DBRS Morningstar Publishes Updated Methodology for Rating North American CMBS Interest-Only Certificates

DBRS Morningstar published an updated version of its “Rating North American CMBS Interest-Only Certificates” methodology (the Methodology).

Updates to the methodology include updating CMBS loan performance data supporting the term and maturity default differential using the observed default numbers during the term and at maturity; clarifying surveillance obligation as it relates to the IO’s Applicable Reference Obligation (ARO) nearing its end; and removing the concept of rating ceiling relating to weighted-average coupon IOs (WAC IOs), which is not in use and sufficiently replaced with reference to the ARO.

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on December 20, 2019, and is effective as of December 17, 2020. DBRS Morningstar deems the update 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.dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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