London, 28 November 2012 -- The performance of the French prime residential mortgage-backed securities (RMBS) market has been stable during the six-month period to September 2012, according to the latest indices published by Moody's Investors Service.
From March to September 2012, the 90+ day delinquency trend stabilised around 0.5% of the outstanding portfolio balance. The level of CIF ASSETS 2001-1 delinquencies has decreased by half since March 2012 due to the fact that loans that benefit from payment holidays are now reported as having deferred instalments as opposed to being in arrears. Cumulative defaults recorded 0.8% in September 2012 but were stable overall during the preceding six-month period. Cumulative net defaults averaged 0.4% of the original portfolio balance. Moody's annualised total redemption rate (TRR) trend was 9.8% in September 2012, down from 12.70% in September 2011.
Since October 2011, Moody's has not rated any new transaction in the French prime RMBS market.
As of September 2012, the seven Moody's-rated French prime RMBS transactions had an outstanding pool balance of EUR29.2 billion. This constitutes a year-on-year increase of 9.0% compared with EUR26.8 billion for the same period in the previous year. This increase is mainly due to the tap issuances of CIF Assets in January and April 2012.
Moody's semi-annual indices are usually published mid-month and can be found on www.moodys.com in the Structured Finance sub-directory under the Research & Ratings tab. In the left-hand side bar, under the Research Type category heading, select Statistical Data. Finally, on the Research tab in the middle of your screen, select the third option, Indices & Data.
In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.
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Abdelkarim Badis Associate Analyst Structured Finance Group Moody'sInvestors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Marco Szego VP - Senior Credit Officer Structured Finance Group Telephone:+39-02-9148-1100 Releasing Office: Moody's Investors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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