DBRS Morningstar Publishes Updated Methodology for Rating North American CMBS Interest-Only Certificates

DBRS Morningstar published an updated version of “Rating North American CMBS Interest-Only Certificates” (the Methodology), which describes its approach to rating interest-only certificates (IOs) within singe-asset/single-borrower transactions and multi-borrower transactions.

The update clarifies the methodology application to non-rated reference obligations; details the application of the IO rating ceiling guidance with respect to applicable single-asset/single-borrower transactions; and identifies the risk to the notional of the applicable reference obligations as the driver when considering refinance risk for notching while simplifying the explanation of the one-notch rationale.

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on January 14, 2019, and is effective as of the date of this press release. DBRS Morningstar deems the update not to be material and has determined that no ratings are expected to change as a result of this update.

Notes:
DBRS Morningstar 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 [email protected].