KBRA Releases European RMBS Rating Methodology Country Addendum: The Netherlands
9 Jul 2025 | Dublin
KBRA Europe (KBRA) has released its European RMBS Rating Methodology Country Addendum for rating securities backed by residential mortgage loans in the Netherlands. The addendum addresses analytical considerations specific to prime, non-conforming and buy-to-let loans in the Netherlands.
The addendum addresses country-specific assumptions regarding the loans’ KBRA Probability of Default (KPD) including: (i) base PD, (ii) a description of a benchmark loan, (iii) loan level attributes that impact KPD, and (iv) rating multipliers. It also addresses country-specific assumptions regarding the loans’ KBRA Loss Severity (KLS) including: (i) house price decline assumptions, (ii) fire sale discount assumptions, (iii) liquidation value discounts (iv) NHG guarantee payments, (v) foreclosure cost assumptions, and (vi) liquidation timings. Cashflow modeling assumptions specifically relevant to the Netherlands are also disclosed in the addendum. No outstanding ratings will be impacted due to the publication of this addendum.
Click here to view the methodology.