DBRS Morningstar Publishes Final Common RMBS Rating Methodology; Withdraws German and Belgian Addenda and Updates French Addendum to Master European RMBS Rating Methodology

DBRS Morningstar finalised its “Common RMBS Methodology”. Consequently, DBRS Morningstar:

(1) Will now apply the “Common RMBS Rating Methodology” to German and Belgian residential mortgage-backed securities (RMBS) and, where relevant, covered bond issuances backed by German and Belgian mortgage portfolios.

(2) Updated the German and Belgian market value decline (MVD) assumptions applicable to its analysis of German and Belgian mortgage portfolios. The updated MVD assumptions are available in Appendix 3.2 and 3.3 of the “Common RMBS Methodology”. In addition to RMBS and covered bonds, DBRS Morningstar will also use these MVD assumptions to assign ratings to small and medium-size enterprise (SME) collateralised loan obligation (CLO) transactions in Germany and Belgium.

(3) Updated the Greek MVD assumptions in Appendix 3.1 of “Common RMBS Rating Methodology” for RMBS and, where relevant, Greek covered bond issuances backed by Greek mortgage portfolios. In addition to RMBS and covered bonds, DBRS Morningstar will also use these MVD assumptions to assign ratings to nonperforming loan securitisations in Greece

(4) Withdrew the German and Belgium Addenda to the “Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda” methodology.

The finalised “Common RMBS Rating Methodology” supersedes the version published on 25 May 2022.

DBRS Morningstar currently rates four SME CLOs with Belgian assets, three covered bonds backed by German mortgages, and one German RMBS transaction. DBRS Morningstar does not expect any rating impact on these outstanding securitisations as a result of its withdrawal of the German and Belgian Addendum to the “Master European Residential Mortgage-Backed Securities Rating Methodology”. DBRS Morningstar now surveils these transactions using the “Common RMBS Rating Methodology”.

DBRS Morningstar currently rates one Greek covered bond transaction, the Piraeus Bank SA Global Covered Bonds Programme, and expects no rating impact on this rating.

No comments were received during the request for comment (RFC) period for the “Common RMBS Rating Methodology”.

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

DBRS Morningstar also published an updated version of its “Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda” with no changes to the French addendum. DBRS Morningstar also withdrew the guidance for RMBS resecuritisations in Europe from this methodology as these types of transactions are unlikely to occur under EU Securitisation Regulation.

DBRS Morningstar has conducted a periodic review of the “Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda” methodology and the French Addendum. This update supersedes the previous version published on 8 July 2022 and is effective as of 13 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 (17 May 2022).

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.