DBRS Morningstar Publishes Updated Interest Rate Stresses for European Structured Finance Transactions Methodology

DBRS Morningstar published an updated version of its "Interest Rate Stresses for European Structured Finance Transactions" methodology (the Methodology). The Methodology presents the criteria with which DBRS Morningstar assesses unhedged interest rate risk in European structured finance transactions and covered bonds.

DBRS Morningstar has conducted a periodic review of the Methodology. This update supersedes the previous version published on 24 September 2021 and is effective as of 22 September 2022. 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:
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/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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.