DBRS Morningstar Publishes Final European RMBS Insight: Italian Addendum

DBRS Morningstar finalised its “European RMBS Insight: Italian Addendum” (the Methodology).

This Methodology presents the criteria for which Italian residential mortgage-backed securities (RMBS) ratings, and, where relevant, Italian covered bonds ratings, are assigned and/or monitored.

The Methodology supersedes the prior version published on 21 December 2020 and is effective as of 10 December 2021.

DBRS Morningstar updated its house price indexation and market value decline (MVD) rates to reflect data through the third quarter of 2020. DBRS Morningstar also updated its MVDs for Italy at a national level and for each of the cities and regions considered in the addendum.

DBRS Morningstar currently rates 49 classes of notes across 28 Italian RMBS transactions. DBRS Morningstar deems these updates to be material as the assumptions changed are considered key assumptions, but determined that no outstanding ratings are expected to change as a result of these updates.

DBRS Morningstar also amended some typographical errors contained in Exhibit 1 (Italian LSA Parameters) of the “European RMBS Insight: Italian Addendum” published on 21 December 2020. This update is deemed as nonmaterial.

No comments were received during the request for comment (RFC) period for this Methodology.

All comments received during the RFC period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.