DBRS Morningstar Publishes Insured Obligations Appendix to Rating European Structured Finance Transactions Methodology, and New Appendices for Operational Risk Methodologies

DBRS Morningstar finalised its new appendix for Obligations Backed by Insurance Policy (Financial Guarantee) to the “Rating European Structured Finance Transactions” methodology. This appendix to the methodology presents the criteria for assigning and/or monitoring ratings of European securitisation transactions where credit performance of the underlying collateral pool is supported by a financial guarantee or an insurance policy that functions as a financial guarantee (the Policy).

In addition, DBRS Morningstar finalised two appendices to the following updated methodologies:

(1) The “Sample Operational Risk Agenda for European Insurance-Backed Originators” appendix was added to the existing “Operational Risk Assessment for European Structured Finance Originators” methodology.
(2) The “Sample Operational Risk Agenda for European Insurance-Backed Servicers” appendix was added to the existing “Operational Risk Assessment for European Structured Finance Servicers” methodology.

The publications follow the closure of a request for comment (RFC) period that ended on 6 February 2020. For further background, please refer to DBRS Morningstar’s press release, “DBRS Morningstar Requests Comments on Proposed Insured Obligations Appendix to Rating European Structured Finance Transactions Methodology, and New Appendices for Operational Risk Methodologies” dated 6 January 2020.

DBRS Morningstar received no comments on the methodologies during the RFC period; therefore, there are no changes to the appendices that were published on 6 January 2020.

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.

The appendices to the methodologies are effective as of today. DBRS Morningstar has determined that no ratings will be changed as a result of the publication of the appendices to the methodologies.

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

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