Global Macroeconomic Scenarios: Application to Credit Ratings

Sovereigns, Corporate Finance, Structured Finance


As the COVID-19 pandemic spreads and its consequences unfold, it is hard to anticipate the ultimate impact on the variables which drive credit quality. In the context of this highly uncertain environment and for the sake of transparency, DBRS Morningstar released a set of of macroeconomic scenarios for select economies (scenarios are subject to revisions). The moderate and the adverse scenarios are being used in the context of our rating analysis, with the moderate scenario serving as the primary anchor for current ratings (the baseline or base case scenario), and the adverse scenario serving as a benchmark for sensitivity analysis for the same ratings (the downside scenario).