European RMBS Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect

For European residential mortgage-backed securities (RMBS), mortgage payment holidays can lead to reduced cash flows in the short term, while the longer-term credit effects may include higher level of delinquencies, defaults, and losses. Consequently, we are reviewing all European RMBS transactions to assess if there is sufficient liquidity to deal with short-term payment interruptions and the longer-term impact of the coronavirus crisis on credit performance. This commentary outlines the consideration for all DBRS Morningstar-rated European RMBS transactions.