Press Release

DBRS Morningstar Publishes Final Master European Structured Finance Surveillance Methodology

April 22, 2020

DBRS Morningstar finalised its updated “Master European Structured Finance Surveillance Methodology”. The updated version includes a new section for obligations backed by insurance policies (financial guarantee). The new section to the methodology presents the criteria for monitoring ratings of European securitisation transactions where the credit performance of the underlying collateral pool is supported by a financial guarantee or an insurance policy that functions as a financial guarantee (the Policy).

Factors that DBRS Morningstar considers when analysing such collateral pools include the likelihood of loss occurring on the underlying collateral pool, the mix and the credit quality of the insurers or guarantors, as well as their claim payment track record. In addition, DBRS Morningstar takes into account legal and policy considerations and, at transaction level, analyses structural elements, such as how costs and expenses related to the Policy will be covered, operational and servicing capabilities, backup servicing, and potential timing lags for payout under the Policy as well as available liquidity.

The publication follows the closure of a request for comment (RFC) period that ended on 30 March 2020. For further background, please refer to DBRS Morningstar’s press release, “DBRS Morningstar Requests Comments on Proposed Insured Obligations Section to Master European Structured Finance Surveillance Methodology” dated 27 February 2020.

DBRS Morningstar received no comments on the methodology during the RFC period; therefore, there are no changes to the methodology that was published on 27 February 2020.

The updated methodology supersedes the previous version published 13 December 2019 and is effective as of 22 April 2020. DBRS Morningstar has determined that no ratings will be changed as a result of the publication of the updated methodology.

All comments received during the request for comment period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

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