DBRS Morningstar Publishes Updated Legal Criteria for European Structured Finance Transactions

DBRS Morningstar published an updated version of its “Legal Criteria for European Structured Finance Transactions” methodology (the Methodology). The Methodology presents the legal criteria for which European Structured Finance transaction ratings are assigned and/or monitored.

DBRS Morningstar clarified the analysis of real estate owned companies that have become common in European nonperforming loans securitisations. The analysis is similar to that of European securitisation issuers, with differences outlined as applicable.

DBRS Morningstar also clarified certain items with respect to the account bank risk and senior costs/indemnity sections of the Methodology.

DBRS Morningstar has conducted a periodic review the Methodology. This update supersedes the previous version published on 29 July 2021 and is effective as of 22 July 2022. DBRS Morningstar deems the update not to be material and has determined that no ratings are expected to change as a result of this update.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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.

For more information on this methodology or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.