RMBS: European RMBS Rating Methodology Country Addendum: The Netherlands

Introduction

This addendum to KBRA‘s European RMBS Rating Methodology (the General Methodology) addresses the jurisdiction-specific risks related to evaluating Residential Mortgage Backed Securities (RMBS) transactions that are primarily collateralised by loans secured by assets located in the Netherlands.The considerations in this addendum reflect the characteristics of most residential loans in the Netherlands, including prime, non-conforming (as defined below) and Buy-to-Let (BTL) loans.

This publication is meant to be used in conjunction with the General Methodology. That methodology provides a general framework for rating European RMBS transactions and, as such, it does not address jurisdiction-specific assumptions, which are described in this addendum for the Netherlands.

Both market-level and loan-level data have been used to determine the assumptions put forth in this addendum. The assumptions are based on both quantitative and qualitative analyses. As described…