Average prepayments in Italian residential mortgage-backed securities (RMBS) decreased slightly in Q3 to 10.6%. However, between transactions, the decreases in prepayments varied. On the back of the significant increase in prepayments recorded over the past year, in Q3 we revised our Italian RMBS criteria by increasing our high CPR assumption to 24% from 20%. Data on delinquencies and defaults show that Italian RMBS performance continues to feel the strain from higher-than–average interest rates. Despite the deterioration in underlying collateral performance, Standard & Poor's Ratings Services does not consider a significant and generalized downturn in the overall performance of the Italian RMBS market likely in the near future. During Q3, we took only one negative rating action on an Italian RMBS...
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