Ital­ian RMBS 60+ and 90+ day delin­quen­cies slightly up in Novem­ber

Financial Mirror (Cyprus) - - FRONT PAGE -

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.

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