DBRS Morningstar Retires Morningstar Credit Ratings' CLO Methodology from Use and Modifies ABS Ratings Methodology

DBRS Morningstar completed the updates to the DBRS Morningstar credit ratings in the U.S. collateralized loan obligation (CLO) asset classes that had been monitored using the “Morningstar Credit Ratings, LLC’s (MCR) U.S. CLO Ratings Methodology” and the “MCR U.S. ABS General Ratings Methodology” (together, the MCR U.S. CLO Rating Methodologies) by using the following DBRS Morningstar CLO methodologies:
(1) “Rating CLOs and CDOs of Large Corporate Credit” (February 8, 2021),
(2) “Cash Flow Assumptions for Corporate Credit Securitizations” (February 8, 2021), and
(3) “Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits” (September 22, 2020).

As announced on September 25, 2020, DBRS Morningstar will no longer use the MCR U.S. CLO Rating Methodologies to assign or monitor any credit ratings in any U.S. CLO asset classes. Accordingly, DBRS Morningstar has archived the “MCR U.S. CLO Ratings Methodology.” In addition, DBRS Morningstar has modified the applicability of the “MCR U.S. ABS General Ratings Methodology” to remove reference to the Legacy MCR-Rated U.S. Collateralized Loan Obligations Collateralized by Broadly Syndicated Loans from the Notice Regarding Analytical Integration of DBRS and Morningstar Credit Ratings included therein.

Notes:
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.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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

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