Scope Ratings GmbH (Scope) has complemented its RMBS Rating Methodology with the addition of the Country Addendum of Netherlands on 6 February 2025.

The methodology and its related material can be downloaded here or on scoperatings.com.

The RMBS Rating Methodology describes Scope’s approach to rating European residential mortgage-backed securities (RMBS) whose collateral consists of granular portfolios of standard mortgage loans to purchase, refinance or refurbish a residential property. This methodology may be selectively applied to RMBS outside of Europe when the mortgage loan market and institutional framework are similar. This methodology complements Scope’s General Structured Finance Rating Methodology and should be read with the Counterparty Risk Methodology.

This methodology presents the analytical framework and key concepts to be applied when rating RMBS, where for each country, the methodology will be complemented by a Country Addendum that provides additional analytical insights. In the absence of a country addendum detailing the assumptions for such country, Scope’s Rating Action Release will describe those.

Highlights of complement

Country Addendum of Netherlands. The Country Addendum of Netherlands complements the existing RMBS methodology by providing tailored assumptions specific to the Dutch mortgage market. It ensures consistency and robustness in rating Dutch RMBS by capturing unique jurisdictional characteristics, such as regulatory frameworks, typical loan structures, and historical performance trends. Key additions include benchmarks for default rates, recovery rates, prepayment assumptions, and regional concentration limits, all calibrated to reflect the specifics of the Dutch mortgage market. These assumptions enhance transparency and standardization, facilitating a more precise and reliable evaluation of RMBS transactions within the Netherlands.

In addition to the RMBS Rating Methodology itself and before the publication of the Country Addendum of Netherlands, Scope has published the Country Addendums on four countries (Italy, Spain, United Kingdom and France).

Scope invites issuers, investors and other interested parties to comment on the methodology by 7 March 2025 as part of the agency’s commitment to transparency and an open dialogue with market participants.

Please send your comments to consultation@scoperatings.com.

Scope will review and publish the content of written responses in accordance with regulatory requirements, unless the respondent has explicitly requested confidentiality, and will publish the final version of the Country Addendum thereafter.