Dutch RMBS Index Report Q3 2009—Prepayments Continue To Trend Downward While Delinquencies Remain Low Dec 09
Standard & Poors, December 2009
Abstract
In Q3 2009, Standard & Poor's Ratings Services' total delinquency index for Dutch residential mortgage-backed securities (RMBS) deals decreased to 1.20% from 1.22%, low compared with other jurisdictions for which we have an index. So far, excess spread has been adequate where necessary for clearing losses, and we have no specific rating concerns in terms of loss levels at this point in time. The weighted-average prepayment index decreased to 4.57% in Q3 from 4.73% in Q2, and is 4.22 percentage points lower than in Q3 2008. We believe this is partly due to higher mortgage loan rates in The Netherlands, compared with the European Central Bank (ECB) policy rates. In October, the Dutch central bank declared emergency regulation applicable to...
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