GREECE: April RMBS performance deteriorated

The performance of the Greek residential mortgage-backed securities (RMBS) market deteriorated in April, according to the latest indices published by Moody's Investors Service.

The 90+ day delinquencies of Greek RMBS transactions rose to 6.9% of the current balance in April from 5.6% in April 2014.
The highest fluctuation of overall delinquencies is observed in KION Mortgage Finance Plc, with 90+ day delinquencies standing at 1.7% in April 2015 compared with 1.1% in April 2014. The index of cumulative defaults increased to 2.5% in April 2015 of the original pool balance from 2.0% in April 2014.
In particular, the cumulative defaults rate in Grifonas Finance No. 1 Plc doubled from 0.7% in April 2014 to 1.5% in April 2015.
The prepayment rate index decreased modestly to 1.3% in April 2015 compared to 1.4% in April 2014.
The outstanding pool balance of Greek RMBS transactions rated by Moody's decreased by 11.8% to EUR 2.15 bln in April from EUR 2.44 bln a year earlier.
On May 4, Moody's downgraded the ratings of 18 notes and affirmed the rating of one note in eight Greek structured finance transactions after the rating agency lowered its country ceiling for Greece to B3 from Ba3 and the downgrade of Greece's sovereign rating to Caa2 from Caa1 on April 29.