...This report outlines Fitch Ratings' assumptions for analysing securities backed by Spanish residential mortgage loans. This report is an addendum to Fitch's EMEA RMBS Master Rating Criteria, EMEA Residential Mortgage Loss Criteria, and EMEA RMBS Cash Flow Analysis Criteria. The assumptions are used for rating new and existing RMBS transactions as well as mortgage covered bond programmes. In addition the market value decline (MVD) assumptions are applicable to the ratings of SME CLOs secured by residential real estate. These assumptions are applicable to portfolios comprised of mortgages with market standard characteristics, as embedded in the data utilised to derive such assumptions and adjustments. Fitch may apply assumptions or adjustments beyond those specified in this report where a portfolio materially deviates from such market standard characteristics....
