DBRS Morningstar Publishes Final Greek Market Value Decline Assumptions Appendix to Common RMBS Rating Methodology, Withdraws European RMBS Insight: Greek Addendum

DBRS Morningstar finalised the new Greek Market Value Decline (MVD) Assumptions Appendix (Appendix 3) to its “Common RMBS Rating Methodology” for residential mortgage-backed securities (RMBS) and, where relevant, Greek covered bond issuances backed by Greek mortgage portfolios. In addition to RMBS and covered bonds, DBRS Morningstar also uses the MVD assumptions to rate nonperforming loan securitisations in Greece. As a result, DBRS Morningstar also withdrew its “European RMBS Insight: Greek Addendum”.

After the withdrawal of the “European RMBS Insight: Greek Addendum”, DBRS Morningstar intends to rate new and existing Greek issuances backed by mortgage portfolios within the framework set by the “Common RMBS Rating Methodology”.

DBRS Morningstar currently rates one Greek covered bond transaction, the Piraeus Bank SA Global Covered Bonds Programme, and does not expect any rating impact as a result of the change to the “Common RMBS Rating Methodology” from the “European RMBS Insight Methodology” for Greek mortgage portfolios.

No comments were received during the request for comment period (RFC). All comments that are received during the RFC period are 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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

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