Link to Fitch Ratings' Report: EMEA Criteria Addendum - South AfricaFeb 21 - Fitch Ratings has updated its mortgage loss criteria addendum for
South Africa. This update is not expected to impact any outstanding ratings.
Fitch did not modify any criteria assumptions regarding probability of default
(PD) or recoveries. The only change is that, for the purpose of determining
recoveries upon default, the ABSA house price index updated to Q412 will now be
The absence of any change reflects the stability of mortgage performance in
2012, which Fitch expects to continue in 2013 and 2014. Housing affordability
has remained largely unchanged with household disposable income increasing
marginally more than ABSA's house price index. In the agency's opinion however
the liquidity of the housing market remains constrained and will continue to be
so for some time to come, as reflected by its property sales timing assumption.
This criteria review draws on up-to-date, aggregate vintage arrears data
provided by major lenders in South Africa, as well as publicly available data on
macroeconomics, house prices, mortgage lending and mortgage repayments. This
complements the information used by the agency for its 2012 criteria update,
which comprises in particular loan-level performance data on around 1.2 million
loans and around 10,000 usable observations of property distress sales.
The updated criteria report is available by clicking on the above link or at
Additional information is available at www.fitchratings.com.
Applicable Criteria and Related Research:
EMEA RMBS Master Rating Criteria
EMEA Residential Mortgage Loss Criteria