Press Release

Morningstar DBRS Requests Comments on Proposed Legal and Derivative Criteria for European Structured Finance

ABCP, Auto, RMBS
June 30, 2025

Morningstar DBRS is requesting comments on the proposed updates to "Legal and Derivative Criteria for European Structured Finance", which may, upon the close of the Request for Comment period, supersede the version published on 19 November 2024.

The proposed update to the methodology includes a description of the analytical treatment of payments to noteholders that rank junior to subordinated swap termination payments. The addition is proposed due to the emergence of such priorities of payments in European securitisation transactions. Morningstar DBRS deems this change to be material, but no credit rating actions are likely to be taken as a result of this proposed material change.

The methodology update also includes clarification around Morningstar DBRS' expectations for reserve or liquidity provisions especially for notes rated AA or higher.

Furthermore, it is proposed that this methodology will also be applicable to non-European jurisdictions with equivalent or sufficiently similar legal and regulatory regime--for instance, countries in the Asia-Pacific region.

Comments should be received on or before 30 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 https://dbrs.morningstar.com under Methodologies & Criteria.

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