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 United Kingdom (UK). The considerations in this addendum reflect the unique mortgage characteristics of most UK prime, non-conforming and Buy-to-Let (BTL) loans.
This publication is meant to be used in conjunction with KBRA’s 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 UK.
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 …