Moody’s has downgraded the ratings of nine tranches of non-conforming residential mortgage-backed securities issued by Kensington Mortgages due to their loss levels and “relatively high delinquency” rates.
As of March this year, KMS 2007-1 losses as a percentage of the original portfolio balance amount to 3.8 per cent, up from 0.8 per cent in September 2008.
Loans that are in arrears by more than 90 days, including outstanding repossessions, as a percentage of the current portfolio amount to 29 per cent, up from 13.1 per cent in September 2008. Around 11.4 per cent of the KMS 2007-1 portfolio is made up of loans in arrears of 360 days or more.
The ratings agency has also downgraded three tranches of non-conforming RMBS issued by Money Partners, the Goldman Sachs-owned lender which stopped new lending in February 2009.
As of February this year, MPS 2 cumulative losses as a percentage of the original portfolio balance amount to 4.1 per cent, up from 1.5 per cent as of May 2008.
Loans delinquent by more than 90 days amount to 34.3 per cent, up from 17.9 per cent in May 2008.
Approximately 12.7 per cent of the MPS 2 current portfolio balance is represented by loans in arrears by more than 360 days.