RMBS performance stable in April

The performance of the Greek residential mortgage-backed securities (RMBS) market was stable during the three months ended April, according to the latest indices published by Moody’s Investors Service.

The 90+ day delinquencies of Greek RMBS transactions rose to 5.6% of the current balance in April 2014 from 4.3% in April 2013. The increase is due mainly to the deterioration of one single transaction, Estia Mortgage Finance II PLC, which has the highest proportion of overall delinquencies at 11.0% of delinquencies in the current balance, compared with 7.8% in April 2013. Delinquencies and cumulative defaults in the remaining deals, however, were fairly stable.

In line with the trend, the cumulative default rate of 1.9% for Greek RMBS has remained unchanged since January. However, compared with those of the previous year, cumulative defaults increased from 1.6%.

The range of cumulative defaults has increased to 0.6%-1.8% of the original balance from 0.5%-1.5%, but is still stable despite resulting from sponsor banks’ repurchasing of delinquent loans. The consequence of these repurchases is the artificial stabilisation of arrears and defaults levels. Estia Mortgage Finance II PLC once again showed a different trend with cumulative defaults at 6.6% in April, owing to lower levels of repurchases in the transaction.