Spanish RMBS market peformance stabilized in November 2009, according to the latest indices published by Moody's Investors Service.

The rating agency's cumulative defaults trend decreased to 1.3% from 1.4% one month previously.

Meanwhile, Moody's 90 days plus delinquency trend, an indicator of the expected increase in defaults, decreased to 1.8% from its October level of 2.0%, a level that was maintained for three consecutive months.

Moody's annualized constant prepayment rate (CPR) trend remained stable in November and ended at 6.5%.

Spanish RMBS transactions have suffered significant negative rating migration over the past months due to the deteriorating Spanish macro-economic environment.

The weaker performance of Spanish RMBS has been driven by rising unemployment and dropping residential real estate prices as well as highly levered loan features, geographical concentration to the coastal areas and the high number of new resident borrowers affected by unemployment.
In some of the most recent RMBS vintages, cumulative defaults have more than doubled since the beginning of 2009.

Moody's outlook for Spanish RMBS remains negative given concerns over the timing and the magnitude of recoveries in a weak and illiquid housing market.

The Spanish economy is expected to remain in recession until 2Q10, making the duration of the recession one of the longest in the Eurozone.

The weak economic activity, soaring unemployment and slowing income growth will continue to depress the residential property market, where prices have fallen by 9.5% since the peak in 2008.

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