Credit Rating Agency Methodologies

This page provides an overview of links to the credit rating methodologies with respect to structured finance. Please note that for some of the documents a (free or paid) subscription is required.

DBRS

• Rating European Consumer and Commercial Asset-Backed Securitisations (Dec 4, 2018)
• ​European RMBS Insight Methodology (Apr 12, 2018)
• European RMBS Insight: Dutch Addendum (Mar 5, 2018)
• DBRS Expected Loss Ratings 

  (Dec 10, 2018)

• Rating CLOs Backed by Loans to European SMEs (Jul 19, 2018)
• Legal Criteria for European Structured Finance Transactions 

  (Sep 11, 2018)

Fitch

• Netherlands - Full Rating report (30 November 2018)
• EMEA RMBS Rating Criteria (11 January 2019)
• Global Structured Finance Rating Criteria (15 May 2018)
• Structured Finance and Covered Bonds Counterparty Rating Criteria (1 August 2018)
• Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (1 August 2018)
• Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (2 February 2018)
• Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File (2 February 2018)
• European Pro-Rata ABS Risks Demand Extra Attention (23 November 2018)
• Structured Finance Faces LIBOR Coordination Risk (4 June 2018)
• Euribor Deadline Uncertainty for SF, Covered Bonds, Banks (12 September 2018)
• Consumer ABS Rating Criteria (29 January 2019)
• Asset-Backed Commercial Paper Rating Criteria (25 January 2019)

Moody's Investors Service

• Moody's Approach to Rating RMBS Using the MILAN Framework (September 2017)
• Moody's Approach to Assessing Counterparty Risks in Structured Finance (29 January 2019) 
• Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS (06 October 2016)
• Moody's Global Approach to Rating SME Balance Sheet Securitizations (31 August 2017)
• Moody's Approach to Rating Consumer Loan-Backed ABS (September 2015)
• Moody's Bank rating Methodology: Analytical Approach in Brief (March 2015)
• Moody's Bank Rating Methodology (August 2018)
• Moody’s Master List of All Rating Methodologies lasted updated 30 January 2019

Standard & Poor's

• Methodology For Assessing Mortgage Insurance And Similar Guarantees And Supports In Structured And Public Sector Finance and Covered Bonds (December 7, 2014)
• Dutch RMBS Index Report Q4 2018 (February 2019)
• 2016 Annual Global Structured Finance Default Study and Rating Transitions (May 9, 2017)
• 2016 Annual European Structured Finance Default Study and Rating Transitions (August 16, 2017)
• 2015 Annual Global Structured Finance Default Study And Rating Transitions (June 27, 2106)
• 2015 Annual European Structured Finance Default Study And Rating Transitions (August 15, 2016)
• Seven Years On, The Cumulative Default Rate For European Structured Finance Is Only 1.6% (August 26, 2014)
• 2015 EMEA RMBS Scenario And Sensitivity Analysis (August 6, 2015)
• Dutch RMBS Methodology And Assumptions (December 24, 2015)
• Dutch RMBS Criteria Update Has A Limited Negative Rating Impact (July 21, 2016)