Dutch delinquencies continue to decrease

Delinquencies of the Dutch residential mortgage-backed securities (RMBS) market decreased and cumulative defaults increased modestly during the threemonth period ended June, according to the latest indices published by Moody’s Investors Service.

The 60+ day delinquencies of Dutch RMBS, including Dutch mortgage loans benefitting from a Nationale Hypotheek Garantie (national deposit guarantee), continued to decrease to 0.81% in June from 0.85% in March. The 90+ day delinquencies also continued to decrease to 0.62% in June from 0.66% in March.

Nevertheless, cumulative defaults increased to 0.76% of the original balance, plus additions (in the case of master issuers) and replenishments, in June from 0.65% in March. This compares to cumulative defaults of 0.43% in June 2014. Cumulative losses increased slightly to 0.15% in June from 0.13% in March.

Moody’s has assigned definitive credit ratings to two new transactions since the last publication of the Index on May 20, including one class of notes issued by Orange Lion 2015-11 RMBS B.V. and one class of notes issued by Orange Lion XII RMBS B.V.

Moody’s has also upgraded the ratings on five classes of notes and affirmed the ratings on five classes of notes issued by two Dutch RMBS transactions; Lowland Mortgage Backed Securities 1 B.V. and Green Lion I B.V.

The rating agency observed an increase in housing market activity that will boost the Dutch housing market’s recovery and raise recovery prospects in RMBS deals.

As of June, the 113 Moody’s-rated Dutch RMBS transactions had an outstanding pool balance of EUR 218.9 bln, representing a year-over-year decrease of 5.3%.