DBRS Morningstar Publishes Updated Global Methodology for Rating and Monitoring Covered Bonds and Market Value Spreads Addendum

DBRS Morningstar published updated versions of its “Global Methodology for Rating and Monitoring Covered Bonds” and “Global Methodology for Rating and Monitoring Covered Bonds Addendum: Market Value Spreads”.

To align with other DBRS Morningstar structured finance methodologies, the name of the methodology was changed to “Global Methodology for Rating and Monitoring Covered Bonds” from “Rating and Monitoring Covered Bonds”.

DBRS Morningstar has conducted a periodic review of the methodology and the addendum.

This update supersedes the previous versions published on 22 April 2022 and is effective as of 8 May 2023. DBRS Morningstar deems the updates not to be material and has determined that no ratings are expected to change as a result of these updates. The updated methodology and the addendum reflect the implementation of the harmonised covered bond legal framework for European Covered Bonds, according to which we have removed the paragraph describing how we looked at overcollateralisation levels in Spain, where the whole mortgage book was pledged in favour of covered bond holders.

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].