DBRS Morningstar Finalizes U.S. Nonperforming Loans Methodology Appendices

DBRS Morningstar finalized its Appendix XVII: U.S. Nonperforming Loans of the “Rating U.S. Structured Finance Transactions” methodology. DBRS Morningstar also finalized its new exhibit in the “Operational Risk Assessment for U.S. ABS Servicers” methodology for the U.S. nonperforming loans asset class and a new Appendix XXXII: U.S. Nonperforming Loans of the “DBRS Morningstar Master U.S. ABS Surveillance” methodology.

The methodologies present the criteria for which ratings are assigned and/or monitored in the U.S. nonperforming loans asset class.

The methodologies supersede the prior versions published on November 8, 2022, and are effective as of February 6, 2023.

Publication of these methodologies follows the conclusion of the request for comment period that began on December 22, 2022.

DBRS Morningstar received no comments during the request for comment period related to the U.S. nonperforming loans appendices and new exhibit.

All comments received during the request for comment period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

Notes:
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.

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].