ResiGlobal
ResiGlobal is a publicly available analytical model used by Fitch for the analysis of residential mortgage portfolios.
About the Model
ResiGlobal is a publicly available analytical model used by Fitch for the analysis of residential mortgage portfolios. The model is applicable as follows:
- Australia, New Zealand, Japan and bespoke Chinese transactions, as described in the APAC Residential Mortgage Rating Criteria.
- Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain and Switzerland as described in European RMBS Rating Criteria.
- United Kingdom as described in the UK RMBS Rating Criteria.
- Cyprus, Denmark, Norway, Poland, South Korea and Sweden as described in the criteria report Originator-Specific Residential Mortgage Analysis Rating Criteria.
- Bluestep (Swedish Non-Conforming RMBS) as described in Bluestep (Swedish Non-Conforming RMBS) Bespoke Rating Criteria.
- Brazil, Chile, Colombia, Mexico, Banco La Hipotecaria in Panama, La Hipotecaria S.A. de C.V. in El Salvador and Banco Pichincha in Ecuador, as described in the Latin America RMBS Rating Criteria.
The model is used as the first stage in the quantitative analysis of an RMBS transaction or residential mortgage covered bond portfolio. The model is used in the determination of foreclosure frequency and recovery rate assumptions for a given mortgage portfolio. The outputs from the model are used as for cash flow modelling purposes.
The model was previously named ResiEMEA. Historic references to ResiEMEA are interchangeable with ResiGlobal.
01ResiGlobal - A walk-through visual aid to using Fitch’s RMBS asset model
A walk-through visual aid to using Fitch’s RMBS asset model
This video offers a quick walk-through of ResiGlobal, an analytical model that provides the quantitative analysis of a residential mortgage portfolio for an RMBS transaction or covered bond.
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Release Notes
3.111.0 – Release Date 21 June 2023
The model has been updated to reflect the European RMBS Rating Criteria published on 21 June 2023.
3.110.0 – Release Date 24 April 2023
A separate model (ResiGlobal Europe_ext_Exposure Draft) has been included. This incorporates the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: Irish RMBS Foreclosure Frequency and Recovery Rate Assumptions Rating Criteria, published on the same day.
Additionally, the model has been updated as per the ‘HPD Update Process’ described in the Latin America RMBS Rating Criteria. The update includes house price indexations, and as a consequence, House Price Decline assumptions for Brazil, Chile, Colombia, Ecuador, El Salvador, Mexico and Panama. In addition, the minimum wages for Chile, Colombia, Ecuador and Mexico have also been updated.
3.109.0 – Release Date 31 March 2023
The model has been updated to reflect the APAC Residential Mortgage Rating Criteria published on 31 March 2023.
3.108.0 – Release Date 17 February 2023
The multipliers and house price decline assumptions for Greece have been updated following the sovereign upgrade. Additionally, the house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for Belgium, Netherlands, Greece and Germany, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria. The Base FF assumptions, as well as, house price indexation values, illiquid property thresholds, sustainable price discount and house price decline assumptions have also been updated for the UK as per the ‘SPD and HPD Update process’ described in the UK RMBS Rating Criteria.
3.107.0 – Release Date 30 January 2023
The HPI and HPD assumptions for China have been updated, as per the “HPD Update Process” described in the China Residential Mortgage Rating Criteria.
Additionally, the house price indexation values, illiquid property thresholds and house price decline assumptions have also been updated for Australia and New Zealand, as per the “HPD Update Process” described in the APAC Residential Mortgage Rating Criteria.
3.106.0 – Release Date 27 January 2023
A new model has been added to reflect the Latin American RMBS Rating Criteria (no changes to criteria).
3.105.0 – Release Date 16 December 2022
The model has been updated to reflect the European RMBS Rating Criteria, published on 16 December 2022.
This includes updated house price indexation values, illiquid property thresholds and house price decline assumptions for Ireland and Switzerland, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.104.0 – Release Date 11 November 2022
The multipliers and house price decline assumptions for Portugal have been updated following the sovereign upgrade.
Additionally, a separate model (3.104.0b – Exposure Draft) has been included. This incorporates the proposed changes described in the Exposure Draft: Iberian Recovery Rate Assumptions Rating Criteria, published on the same day.
3.103.0 – Release Date 27 September 2022
The HPI and HPD assumptions for China have been updated, as per the “HPD Update Process” described in the China Residential Mortgage Rating Criteria.
3.102.0 – Release Date 9 September 2022
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for Germany, Greece, Italy and Spain, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.100.0a – Release Date 1 June 2022
The model has been updated to reflect the APAC Residential Mortgage Rating Criteria and China Residential Mortgage Rating Criteria, both published on 1 June 2022.
3.100.0 – Release Date 23 May 2022
The model has been updated to reflect the UK RMBS Rating Criteria and the European RMBS Rating Criteria, both published on 23 May 2022.
This includes updated house price indexation values, illiquid property thresholds and house price decline assumptions for France and the Netherlands, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.99.0a – Release Date 27 April 2022
A separate model has been included. This incorporates the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: APAC Residential Mortgage Rating Criteria, published on the same day.
3.99.0 – Release Date 7th April 2022
The model has been updated to incorporate the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: China Residential Mortgage Rating Criteria, published on 7 April 2022 and Exposure Draft: Netherlands Buy-To-Let RMBS Rating Criteria, published on 7 April 2022.
Additionally, after El Salvador's downgrade on 9 February 2022, a recalibration of assumptions was performed. The FF multipliers with & without Concentration, FF for Loans in Arrears, Home Price Decline, CPR, and Recovery Timing assumptions have been updated.
The model has also been updated to incorporate new 4Q21 house price indexation, and as a consequence, Home Price Decline assumptions for Brazil, Chile, Colombia, Ecuador, El Salvador, Mexico, and Panama have been updated. In addition, the 2022 Minimum wages for Chile, Colombia, Ecuador, and Mexico have also been updated.
3.98.0a – Release Date 5th April 2022
The model has been updated to incorporate the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: UK RMBS Rating Criteria, published on 05 April, 2022.
3.98.0 – Release Date 18 February 2022
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for Belgium, Ireland and Portugal, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.97.0 – Release Date 17 December 2021
The model has been updated to reflect the Latin America RMBS Rating Criteria, published on 17 December 2021.
The multipliers and house price decline assumptions for Italy have also been updated following the sovereign upgrade. Additionally, the house price indexation values, illiquid property thresholds and house price decline assumptions have also been updated for Switzerland as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria, as well as for Australia and New Zealand, as per the “HPD Update Process” described in the APAC Residential Mortgage Rating Criteria.
3.96.0 – Release Date 22 October 2021
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for the Netherlands, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
Validation rules have also been updated.
3.95.0 – Release Date 23 September 2021
The model has been updated to reflect the UK RMBS Rating Criteria, published on 23 September 2021.
It also includes updated HPI values, illiquid property thresholds and house price decline assumptions for Australia and New Zealand, as per the “HPD Update Process” described in the APAC Residential Mortgage Rating Criteria.
3.94.0a – Release Date 12 August 2021
A separate model has been included. This incorporates the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: UK RMBS Rating Criteria, published on 12 August 2021.
3.94.0 – Release Date 6 Aug 2021
The quarterly indexation and House Price Decline assumptions for Brazil, Chile, Colombia and Mexico have been updated. Also, after Colombia's downgrade on July 1st, 2021, a recalibration of assumptions was performed.
3.92.0 – Release Date 19 July 2021
The model has been updated to reflect the European RMBS Rating Criteria, published on 19 July 2021.
3.91.0 – Release Date 4 June 2021
A separate model has been included. This incorporates the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: European RMBS Rating Criteria, published on 4 June 2021.
3.90.0 – Release Date 23 April 2021
The model has been updated to incorporate the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: APAC Residential Mortgage Rating Criteria, published on 23 April, 2021.
3.89.0 – Release Date 9 April 2021
The new 4Q20 quarterly indexation and Home Price Decline assumptions for Brazil, Chile, Colombia, Ecuador, El Salvador, Mexico, and Panama have been updated. In addition, the 2021 Minimum wages for Chile, Colombia, Ecuador, and Mexico have also been updated.
3.87.0 – Release Date 26 Feb 2021
After Panama's downgrade on February 3rd, 2021, a recalibration of assumptions was performed. The FF multipliers with & without Concentration, FF for Loans in Arrears, Home Price Decline, CPR, and Recovery Timing assumptions have been updated.
3.86.0 – Release Date 8 Jan 2021
Foreclosure frequency (FF) assumptions, including multiples, have been updated for Pesos loans in Colombia and for loans originated by Banco La Hipotecaria in Panama. The quarterly indexation and the House Price Decline assumptions have been updated for Brazil, Chile, Colombia, and Mexico.
3.84.0 – Release Date 12 Nov 2020 Banco Pichincha in Ecuador assumptions for LATAM have been newly introduced. The quarterly indexation and House Price Decline assumptions for Brazil, Chile, Colombia, and Mexico have been updated. Also, after Chile's downgrade on October 15th, 2020, a recalibration of assumptions was performed.
3.83.0 - Release Date 18 Sept 2020
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for Belgium, France, Ireland, Italy, the Netherlands, and Spain, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria. The illiquid property thresholds have also been updated for Greece.
The house price indexation values, illiquid property thresholds, sustainable price discount and house price decline assumptions have also been updated for the UK as per the ‘SPD and HPD Update process’ described in the UK RMBS Rating Criteria.
3.81.0 - Release Date 3 July 2020
The quarterly indexation and House Price Decline assumptions for LATAM have been updated.
3.80.0 - Release Date 22 May 2020
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal, Spain and Switzerland, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria. The multipliers for Italy have also been updated following the sovereign downgrade on 28 April 2020. Additionally, the house price indexation values, illiquid property thresholds, sustainable price discount and house price decline assumptions have been updated for the UK as per the ‘SPD and HPD Update process’ described in the UK RMBS Rating Criteria.
After Mexico's downgrade on April 15th, 2020, a recalibration of assumptions was performed. The FF multipliers with & without Concentration, FF for Loan Modification, FF for Loans in Arrears, Home Price Decline, CPR, and Recovery Timing assumptions have been updated.
3.79.0 - Release Date 17 April 2020 After Colombia's downgrade on April 1st, 2020, a recalibration of assumptions was performed. The FF multipliers with & without Concentration, FF for Loans in Arrears, Home Price Decline, CPR, and Recovery Timing assumptions have been updated.
3.78.0 - Release Date 27 March 2020 The quarterly indexation, House Price Decline and Minimum Wage assumptions for LATAM have been updated.
3.77.0 - Release Date 28 February 2020 The Multipliers and House Price Decline assumptions for Greece have been updated.
3.75.0 - Release Date 24 Jan 2020 The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for each of Belgium, France, Ireland, Italy, the Netherlands, Portugal, Spain and Switzerland, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria. The house price indexation values, illiquid property thresholds, sustainable price discount and house price decline assumptions have also been updated for the UK as per the ‘SPD and HPD Update process’ described in the UK RMBS Rating Criteria. Additional reporting outputs have been added.
3.74.0 - Release Date 21 Jan 2020 The model has been updated to incorporate the proposed methodology for the asset analysis of residential mortgage portfolios as described in the Exposure Draft: Latin America RMBS Rating Criteria, published on 17 January 2020.
3.73.0 - Release Date 25 Oct 2019 The model has been updated to reflect the European RMBS Rating Criteria, published on 25 October 2019.
3.72.0 - Release Date 4 Oct 2019 The model has been updated to reflect the UK RMBS Rating Criteria, published on 4 October 2019.
3.71.0 - Release Date 16 Aug 2019 The Base FF assumptions for Switzerland have been updated.
3.70.0 - Release Date 9 Aug 2019 The model has been updated to incorporate the proposed methodology for the asset analysis of residential mortgage portfolios for UK, as described in the Exposure Draft: UK RMBS Rating Criteria, published 9 August 2019.
3.68.0 - Release Date 12 July 2019
The model has been updated to reflect the European RMBS Rating Criteria, published on 5 July 2019, which reflects the inclusion of Germany as an additional country covered by the methodology outlined in the report.
3.67.0 - Release Date 27 June 2019
The BBB to AAA multipliers (without regional concentration) for Ireland have been updated.
3.66.0 - Release Date 31 May 2019
The model has been updated to incorporate the proposed methodology for the analysis of residential mortgage portfolios for Germany, as described in the Exposure Draft: European RMBS Rating Criteria published 31 May 2019. Additionally, for countries covered under the European RMBS Rating Criteria; a new transaction-specific assumption, Assumed DTI/DSCR Class, has been included; along with a minor enhancement to the capping of property level recovery proceeds. The house price indexation values, illiquid property thresholds and house price decline assumptions have also been updated for each of Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.65.0 - Release Date 25 February 2019
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for each of Belgium, Spain, France, Greece, Ireland, Italy, Netherlands, Portugal and Switzerland, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.63.0 - Release Date 21 December 2018
The model has been revised to reflect the updated European RMBS Rating Criteria, published on 21 December 2018, to include Switzerland. Additionally, a minor amendment has been made to the recovery rate vector calculation for cases where the outstanding balance of the portfolio in a given year is equivalent to zero (only for countries covered under the European RMBS Rating Criteria).
3.62.0 - Release Date 19 November 2018
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for each of France, Italy, Netherlands, Portugal and Spain, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.60.0 - Release Date 05 October 2018
The Base FF, Multipliers and House Price Decline assumptions for Greece have been updated.
3.59.0 - Release Date 21 August 2018
The ResiGlobal Guide has been updated.
3.58.0 - Release Date 17 August 2018
The house price indexation values, illiquid property thresholds and house price decline assumptions have been updated for each of Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.57.0 - Release Date 21 June 2018
Model version checking has been updated.
3.56.0. - Release Date: 18 May 2018
The UK model has been updated to reflect the Criteria Addendum: UK - Residential Mortgage Assumptions, published 4 May 2018.
3.55.0. - Release Date: 11 May 2018
The German model has been updated to reflect indexation data for 2017.
Updates to the house price indexation values, illiquid property thresholds and house price decline assumptions have also been included for Belgium, France, Greece, Ireland, the Netherlands, Portugal and Spain. The Base FF, Original Loan Term adjustment and Multipliers have also been updated for Greece. Additionally, the Europe model now incorporates a bespoke data and assumptions template.
3.54.0. - Release Date: 12 February 2018
The country-specific assumption sheet for Italy, the Q317 indexation values for Lombardia and Veneto have been updated.
Enhancements have also been made to the report; these include the addition of loan, property and borrower count where applicable and additional WARR – Front results
3.53.0. - Release Date: 2 February 2018
The model has been updated with the latest multipliers and house price decline assumptions for Spain to reflect the recent increase in the highest structured finance rating to ‘AAAsf’. Updates to the house price indexation values, illiquid property thresholds and house price decline assumptions have also been incorporated for Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain, as per the ‘HPD Update Process’ described in the European RMBS Rating Criteria.
3.52.0 - Release Date: 12 January 2018
The model has been updated to reflect the latest Multipliers and House Price Decline Assumptions for Portugal.
3.50.0.e - Release Date: 8 December 2017
The UK model has been updated to reflect the latest Criteria Addendum: UK - Residential Mortgage Assumptions, published 8 December 2017. The regional house price assumption has been updated up to Q3 2017. In addition, the regional gross disposable income per head estimates, Illiquid Property Thresholds, AVM assumptions for invalid postcode, population percentage, Libor rates and BoE Base rates have been updated.
Other changes include the addition of geographical region field in the Fitch UK RMBS template and change of layout of the Edit assumptions sheet and output report.
3.48.0.e - Release Date: 27 October 2017
The model has been updated to reflect the European RMBS Rating Criteria, published 27 October 2017.