DBRS Morningstar Publishes Updated Methodology for Interest Rate Stresses for U.S. Structured Finance Transactions

DBRS Morningstar published an updated version of Interest Rate Stresses for U.S. Structured Finance Transactions (the Methodology).

The Methodology was updated to include an adjustment to the input volatility conditions such that a set of volatilities from a prior date are able to be utilized in order to produce interest rate stresses consistent with those prior to the Coronavirus Disease (COVID-19) pandemic.

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on June 10, 2021, and is effective as of August 30, 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:
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].