Spanish SME ABS worsens

The performance of Spanish asset-backed securities backed by loans to small- and medium-sized enterprises (SME ABS) continued to worsen in December 2012, according to the latest indices published by Moody’s Investors Service.

In December 2012, 90360 day delinquencies peaked at 5.9% from 3% in December 2012. The worst performers are the 2011 and the 2008 vintages with 90- 360 day delinquencies at 7.3% and 6.8%, respectively. While transactions issued by Santander performed worse than many others with 90- 360 day delinquencies at 10.30%, they have the highest outstanding pool balance across all originators at 10.65 billion. Moreover, they had the strongest effect on the index. Excluding Santander deals from Moody’s index, the 90360 day delinquencies ratio would be 4.32 %.

Cumulative defaults increased to 2.7% in December 2012 from 2.1% in December 2011. The constant prepayment rate (CPR) was the only ratio to show a positive trend, increasing to 8.6% in December 2012 from 6.2% in December 2011. This can be attributed to the early repayment of a number of transactions.

The Spanish economy remains in recession and the rating agency expects GDP to contract 1.4% in 2013 ( see Credit Opinion: Government of Spain, Jan 2013). Moody’s expects that the unemployment rate will continue to rise to 26.3% in 2013, up from 25% in 2012.