Greek ABS and RMBS market performance continued to deteriorate in April, according to Moody's latest index data. ABS SME transactions saw cumulative defaults rise from 1.73% to 2.98% in a year. Consumer loans rose even higher, from 3.86% to 7.45%.

RMBS 90-day plus delinquencies rose from 0.7% to 1.97% between April 2010 and April 2011. Cumulative defaults more than doubled in that time, from 0.4% to 0.84%. The agency notes rising arrears and defaults suffered by Estia Mortgages in the last few months go a long way to explaining this poor performance.

On 13 May, Moody's downgraded to Ba1 all Greek transactions serviced by Greek entities, reflecting the agency's ongoing concerns about the exposure to increasing country and operational risk. On 10 June it downgraded five ABS and eight RMBS transactions, following its Greek government debt rating downgrade earlier that same month.

Moody's outlook for Greek RMBS and ABS collateral remains negative. GDP is predicted to shrink 3.3% in 2011 as the nation's economy remains in recession. Unemployment is expected to rise to 13.2% this year and taxes are also expected to increase as the government seeks to reduce budget deficits, which will lower household borrowers' disposable income.

The index has included 11 RMBS transactions (nine outstanding), 13 ABS transactions (12 outstanding) and two credit card transactions (one outstanding) since Moody's launched it in 2004. The outstanding pool balance for the Greek RMBS transactions stood at €3.81bn as of April. The balance was €14.58bn for ABS. Year over year, rated transaction balances have reduced 49.7% for RMBS, 40.3% for ABS SME and 15.1% for consumer loan ABS.