RMBS: European RMBS Rating Methodology Country Addendum: Republic of Ireland

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, which are primarily collateralised by loans secured by assets located in the Republic of Ireland (Ireland). The considerations in this addendum reflect the unique mortgage loan characteristics of most prime, non-conforming and Buy-to-Let (BTL) collateral located in Ireland.

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 analysis. As described herein, market-level and issuer historical portfolio-level performance data were generally used for broad assumptions such as the Base Probability of Default (PD) and KBRA Loss Severity (KLS). Where sufficient loan-level data was available, statistical analysis, augmented with consideration of qualitative…