The update addresses the impact of house price changes between 2023 and 2024 and updates our assessment of price volatility and macroeconomic risks. Distressed HPD assumptions are commensurate with residential market-value-decline assumptions applicable to AAA rated structured finance instruments.

SF distressed country HPD benchmark assumptions are based on a quantitative analysis of underlying house price indexes. Assumptions were calibrated taking into account maximum house-price declines across jurisdictions during periods of stress using 100 years of data across countries to determine a starting point for the HPD at 40% for all countries. Country-by-country time series are then applied to adjust up or down.

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