OREANDA-NEWS. December 15, 2015. Fitch Ratings has updated its criteria assumptions for Denmark for analysing new and existing securities backed by residential mortgage loans. The updated assumptions do not have any impact on the ratings of existing covered bond programmes.

The main change to the criteria relates to a differentiation between Hovedstaden Region and the rest of Denmark when calculating house price decline and market value decline assumptions. This is primarily to reflect the stronger house price increases in Copenhagen compared with the rest of the country over the last 12 months.

The thresholds for illiquid property adjustments have been updated based on data received from issuers and Fitch has revised its high prepayment assumption to 25% from 30%.