Abstract: The value of mortgage portfolios backing the transactions in Standard&Poor's Ratings Services' U.K. prime residential mortgage-backed securities (RMBS) index increased to £264 billion in Q2 2008, up £13 billion from Q1 2008. Delinquencies continued to rise in Q2 2008. 90+-day delinquencies have now hit 1.00% from 0.92% last quarter, and total delinquencies have increased to 2.94% from 2.33%. These are the highest values seen in this index, exceeding 2006 levels. Repossessions also increased across most transactions, and most noticeably in Northern Rock's Granite trust. The payment rate index has remained in the low 30% range throughout the last quarter and has been less volatile for individual transactions than in the previous two quarters. Issuance was high in Q2

Brief Excerpt: RESEARCH Ratings Definitions U.K. Prime RMBS Index Report Q2 2008aÇöDelinquencies And Repossessions Continue To Rise Publication date: 26-Aug-2008 Surveillance Credit Analysts: Sean Hannigan, London (44) 20-7176-3783; sean_hannigan@standardandpoors.com...

Report Type: Commentary
Sector: Structured Finance
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 S&P Credit Research
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.