The Q3 prime index from S&P’s Ratings Services looked at the total number of delinquencies for prime residential mortgage-backed securities between August and September.
It found that the total number of prime borrowers in arrears rose during the quarter from 2.83% to 3.24%.
The number of prime home owners in arrears of 90 days or more increased from 0.96% to 1.16% over the same period.
Sean Hannigan, credit analyst at S&P, says: “Delinquencies are an indication of future defaults and the current increases combined with falling house prices will start to put real pressure on ratings for the first time.”
Abbey’s Holmes trust and Northern Rock’s Granite trust in particular saw substantial increases in total arrears from August to September.
Hannigan adds: “Worryingly, repossessions have increased in almost all transactions. Northern Rock’s repossessions have again been considerably higher than in the other trusts.
“If they continue to rise, it could place some deals’ performance under pressure from a cash flow perspective.”
The S&P index found that only three securitisation deals closed in Q3, but the total combined issuance added up to £26bn. This made Q3 the third highest quarter for securitisation deals on record.