DBRS Morningstar Finalizes Obligations Backed by Market-Value Collateral Methodology Appendices

DBRS Morningstar finalized its Appendix XVI: Obligations Backed by Market-Value Collateral of the “Rating U.S. Structured Finance Transactions” methodology. DBRS Morningstar also finalized its new exhibits in the “Operational Risk Assessment for U.S. ABS Originators” and “Operational Risk Assessment for U.S. ABS Servicers” methodologies for the U.S. U.S. Tax Credit asset class and U.S. Precious Metals asset class and a new Appendix XXXI: Obligations Backed by Market-Value Collateral of the “DBRS Morningstar Master U.S. ABS Surveillance” methodology.

Publication of these methodologies follows the conclusion of the request for comment period that began on October 14, 2022. DBRS Morningstar received no comments during the request for comment period related to the Obligations Backed by Market-Value Collateral appendices. This “Rating U.S. Structured Finance Transactions” – Appendix XVI: Obligations Backed by Market-Value Collateral appendix supersedes the “U.S. ABS General Ratings Methodology” (December 2018) and is effective as of November 8, 2022.

The “Operational Risk Assessment for U.S. ABS Originators” and the “Operational Risk Assessment for U.S. ABS Servicers” methodologies were each updated to include a new U.S. Tax Credit Exhibit and a new U.S. Precious Metals Exhibit and supersede the “U.S. ABS General Ratings Methodology” (December 2018). The effective date of the two methodologies is November 8, 2022.

The Appendix XXXI: Obligations Backed by Market-Value Collateral, in the existing “DBRS Morningstar Master U.S. ABS Surveillance” methodology, supersedes the “U.S. ABS General Ratings Methodology” (December 2018) and is effective as of November 8, 2022.

As of November 8, 2022, the above-named methodologies will be used in connection with the assigning of new DBRS Morningstar credit ratings, and the monitoring of outstanding DBRS Morningstar credit ratings, in the Obligations Backed by Market-Value Collateral asset class.

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

Notes:
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/402907.

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.