Fitch Ratings is planning to introduce a delinquency index for all Dutch residential mortgage-backed securities transactions with 12 months or more seasoning later this year. Markus Morlok, a Frankfurt-based analyst in Fitch's surveillance team, noted it last week introduced a similar index for German RMBS deals, the latest in a series that already includes U.K., Irish, Italian, Spanish and French RMBS delinquency indices. The aim of each country index is to provide investors with a benchmark for delinquency performance in a given jurisdiction, so they can more easily judge whether an individual deal has above or below average performance.
The German index includes 31 deals and is based on loans in arrears for more than 30 days, including losses. These are weighted according to the total rated mortgage balance at closing and are adjusted for deal seasoning.