DBRS Morningstar Requests Comments on Proposed Updates to Rating European Structured Finance Transactions and Master European Structured Finance Surveillance Methodologies

DBRS Morningstar is requesting comments on proposed updates to two methodologies, “Rating European Structured Finance Transactions Methodology” and “Master European Structured Finance Surveillance Methodology”. These methodologies may, upon the close of the request for comment period, supersede the versions published on 30 July 2021 and 8 February 2022, respectively. These methodologies present the criteria applied in rating and monitoring European structured finance transactions, considering the respective appendices or sections.

The proposed updated version of the “Rating European Structured Finance Transactions Methodology” contains a new appendix applicable to the analysis of dual-recourse securities. The proposed updated version of the “Master European Structured Finance Surveillance Methodology” contains an additional section addressing dual-recourse securities. The proposed methodologies for dual-recourse securities focus on the credit quality of the obligations backing the dual-recourse securities and the degree of overlap in the drivers of their credit risk. DBRS Morningstar deems the changes to be material, but does not expect the proposed changes to affect any outstanding ratings.

Comments should be received on or before 29 April 2022. Please submit your comments to the following email address: sfcomments@dbrsmorningstar.com

DBRS Morningstar publishes on its website all comments received, 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.