DBRS Morningstar Publishes Updated Methodology for Interest Rate Stresses for U.S. Structured Finance Transactions

DBRS Morningstar published an updated version of its “Interest Rate Stresses for U.S. Structured Finance Transactions” methodology (the Methodology).

An adjustment was made to the input volatility conditions such that a set of volatilities from a prior date are able to be utilized in order to produce interest rate stresses consistent with those prior to the Coronavirus Disease (COVID-19) pandemic.

This update supersedes the previous version published on June 4, 2020, and is effective as of October 23, 2020. 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:
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.