Yesterday, Kroll Bond Rating Agency (KBRA) releases its European RMBS Rating Methodology Country Addendum for rating securities backed by residential mortgage loans in the Republic of Ireland (Ireland). The addendum addresses analytical considerations specific to prime, buy-to-let, and non-conforming mortgages in Ireland.
This addendum addresses country-specific assumptions regarding the loans KBRA Probability of Default (KPD), including (i) base PD, (ii) a description of a benchmark loan, (iii) loan-level attributes (LLA) that impact the KPD, and (iv) rating multipliers. It also addresses country-specific assumptions regarding the loans KBRA Loss Severity, including (i) house price decline assumptions, (ii) fire sale discount assumptions, (iii) atypical property haircuts, (iv) liquidation value discounts, and (v) liquidation costs and timelines. Cashflow modelling assumptions specifically relevant to Ireland are also disclosed in the addendum.
The publication of this addendum follows KBRAs release of its European RMBS Rating Methodology and associated UK addendum in May 2018.
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- European RMBS Rating Methodology Country Addendum: Republic of Ireland
- European RMBS Rating Methodology
About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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Jack Kahan, Managing Director
Ed DeVito, Senior Director
Gopal Narsimhamurthy, Associate Director
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