DBRS Morningstar Publishes Updated North American CMBS Multi-Borrower Rating Methodology

DBRS Morningstar published an updated version of its “North American CMBS Multi-Borrower Rating Methodology” (the Methodology).

DBRS Morningstar made the following nonmaterial updates to the Methodology:
-- Use of average net cash flow haircuts by the loan seller for non-sampled loans.
-- Calculation of debt service for the purpose of calculating the debt service coverage ratio (DSCR) is based on the loan’s principal repayment period, if any.
-- Full-term interest-only loans may benefit from a potentially higher DSCR while a higher balloon loan-to-value ratio may increase the estimated probability of default.
-- DBRS Morningstar derives multiple ranges from 90% of the 2.0 conduit universe by excluding the lowest and highest fifth percentiles of estimated base-case pool losses.
-- The multiples applicable to conduit transactions with idiosyncratic risks or characteristics and commercial real estate collateralized loan obligation (CRE CLO) transactions are typically the model multiples, which may be outside these multiple ranges as specified in the Methodology.
-- A pooling paragraph for CRE CLOs clarifies the use of model multiples for these transactions.
-- Updated historical performance for Freddie Mac K-Deal and Canadian transactions.

DBRS Morningstar made no changes to its CMBS Insight Model.

DBRS Morningstar has conducted a periodic review of the Methodology and the CMBS Insight Model. This update supersedes the previous version published on March 26, 2019, and is effective as of March 9, 2020. DBRS Morningstar deems the updates to the Methodology and model not to be material and has determined that no ratings are expected to change as a result of this update.

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

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