DBRS Morningstar Publishes Final Rating European Structured Finance Transactions and Master European Structured Finance Surveillance Methodologies

DBRS Morningstar finalised its “Rating European Structured Finance Transactions Methodology” and “Master European Structured Finance Surveillance Methodology” (together, the Methodologies). The Methodologies supersede the previous versions published on 30 July 2021 and 8 February 2022, respectively. The Methodologies present the criteria applied in rating and monitoring European structured finance transactions, considering the respective appendices or sections.

In this update, the “Rating European Structured Finance Transactions Methodology” contains a new appendix applicable to the analysis of dual-recourse securities and the “Master European Structured Finance Surveillance Methodology” contains an additional section addressing dual-recourse securities. DBRS Morningstar deems the updates to be material. The new appendix and section focus on the credit quality of the obligations backing dual-recourse securities and the degree of overlap in the drivers of their credit risk. DBRS Morningstar deems the update to be material, but determined that no outstanding public credit ratings are expected to be affected as a result.

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. However, in this case, there were no comments received.

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/396929.

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.