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 Spain. The considerations in this addendum reflect the unique mortgage characteristics of most residential loans in Spain.
This publication is meant to be used in conjunction with KBRA’s European RMBS Rating 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 Spain.
Both market-level and loan-level data have been used to determine the assumptions set forth in this addendum. The assumptions are based on both quantitative and qualitative analyses. As described herein, market-level and issuer historical portfolio-level performance data were generally…