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Newsalert - DBRS publishes for comments  “Rating and Monitoring Covered Bonds Global Methodology” and “Rating European Non-Performing Loans Securitisations” documents
Newsalert - DBRS publishes for comments  “Rating and Monitoring Covered Bonds Global Methodology” and “Rating European Non-Performing Loans Securitisations” documents

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Newsalert - DBRS publishes for comments “Rating and Monitoring Covered Bonds Global Methodology” and “Rating European Non-Performing Loans Securitisations” documents

On May 2, DBRS published for comments the following documents: “Rating and Monitoring Covered Bonds Global Methodology” and “Rating European Non-Performing Loans Securitisations”.

The first document presents a draft methodology of its approach for rating covered bonds (CBs) globally. The purpose of this methodology is to describe the DBRS criteria for rating all types of CBs, whether issued under or outside country-specific CB legislation. The notion that CBs are essentially senior-secured bank debt lies at the heart of DBRS’s credit risk assessment and, therefore, the DBRS methodology follows a linked approach. This methodology covers CBs with CPs which may include residential mortgages, commercial loans backed by mortgages, and CPs with public sector exposures (PSEs) and is based on the following four blocks: (i) Covered Bond Attachment Point (CBAP); (ii) Legal and Structuring Framework (LSF) and LSF-Implied Likelihood (LSF-L); (iii) CP Credit Assessment; (iv) High Recovery Prospects provided by the CP.

The second document presents the criteria for which European non-performing loan (NPL) securitisation ratings are assigned and/or monitored. The proposed new addition to the Methodology consists in the introduction of market value decline (MVD) rates for residential properties securing secured loans in Cyprus. The Methodology typically refers to MVDs published in the relevant DBRS RMBS rating methodologies. For European jurisdictions not covered by DBRS RMBS methodologies, DBRS uses MVDs outlined in the Methodology. With the exception of Cypriot NPL transactions, this methodology will be applied as it is currently in the Request for Comment period. 

For both documents, comments should be received by 3 June 2019.