DBRS Commentary on Spanish RMBS Loan-Level Housing Equity Analysis: In Spain, Vintage Matters

According to a DBRS commentary published today, most Spanish residential mortgage-backed securities (RMBS) remain well protected, depending on their vintage of origination, although a total of 31% of loans are in negative equity. The commentary, which analyses housing equity at a loan level within Spanish RMBS, examines housing market value declines and their impact on individual loans used as collateral for Spanish RMBS.

In the commentary, DBRS indexes housing market loan valuations in 164 RMBS transactions to current prices, and stresses them for declines of 40%, 50% and 60% from peak. We summarize the Spanish housing story as follows:

-- Weighted average loan-to-value (LTV) ratios across the sector are 57%, after benchmarking to current house prices.
-- Pre-2005 average indexed LTVs remain below 50%.
-- Weighted average indexed LTVs are 19% higher in 2007 vintage (75%) versus 2006 (56%).

Risks remain as house prices continue to fall:

-- Some 191,145 loans, totalling €31.79 billion, are in negative equity (31%).
-- A 60% decline in house prices would place 65% of mortgage loan balances in negative equity.
-- A total of 128 of 164 transactions currently contain at least one loan in negative equity.
-- A total of 37 transactions contain more than 40% of the outstanding loan balance in negative equity.

Notes:
All figures are in Euros unless otherwise noted.

The applicable methodology is Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, which can be found on our website under Methodologies.

A copy of this commentary is available by clicking on the link or contacting us at info@dbrs.com.