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UK sub-prime RMBS arrears more than double in 12 months

Arrears on mortgages in UK sub-prime residential mortgage-backed securities have more than doubled over the last 12 months.

According to Moody’s latest report into sub-prime RMBS, arrears have increased from 8 per cent in Q1 2008 to 18 per cent in Q1 2009.

It also found that one in five borrowers in these portfolios were more than 90 days delinquent in Q1 2009.

Moody’s senior associate Georgij Ludmirskij says: “Eleven transactions posted 90+ days delinquencies higher than 30 per cent. All vintages and transaction series deteriorated, and delinquencies increased in all transactions during the quarter.”

Among the transactions with the greatest arrears are Lehman Brothers’ Eurosail securities, and Rooftop’s Mansard, ranging between 28 per cent and 32 per cent in arrears.

Moody’s also found that Platform’s Alba, Leek and Great Hall Mortgages remained the series with the lowest levels of delinquencies, ranging from 11 per cent to 16 per cent.

The rating agency has downgraded seven securities in Q1 2009, and since December 2007, Moody’s has reviewed and adjusted the loss expectations in 55 UK sub-prime transactions. Currently it says the reserve funds in 37 of the 89 outstanding securities are below their target level.

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