Regulatory publications

Consultation on the new Issue Rating Methodology for Mortgage Pfandbriefe, version 2.0.00

GBB-Rating published the new December 2020 version 2.0.00 of its Issue Rating Methodology for Mortgage Pfandbriefe on December 22, 2020 and, in compliance with Regulation (EC) No. 1060/2009 of the European Parliament and of the Council of September 16, 2009 in conjunction with amending Regulation (EC) No. 462/2013 of May 21, 2013, is making same available for consultation for a period of one month up to and including January 19, 2021.

REGULATION (EC) No 1060/2009 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
of 16 September 2009 on credit rating agencies
REGULATION (EC) No 462/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
of 21 May 2013 amending Regulation (EC) No 1060/2009 on credit rating agencies

Article 8: Methodologies, models and key rating assumptions
5a. A credit rating agency that intends to make a material change to, or use, new rating methodologies, models or key rating assumptions which could have an impact on a credit rating shall publish the proposed material changes or proposed new rating methodologies on its website inviting stakeholders to submit comments for a period of one month together with a detailed explanation of the reasons for and the implications of the proposed material changes or proposed new rating methodologies.
6. Where rating methodologies, models or key rating assumptions used in credit rating activities are changed in accordance with Article 14(3), a credit rating agency shall:
(a) immediately, using the same means of communication as used for the distribution of the affected credit ratings, disclose the likely scope of credit ratings to be affected;
(aa) immediately inform ESMA and publish on its website the results of the consultation and the new rating methodologies together with a detailed explanation thereof and their date of application;
(ab) immediately publish on its website the responses to the consultation referred to in paragraph 5a except in cases where confidentiality is requested by the respondent to the consultation;
(b) review the affected credit ratings as soon as possible and no later than six months after the change, in the meantime placing those ratings under observation; and
(c) re-rate all credit ratings that have been based on those methodologies, models or key Rating assumptions if, following the review, the overall combined effect of the changes affects those credit ratings



Consultation

The new rating methodology affects all ratings of Mortgage Pfandbriefe performed by GBB-Rating. Within six months of completing the consultation, all the affected ratings are to be reviewed by GBB-Rating. Until they have been reviewed, all relevant ratings are to be placed on watch.

Issue Rating Methodology for Mortgage Pfandbriefe, 2.0.00, December 2020


Please send us your comments, indicating whether they are to be treated in confidence or can be published on this website, to the following e-mail address:  consultation@GBB-Rating.eu

Pursuant to Article 8 of Regulation (EC) No. 1060/2009 in conjunction with Regulation (EC) No. 462/2013, all comments received in the context of the consultation are to be published on this website without undue delay unless a request for confidential treatment has been made.

We regret that comments received after January 19, 2021 or not sent to the e-mail address stated above cannot be given consideration in the context of the consultation.

After the consultation period, from a likely starting date of January 29, 2021, GBB-Rating will perform all ratings of Mortgage Pfandbriefe according to the new Issue Rating Methodology for Mortgage Pfandbriefe, paying due regard to the comments received.

Explanatory notes

Reasons for the changes and amendments made in the new rating methodology:

  • Addition of the overcollateralization requirements of different risk type

The results of the NPV stress test, giving consideration to the original anchor rating, allow conclusions to be drawn about the amount of over-collateralization required in order to achieve the desired uplift or desired target rating. For this purpose, a factor is determined for each stress scenario and for each severity level by which the cover pool must be modified to ensure that the corresponding severity levels are deemed to have been satisfied. This factor is then used to calculate the required over-collateralization. Each stress scenario can be assigned to either credit risk, market price risk or operational risk. Taking into account a minimum of 2%, the highest coverage requirement per stress scenario and severity level determines the required coverage for the respective superordinate risk type. The addition of the three individual overcollateralization requirements results in the overcollateralization required to achieve the desired uplift or target rating.

  • Risk-averse choice of the lowest achieved uplift in the quantitative analysis

On the basis of the results it is possible to state, for each scenario, the greatest severity at which the scenario is still deemed to have been passed. If, for one scenario for example, severities S0 through S5 are deemed to have been satisfied and severities S6 through S9 are deemed to have been not satisfied, severity S5 would be identified as the applicable score. In order to facilitate an aggregation of the individual results, the highest severities satisfied are translated into numerical values, such as 0 through 9. An estimation is finally made by choosing the minimum of the achieved numerical values.

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Contact

GBB-Rating Gesellschaft für
Bonitätsbeurteilung mbH

Kattenbug 1
50667 Cologne

Fon +49 221 912897-211
Fax +49 221 912897-270

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