Morningstar DBRS Requests Comments on Its Proposed Rating European Consumer and Commercial Asset-Backed Securitisations Methodology

Morningstar DBRS is requesting comments on the proposed update to its Rating European Consumer and Commercial Asset-Backed Securitisations methodology, which may, upon the close of the request for comment period, supersede the version published on 18 September 2024. This methodology presents the criteria for which European consumer loan, credit card, auto loan, auto lease, and consumer/commercial lease asset-backed security transaction ratings are assigned and/or monitored.

The proposed changes clarify the approach applied to define default and recovery stresses. In particular, Morningstar DBRS discloses haircut ranges applicable to recoveries and removes the concept of volatility stress.

Although DBRS Morningstar deems the update to be material, no outstanding ratings are expected to be affected as result of the proposed changes.

Comments should be received on or before 5 July 2025. Please submit your comments to the following email address:
sfcomments@morningstar.com
Morningstar DBRS publishes on its website all comments received 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.