates since the beginning of 2015.

DBRS does not deem the criteria updates to be material as the change is considered to be an updated application within the parameters of the current methodology. Accordingly, DBRS will not take any rating action on outstanding ratings solely as a result of these changes.

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

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.