Morningstar DBRS Publishes Updated European CMBS Rating and Surveillance Methodology

Morningstar DBRS finalised its "European CMBS Rating and Surveillance Methodology" (the Methodology), which supersedes the version published on 17 January 2024 and is effective as of 4 March 2025.

The Methodology presents the criteria with which European commercial mortgage-backed securities (CMBS), European commercial real estate loan, and related warehouse credit ratings are assigned and/or monitored. The changes made to the Methodology relate to the Morningstar DBRS Sizing Hurdles at the BBB (low) (sf) and BB (high) (sf) level, which are now a linear interpolation between the BBB (sf) and BB (sf) parameters shown in Appendix D of the Methodology to enable consistency with how the other intermediate credit rating hurdles are calculated. Morningstar DBRS deems the methodology updates to be material but has determined that no credit ratings are or will be changed as a result of this update.

In addition, the Methodology provides more details on the calculation and application of adjustments to Morningstar DBRS Sizing Hurdles, specifically: (1) diversity and pooling, (2) equity, and (3) amortisation adjustments. The Methodology also provides more details on Morningstar DBRS' approach to assessing the amount and availability of external liquidity arrangements. The First Dollar Loss Ratings appendix was removed from the Methodology as it is now included in the Morningstar DBRS Product Guide.

Morningstar DBRS received no comments during the request for comment (RFC) period. All comments received during the RFC period have been published to the Morningstar DBRS website, except in cases where confidentiality was 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.