Fitch Ratings-London-17 March 2010: Fitch Ratings says in a special report that, unlike other European jurisdictions, RMBS arrears levels in Italy, the Netherlands and Portugal are showing strong signs of stabilising, although rising unemployment could reverse the trend in the latter two markets.

The comparative ability of Italian RMBS transactions to stave off the impact of the global recession, specifically in terms of arrears levels, can be attributed to low household indebtedness and less aggressive lending standards compared to other European countries. Loans in arrears by three months or more are currently 2.3% of the outstanding balance of Italian RMBS.

In the Netherlands, Fitch's arrears index has remained relatively stable.. Nevertheless, Fitch anticipates asset performance deterioration, as further rises in unemployment put pressure on the disposable income of borrowers. House price depreciation is expected to result in an increase in the number of foreclosures and in the amounts of losses realised, putting excess spread, generated by underlying collateral pools, under further stress.

Following the continuous increase in arrears in Portuguese RMBS, improved borrower affordability led to the first signs of stabilisation in the second half of 2009. Although Fitch sees the recent trends as positive for deal performance, rising unemployment may offset the impact of the low interest rate environment and potentially lead to a further increase in arrears. Loans in arrears for three months or more fell to 2.4% in Q409 from 2.6% in Q309. Simultaneously, payment rates continue to fall due to a lack of competition in the lending market, as well as the low interest rate environment, leaving borrowers with little incentive to refinance elsewhere.

The report, entitled "Around the Houses - Quarterly European RMBS Performance Update Q4 2009", is available on www.fitchratings.com. It covers each major jurisdiction and highlights the main drivers of changes in arrears and principal payment rates, as well as providing an overview of recent rating actions, current ratings and the outstanding balance of rated notes.

Contacts: Aksel Etingu, London Tel: +44 (0) 20 7682 7135.

Media Relations: Julian Dennison, London, Tel: +44 020 7682 7480, Email: julian.dennison@fitchratings.com.

Additional information is available on www.fitchratings.com.

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