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European RMBS Index Report Q1 2021

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Weekly European CLO Update

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Servicer Evaluation: Community Loan Servicing LLC -- Residential

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Servicer Evaluation: Community Loan Servicing LLC -- Commercial And Small-Balance Commercial

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European CMBS Monitor Q2 2021


European RMBS Index Report Q1 2021

Table 1

Total Delinquencies
(%) Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020
All countries - index 3.3 3.3 3.3 3.6 3.2
France and Belgium 0.4 0.4 0.5 0.6 0.6
Ireland 8.7 6.8 6.4 6.0 5.9
Italy 2.6 2.7 3.2 4.1 2.6
Netherlands 0.5 0.6 0.6 0.7 0.7
Portugal 3.4 3.3 3.4 3.7 3.8
Spain 6.1 6.0 5.9 6.1 5.8
U.K. BTL 2.9 3.1 3.3 3.8 3.6
U.K. BTL - Pre 2014 2.9 3.1 3.2 3.5 3.2
U.K. BTL - Post 2014 0.2 0.1 0.3 0.4 0.1
U.K. nonconforming 12.1 12.1 12.2 13.4 11.9
U.K. nonconforming - pre 2014 12.8 12.7 12.1 13.4 11.7
U.K. nonconforming - post 2014 1.5 1.3 1.6 2.1 0.8
U.K. prime 0.9 0.9 0.8 0.8 0.8

Table 2

Annualized Prepayment Rate
(%) Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020
All transactions - Index 10.0 9.8 9.0 8.6 9.0
France and Belgium 8.5 9.2 9.4 10.7 9.3
Ireland 6.1 6.0 5.2 3.8 4.7
Italy 5.2 5.1 3.6 3.6 4.2
Netherlands 12.2 11.6 11.7 10.6 9.7
Portugal 5.2 5.0 4.7 4.6 5.8
Spain 4.1 4.6 3.9 2.5 3.3
U.K. BTL 8.2 7.4 6.7 5.7 8.1
U.K. BTL - pre 2014 8.0 6.7 6.3 5.7 8.1
U.K. BTL - post 2014 11.9 13.2 14.9 5.1
U.K. nonconforming 9.8 8.9 8.0 7.1 9.6
U.K. nonconforming - pre 2014 9.5 8.7 7.9 6.9 9.5
U.K. nonconforming - post 2014 18.9 16.0 16.5 14.9 14.9
U.K. prime 22.1 21.1 18.4 16.8 18.7

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Table 4

New Ratings Activity As Of Q1 2021
Deal Closing date Country Asset class Noteworthy features
Hops Hill No.1 PLC Jan. 26, 2021 U.K. RMBS BTL Inaugural BTL transaction from Keystone Property Finance totaling £337 million of prime first lien U.K. BTL loans.
BPCE Master Home Loans FCT Jan. 29, 2021 France RMBS prime It is revolving and as a result, the pool's credit quality could deteriorate. In order to capture the pool's potential deterioration over the replenishment period, we have assumed a stressed weighted-average foreclosure (WAFF) and weighted-average loss severity (WALS).
Atlas Funding 2021-1 PLC Feb. 1, 2021 U.K. RMBS BTL The loans in the pool were originated between 2018 and 2020 by Lendco Ltd., a non-bank specialist lender. Even though it is not specifically bound by the Prudential Regulatory Authority's underwriting guidance on BTL loans, it adheres to its principles.
Shamrock Residential 2021-1 DAC Feb. 4, 2021 Ireland RMBS reperforming This is portfolio of €421.1 million loans. The securitization comprises two purchased portfolios which aggregated assets from seven Irish originators.
Dilosk RMBS No.4 DAC Feb. 10, 2021 Ireland RMBS prime The pool was originated by Dilosk DAC, a nonbank specialist lender, under its ICS Mortgages brand over the last two years. While Dilosk was established in 2013, it has only been originating BTL mortgages since 2017 and owner-occupied mortgages since late 2019. This is the issuer's first securitization of owner-occupied mortgages.
Stratton Mortgage Funding 2021-1 PLC Feb. 12, 2021 U.K. RMBS nonconforming A portfolio of £444.7 million loans. We estimate 15.1% of loans as reperforming. As the entire history of performing arrangements over the past three years is not available to us, we factor this deficiency in an elevated originator penalty. However, thanks to this proactive servicing we were able to see considerable improvements in the pool's performance over the recent past.
Durham Mortgages A PLC Feb. 19, 2021 U.K. RMBS nonconforming The transaction is a refinancing of the Durham Mortgages A PLC transaction, which closed in May 2018 (the original transaction).
Twin Bridges 2021-1 PLC March 3, 2021 U.K. RMBS BTL Twin Bridges 2021-1 is a static RMBS transaction that securitizes a portfolio first lien of BTL mortgage loans secured on properties in the U.K. The pool totaled £299.8 million and the loans were originated by Foundation Home Loans.
Canada Square Funding 2021-1 PLC March 10, 2021 U.K. RMBS BTL Fourth transaction from the Canada Square series totaling £244.6 million. The transaction like its predecessor deals consists of originations from Fleet Mortgage, Landbay Partners, Zephyr Homeloans, but also Hey Habito which is seen in a S&P rated transaction for the first time.
Jupiter Mortgage No.1 PLC March 10, 2021 U.K. RMBS BTL A transaction of legacy UKAR loans, predominantly seasoned BTL BTL loans.
Stratton Mortgage Funding 2021-2 PLC March 10, 2021 U.K. RMBS BTL A transaction of legacy UKAR loans, predominantly seasoned BTL BTL loans.
Together Asset Backed Securitisation 2021-CRE1 PLC March 15, 2021 U.K. RMBS BTL Inaugural "mixed use" and "commercial" transaction from Together.
Glenbeigh 2 Issuer DAC March 23, 2021 U.K. RMBS BTL Glenbeigh is a static Irish RMBS transaction that securitizes a portfolio of €297.6 million loans secured by primarily interest only, BTL residential assets. The loans were originated primarily between 2006 to 2008 by Permanent TSB PLC (PTSB), one of the largest financial services groups in Ireland.
Green STORM 2021 B.V. March 25, 2021 RMBS prime Fifth transaction from the Green Storm shelf, a transaction comprising €526 million secured on properties with an EPC rating of A, B, and C with an anticipated improvement of two notches.
Tower Bridge Funding 2021-1 PLC March 25, 2021 U.K. RMBS BTL A portfolio of BTL and owner-occupied mortgage loans secured on properties in the U.K originated by Belmont Green between 2016 and 2021 via its specialist mortgage lending brand, Vida Homeloans. The transaction includes a 23.5% prefunded amount.
Trinity Square 2021-1 PLC March 25, 2021 U.K. RMBS Nonconforming Trinity Square 2021-1 PLC is a static RMBS transaction that securitizes a portfolio of £1.14 billion owner-occupied and BTL mortgage loans secured on properties in the U.K. The transaction is a refinancing of the Trinity Square 2015-1 PLC and Trinity Square 2016-1 PLC transactions.
ELIDE II FCT Compartiment 2021-1 March 25, 2021 France RMBS prime RMBS transaction backed by prime French residential mortgage loans originated by Bred Banque Populaire (BPCE Group). Portfolio amounts to almost €3 billion of fixed interest rate assets concentrated in Ile de France, Normandy, and overseas territories with a high share of civil servants. No reserve fund will be funded at closing, only if the servicer breaches a rating trigger.
Dutch Property Finance 2021-1 B.V. March 31, 2021 Netherlands RMBS other Sixth issuance in the DPF series consisting of loans secured on €525.8 million residential BTL, commercial, and mixed properties, with an average loan amount of €277,000.
Retiro Mortgage Securities DAC March 31, 2021 Spain RMBS nonperforming A Spanish nonperforming (NPL) and real-estate-owned properties (REO) transaction. The total portfolio is split in four subpools. There are three servicers and two master servicers in the transaction. We only rated the class A1 notes.

Related Research

This report does not constitute a rating action.

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Alastair.Bigley@spglobal.com
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Giovanna.Perotti@spglobal.com
Feliciano P Pereira, CFA, Madrid + 44 20 7176 7021;
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