Italian RMBS 60+ and 90+ day delinquencies slightly up in November
The 60+ day delinquency index over the current pool balance of the Italian residential mortgage-backed securities (RMBS) market marginally increased to 2.3% in November 2015 from 2.1% in May 2015, and the 90+ day delinquency rate rose to 1.8% in November 2015 from 1.6% in May 2015, according to the latest indices published by Moody’s Investors Service.
The index of cumulative
defaults increased slightly to 4.5% in November 2015 from 4.3% in May 2015.
The prepayment rate index increased to 5.1% in November 2015 from 3.5% in May 2015, reaching a its highest level since mid2012 (when the reading was 5.4%).
As of November 2015, Moody’s rated 106 transactions in the Italian RMBS market, with a total outstanding pool balance of EUR 59.2 billion, a 5.4% decrease from EUR 62.6 billion in August 2015.
As of November 2015, the reserve funds of 31 transactions, ten of which are fully drawn, were below their target levels.
Overall, Italian RMBS exhibited stable to mildly deteriorating performance over the past year on average, with a few outliers still showing increasing delinquencies and defaults. Arrears and defaults rose in 23 Italian RMBS in the past 12 months, leading us to increase our expected loss (EL).
As commented in a report on 8 December 2015, mildly positive macroeconomic conditions, low interest rates and low indebtedness in Italy’s private sector will support the stabilisation of credit trends for the sector into 2016.
Moody’s outlook for Italy is stable, with the expectation that the Italian GDP will increase marginally by 1.2% in 2016.