DBRS Morningstar Publishes Final Methodology for Rating European Nonperforming Loans Securitisations

DBRS Morningstar finalised its “Rating European Nonperforming Loans Securitisations” methodology (the Methodology), which supersedes the version published on 6 May 2022, and is effective as of 5 June 2023. This methodology presents the criteria for which ratings on European nonperforming loans (NPL) securitisations are assigned and/or monitored.

DBRS Morningstar updated its haircuts for unsecured exposures. Please see Exhibit 1 of the new “Rating European Nonperforming Loans Securitisations” for more details.

DBRS Morningstar publicly rates 93 classes of notes across 55 European NPL transactions. The Methodology updates could lead to lower recovery rates on a small number of transactions, but no outstanding public ratings are expected to be affected as result of the change and, hence, there is no rating impact.

No comments were received during the request for comment (RFC) period. 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.

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].