DBRS Morningstar Requests Comments on Proposed Updates to European RMBS Insight: Spanish Addendum

DBRS Morningstar is requesting comments on its proposed updates to the “European RMBS Insight: Spanish Addendum”, which may supersede the version published on 10 July 2019. This methodology presents the criteria for which Spanish residential mortgage-backed securities (RMBS) ratings, and, where relevant, Spanish covered bonds ratings, are assigned.

DBRS Morningstar is proposing to update its house price indexation and market value decline rates to reflect data through the fourth quarter of 2019. Such periodic updates are also included in the “European RMBS Insight Methodology”. DBRS Morningstar also updated its market value declines for Spain at a national level and for each of its autonomous regions. Please see page 11 of the new proposed “European RMBS Insight: Spanish Addendum” for more details.

The distressed sale assumptions (DSD) remain unchanged, but DBRS Morningstar intends to apply lender-specific DSD assumptions where data for the specific lender is available.

Other proposed amendments include a change in the forecast horizon to 30 years from 20 years, and, in the European RMBS Insight Model, the added functionality to analyse second-charge loans and the added functionality for analysts to make analytical assumptions where income data is missing.

These updates are deemed to be material as the assumptions changed are considered key assumptions.

DBRS Morningstar currently rates 89 classes of notes across 47 Spanish RMBS transactions. The changes are not expected to have a material rating impact – no RMBS ratings are expected to change as a result of the update. No rating impact is expected on Spanish Covered Bonds or Structured Credit transactions. The rating of one Spanish nonperforming loan securitisation may be affected negatively.

Comments should be received on or before 17 August 2020. Please submit your comments to the following email address: [email protected]. DBRS Morningstar publishes on its website all comments received, except in cases where confidentiality is requested by the respondent.

Notes:
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