Loans underlying New Zealand residential mortgage-backed securities (RMBS) recorded a slight rise in arrears greater than 30 days over the March quarter.
Standard and Poors says that there are around $1.3 billion of residential mortgage loans funded through RMBS in New Zealand. This is a small but growing proportion of the New Zealand residential mortgage market.
It says this is small because most of the lending is done by backs, which have not yet used securitisation. S&P says that arrears increased over the quarter from 2.24% to 2.35%.
"This was up from 2.24% at the end of December 2006,” Standard & Poor's credit analyst Alastair Ingram says.
The analyst says the performance index (known as SPIN) “spiked at 2.86% and 2.98% in January and February respectively. However this was likely due to the seasonal jump that occurs every year over the Christmas/New Year holiday period."
Arrears on prime low documentation loans decreased to 3.96% in March. It was down from 4.22% as of December 31. However, arrears on prime full documentation loans rose over the March quarter to 1.94%. It was 1.72% at the end of December 2006.
"In the past, the New Zealand securitisation market has been dominated by asset-backed commercial paper (ABCP) programs," Ingram says. "This is because the market tends to be driven by a large number of small finance companies who seek flexibility to fund small and fluctuating volumes of assets.
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