OREANDA-NEWS. Fitch Ratings has updated its criteria assumptions for analysing securities backed by UK residential mortgage loans. The update does not have any impact on existing ratings.

The assumptions are used for rating new and existing RMBS transactions as well as mortgage covered bond programmes. In addition the market value decline assumptions are applicable to the ratings of SME CLOs secured by residential real estate.

The criteria addendum replaces the report of the same name dated 16 December 2015.

The changes consist of updated sustainable house prices on the back of updated house price index to 1Q16, revised estimate for gross disposable income per head, revised Illiquid property thresholds, clarification on portfolio concentration adjustment to foreclosure frequency and clarification on adjustment for indexed valuations. In addition, with respect to Master Trust transactions, the use of static recovery rates and the stresses for seller downgrade have been specified.