Morningstar DBRS Finalises Rating Solar ABS Transactions Methodology

Morningstar DBRS finalised the following methodologies (the Methodologies), which supersede the versions published on the dates below:

-- Rating Solar ABS Transactions (20 July 2023);
-- Operational Risk Assessment for European Structured Finance Originators (15 September 2023);
-- Master European Structured Finance Surveillance Methodology (11 December 2023).

Morningstar DBRS received no comments during the request for comment (RFC) period.

The Methodologies present the criteria with which US and European solar contract ABS ratings are assigned and/or monitored. The changes made to the Methodologies relate to the expansion of the regional coverage of the Rating Solar ABS Transactions methodology to Europe. Given the expansion of the regional coverage, Morningstar DBRS deems the changes to be material. No credit ratings are expected to be affected following the finalisation of the Methodologies.

In addition, Morningstar DBRS conducted a periodic review of the “Master European Structured Finance Surveillance Methodology”. Morningstar DBRS deems the update not to be material and determined that no credit ratings are expected to change as a result of this update.

Rating Solar ABS Transactions
Please refer to the “Rating Solar ABS Transactions” methodology, which presents the principal asset class methodology that Morningstar DBRS applies to assign new credit ratings in the US and European solar contract asset class. The “Rating Solar ABS Transactions” methodology provides a discussion of the key analytical and credit considerations, collateral quality and metrics, legal and regulatory considerations, and cash flow analysis applicable to Morningstar DBRS’ analysis of solar contract asset class transactions.

Operational Risk Assessment for European Structured Finance Originators
Please refer to the “Operational Risk Assessment for European Structured Finance Originators”, which has been updated to include the particularities of operational risk reviews of originators in the European solar contract asset class.

Master European Structured Finance Surveillance Methodology
Please refer to the “Master European Structured Finance Surveillance Methodology”, which has been updated to include the criteria that Morningstar DBRS applies in connection with the surveillance of Morningstar DBRS credit ratings on European Solar ABS transactions.

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

Notes:

Morningstar DBRS methodologies are publicly available on its website dbrs.morningstar.com under Methodologies & Criteria.

For more information on this methodology or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.