DBRS Morningstar Publishes Final European CMBS Rating and Surveillance Methodology

DBRS Morningstar finalised its “European CMBS Rating and Surveillance Methodology” (the Methodology) after the closure of a public request for comment (RFC) period that ended on 22 February 2021, per DBRS Morningstar’s press release, “DBRS Morningstar Requests Comments on Proposed Changes to the European CMBS Rating and Surveillance Methodology”.

The Methodology presents the criteria with which DBRS Morningstar assigns and monitors ratings of European commercial mortgage-backed securities (CMBS), commercial real estate (CRE) loans, and warehouse lines for CRE loans. As noted in the RFC press release, the Methodology reflects the increase of the minimum vacancy rates used in the analysis of European retail properties (1) to 7.5% from 5% for regional malls, (2) to 7.5% from 5% for anchored retail, and (3) to 12.5% from 10% for unanchored retail.

DBRS Morningstar also expanded the scope of the Methodology by adding an appendix describing DBRS Morningstar’s approach to credit tenant leases.

No ratings are expected to change as a result of this update.

The Methodology supersedes the prior version published on 13 December 2019 and is effective as of 26 February 2021.

The Methodology was published on a request for comments basis on 21 January 2021. All comments received during the RFC period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

Notes:
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at: https://www.dbrsmorningstar.com/research/373262.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

DBRS Morningstar methodologies are publicly available on its website www.dbrsmorningstar.com under Methodologies & Criteria.

For more information on this methodology or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].