DBRS Morningstar Publishes Final European RMBS Insight Methodology

DBRS Morningstar finalised its “European RMBS Insight Methodology” (the Methodology).

This Methodology presents the criteria for which Dutch, Greek, Italian, Spanish, and UK residential mortgage-backed securities (RMBS) ratings and, where relevant, Dutch, Greek, Italian, Spanish, and UK covered bonds ratings, are assigned and monitored.

DBRS Morningstar has changed the functionality that enables the European RMBS Insight Model to directly forecast defaults of loans with flexible features—loans that allow borrowers to make further drawings—based on the total loan balance including the current loan balance and further drawing capacity. In addition to this change, DBRS Morningstar has capped the loss given default at 100%.

The Methodology supersedes the prior version published on 2 April 2020 and is effective as of 3 June 2021.

No comments were received during the request for comment (RFC) period for the Methodology.

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].