Morningstar DBRS Publishes Updated Rating European Nonperforming and Reperforming Loans Securitisations and Common RMBS Rating Methodologies

Morningstar DBRS published updated versions of its "Rating European Nonperforming and Reperforming Loans Securitisations" methodology and "Common RMBS Rating Methodology" (the Methodologies).

Morningstar DBRS removed the "Appendix: Cyprus Market Value Decline Rates" from its "Rating European Nonperforming and Reperforming Loans Securitisations" methodology and incorporated the Cypriot market value decline (MVD) assumptions table into "Appendix 3: Jurisdiction-Specific Market Value Decline Assumptions" of the "Common RMBS Rating Methodology" with the MVD assumptions of 14 other jurisdictions. The MVD values applied for Cypriot portfolios remain unchanged and are not affected by this transfer of MVDs between methodologies.

These updates supersede the previous versions of the "Common RMBS Rating Methodology" published on 15 April 2024 and the "Rating European Nonperforming and Reperforming Loans Securitisations" methodology published on 18 September 2024 and are effective as of 18 October 2024. 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.

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

For more information on these methodologies or on these industries, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.