Arrears levels in European residential mortgage-backed securities (RMBS) transactions showed some signs of stabilisation in the third quarter of 2009, according to a report by Fitch Ratings.
However, the agency said it is too early to know whether this is the beginning of a sustained improvement.
Andy Brewer, Senior Director in Fitch's RMBS Performance Analytics team, said: "Increases in arrears levels may have slowed in the last quarter, but they remain at historical highs for nearly all jurisdictions. Ratings of RMBS transactions, particularly at lower rating categories, remain exposed to any further deterioration in the economic environment."
There were 137 tranches downgraded in the third quarter, an increase from 91 in the previous quarter. The downgrades were nearly all from
Five tranches were upgraded, all from well seasoned transactions that have seen significant credit enhancement growth since issuance.
The majority of the agency's European RMBS ratings remain on a Stable Outlook (2,221 tranches) and the number of tranches assigned a Negative Outlook or currently on Rating Watch Negative has remained relatively constant at 501 tranches, one less than at the end of the previous quarter.
The report, entitled "Around the Houses - Quarterly European RMBS Performance Update Q3 2009", is available on the agency's website, www.fitchratings.com. It covers each major jurisdiction and focuses on some of the main drivers of changes in arrears and principal payment rates, as well as providing an overview of recent rating actions, current ratings and the outstanding issuance of each country.
Date: 10th, November, 2009
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