Abstract: In Q2 2008, Standard&Poor's Ratings Services' total delinquency index for U.K. nonconforming residential mortgage-backed securities (RMBS) increased to a record level of 23.31%, from 22.17% in Q1; 90+ day delinquencies now stand at 12.12%. The prepayment index dropped to 23.98% from 24.75% in Q1 2008, and this trend is likely to persist, given a sharp contraction in refinancing options for borrowers and stricter lending criteria. The 2005 vintage of transactions continues to show the highest cumulative losses to date, but the 2007 vintage is trending above all others in relative terms, meaning that higher losses are appearing earlier in the life of some transactions. Rising numbers of foreclosures and declining house prices are likely to cause an acceleration

Brief Excerpt: RESEARCH Ratings Definitions U.K. Nonconforming RMBS Index Report Q2 2008aÇöMortgage Market Pressures Push Delinquencies To Record Levels Publication date: 26-Aug-2008 Surveillance Credit Analysts: Kate Livesey, London (44) 20-7176-3545;...

Report Type: Commentary
Sector: Asset-Backed Commercial Paper, Asset-Backed Securities, Collateralized Debt Obligations, Commercial MBS, Real Estate Companies, Residential MBS, Servicer Evaluations, Structured Finance
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S&P Credit Research provides analysis on issuers and debt obligations of corporations, states and municipalities, financial institutions, insurance companies and sovereign governments. S&P also offers insight into the credit risk of structured finance deals, providing an independent view of credit risk associated with a growing array of debt-securitized instruments.