DBRS Publishes Final European Non-Performing Loans Securitisations Methodology

DBRS finalised its “Rating European Non-Performing Loans Securitisations” methodology (the Methodology). This Methodology presents the criteria for which European non-performing loan (NPL) securitisation ratings are assigned and/or monitored.

The Methodology supersedes the prior version published on 15 May 2018 and is effective as of 27 June 2019.

DBRS did not receive any comments on the Methodology during the request for comment period. The new addition to the Methodology is the addition of market value decline (MVD) rates for residential properties securing secured loans in Cyprus. The Methodology typically refers to MVDs published in the relevant DBRS RMBS rating methodologies. For European jurisdictions not covered by DBRS’s RMBS methodologies, DBRS uses MVDs outlined in the Methodology.

As DBRS does not currently rate any Cypriot NPL transactions with the Methodology, DBRS has determined that no ratings are expected to change as a result of this update.

DBRS publishes on its website all comments received, except in cases where confidentiality is
requested by the respondent.

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

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