DBRS Morningstar Publishes Final European RMBS Insight: UK Addendum

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

This methodology presents the criteria for which UK residential mortgage-backed securities (RMBS) ratings and, where relevant, UK covered bonds ratings, are assigned.

DBRS Morningstar updated its house price indexation to reflect data through Q4 2021. Moreover, DBRS Morningstar updated the market value decline assumptions in Exhibit 6 of the Methodology, which it now derives using the base year of 2017 as opposed to 2002 previously.

The updated Methodology supersedes the prior version published on 27 October 2021 and is effective as of 16 September 2022.

DBRS Morningstar currently rates 194 classes of notes across 35 UK RMBS transactions. While no downgrades are expected as a result of these changes, DBRS Morningstar expects a significant number of tranches to be placed Under Review with Positive Implications. No rating impact is expected on UK covered bonds, nonperforming loans, or structured credit transactions.

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/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 [email protected].