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May 28 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has updated its three core EMEA RMBS rating criteria: the EMEA RMBS Master Rating Criteria, EMEA Residential Mortgage Loss Criteria and EMEA RMBS Cash Flow Analysis Criteria. The updated criteria do not contain any changes to the rating framework and will therefore not have a rating impact on existing transactions.
The Master Rating Criteria report summarises Fitch’s methodology for assessing credit risk in RMBS transactions in EMEA, including asset performance, operational risk, cash flow analysis, legal analysis, and counterparty risk. The criteria apply to both new and existing transactions. The report has been amended to outline how Fitch monitors the validity of its criteria assumptions on a quarterly basis.
The agency has also updated its EMEA Residential Mortgage Loss Criteria and its EMEA RMBS Cash Flow Analysis criteria to include further details on the underlying rating approach.
In the Mortgage Loss Criteria report, Fitch has added a section explaining how it analyses representations and warranties provided by entities rated below investment grade. In addition, the loss criteria have been amended to outline the main factors taken into account when deriving foreclosure frequency assumptions of employee loans. Finally, the loss criteria now clarify that for debt-to-income ratio (DTI) calculation of floating-rate loans, where deemed more appropriate, the agency may use a long-term equilibrium rate that corresponds to a country-specific mortgage rate rather than the currency’s standard reference interbank offer rates.
Fitch is in the process of updating the separate country-specific criteria addenda containing residential mortgage loss and cash flow related assumptions for Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, South Africa and the UK.
”EMEA RMBS Master Rating Criteria“, ”EMEA Residential Mortgage Loss Criteria“, and EMEA RMBS Cash Flow Analysis Criteria” are available at www.fitchratings.com.
Link to Fitch Ratings’ Report: EMEA RMBS Master Rating Criteria