DBRS Publishes Updated Rating European Covered Bonds Methodology and Market Value Spread Assumptions

DBRS has today published its updated Rating European Covered Bonds methodology (the Methodology) along with the addendum containing the midpoints of the assumed Market Value Spreads Range.

Effective today, this Methodology supersedes the previous Rating European Covered Bonds published on 8 September 2015. The language in the Methodology has been streamlined; there are no material changes to the Methodology and the market value spreads assumptions are unaffected.

The section dealing with the monitoring of the covered bonds (CB) ratings, previously included in the Master European Structured Finance Surveillance methodology, is now included in this Methodology.

The Methodology clarifies that DBRS assumes no stressed liquidation of the cover pool assets for pass-through or conditional pass-through structures. The Methodology further explains that DBRS tests only a discrete number of default timings for the Reference Entity. As such, default at all CB maturities may not be tested, and maturities may be bucketed.

Appendix D to the Methodology provides insight of DBRS’s assessment of the originator and servicer role. For more detailed information, please refer to the methodologies Operational Risk Assessment for European Structured Finance Servicers and Operational Risk Assessment for European Structured Finance Originators, both available on www.dbrs.com.

None of the changes to the Methodology are material or have any impact on the outstanding ratings.

Notes:
DBRS criteria and methodologies are publicly available at 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.