DBRS Publishes Interest Rate Stresses for U.S. Structured Finance Transactions Methodology

DBRS, Inc. (DBRS) published its “Interest Rate Stresses for U.S. Structured Finance Transactions” methodology (the Methodology). The Methodology, effective September 27, 2018, replaces the prior “Unified Interest Rate Model for Rating U.S. Structured Finance Transactions” published in June 2015. The publication follows the conclusion of the Request for Comment period, which began on June 14, 2018. No comments were received during the Request for Comment period.

The Methodology update reflects the reclassification of the DBRS Unified Interest Rate Model from a predictive model to an analytical tool as disclosed in the “Interest Rate Stresses for U.S. Structured Finance Transactions” methodology. An analytical tool generally acts as a usability tool to facilitate the rating process and its outputs are ultimately used as a component to support the analysis conducted to determine a rating.
There are no outstanding U.S. structured finance transactions that had a material deviation as a result of the application of the Unified Interest Rate Analytical Tool. Going forward, assigned ratings may differ from the stresses implied by the Unified Interest Rate Analytical Tool. These differences will be disclosed in accordance with applicable regulatory requirements.

DBRS also updated the Scope and Limitations section in the Methodology.

DBRS deems the above-described updates to the Methodology not to be material and has determined that no ratings are or will be changed because of these updates.

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

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