DBRS Morningstar Publishes Updated European RMBS Insight Methodology

DBRS Morningstar published an updated version of its “European RMBS Insight Methodology” (the Methodology).

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on 28 March 2022 and is effective as of 27 March 2023. 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. The updated methodology provides a more detailed outline of the computation of stressed default rates at different rating levels.

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 (17 May 2022).

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].