DBRS Morningstar Publishes Updated Interest Rate Stresses for European Structured Finance Transactions Methodology

DBRS Morningstar published an updated version of its "Interest Rate Stresses for European Structured Finance Transactions" methodology (the Methodology). The Methodology presents the criteria with which DBRS Morningstar assesses unhedged interest rate risk in European Structured Finance transaction and covered bonds.

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on 28 September 2020 and is effective as of 24 September 2021. 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:
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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.

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

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