Frontline Perspectives: Morningstar DBRS' CMBS Insight Model Updates and Surveillance Credit Rating Actions

In April, Morningstar DBRS finalized its North American CMBS Multi-Borrower Rating Methodology and updates to the CMBS Insight Model, which presents criteria for which transactions secured by pools of commercial mortgage loans credit ratings are assigned and/or monitored. The updates to the Methodology and Model follow a review of historical data that is used to calibrate the Probability of Default and Loss Given Default regressions, and inclusion of updated performance data following the pandemic. The framework for the Model largely remains the same; however, Morningstar DBRS has also expanded some of the categories or bins within the variables and/or removed variables that were identified to be no longer impactful. Join Morningstar DBRS senior analysts as they highlight key changes to the model and methodology and review the Surveillance Credit Rating Actions taken as part of the update. A Q&A session will follow the presentation for the audience to participate in the conversation.