UK non-conforming RMBS 90+ day delinquencies improved by February
The 90+ day delinquencies of the UK nonconforming (NC) residential mortgage-backed securities (RMBS) market improved to 13.31% in February from 13.74% in November 2015, according to the latest indices published by Moody’s Investors Service.
The rate of cumulative losses increased slightly to 2.73% in February from 2.71% in November 2015. The transactions in groupings “Money Partners Securities” and “Other transactions closed pre 2012” are the worst performers among the indices during this quarter, with respective cumulative losses rates of 6.45% and 4.03% in February, up from 6.43% and 4.00% in November 2015. The weighted-average loss severity decreased to 20.17% in February from 21.93% in November 2015.
Moody’s annualised total redemption rate trend decreased to 9.20% in February from 9.52% in the previous quarter.
As of February, Moody’s rated 83 transactions in the UK NC RMBS market, with an outstanding pool balance of EUR18.25 billion, a 1.70% decrease from EUR18.56 million in November 2015.
In 2016, Moody’s said note performance trends in the UK NC RMBS sector will remain positive. Favourable economic conditions — low interest rates, higher GDP growth and low unemployment — and the strong UK housing market will keep supporting NC RMBS performance.