European RMBS Index Report Q3 2023

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21 Nov, 2023 | 15:01
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European RMBS Index Report Q3 2023

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Table of Contents

Summary

Our European RMBS index tracks the collateral performance to date of the transactions we rate. The summary includes frequently asked questions about our methodology for compiling the index.
This quarter's report includes a list of transactions included in the index, together with their relative weighting within their respective group (see Appendix).
Quarter-on-quarter total delinquency movements were minimal for most jurisdictions, with France/Belgium, Italy, Netherlands,including buy-to-let (BTL), Portugal, and U.K. prime showing stability or minor improvements. Quarter-on-quarter deteriorations are visible for U.K. BTL pre- and post-2014, U.K. nonconforming pre- and post-2014, Spain, and Ireland.
Year-on-year delinquency movements are now significant for U.K. pre-2014 assets with total delinquencies for BTL and nonconforming approximately doubling. Ireland has shown a similar trend. Similarly, delinquencies in U.K. post-2014 BTL transactions increased significantly, albeit from a very low base.
Prepayment rates vary and reflect local market specifics. The Netherlands, particularly BTL, has seen a marked contraction in prepayment rates over the last year, which potentially reflects lower refinancing activity and limited incentive for borrowers on cheaper fixed rates to refinance to expand their portfolios. U.K. BTL prepayments remain robust despite new origination contracting significantly, which may reflect prepayments being driven by borrowers exiting the market as rental yield is compressed.
U.K. non-BTL assets prepayment rates increased, particularly in the nonconforming post-2014 index. This was mainly due to three transactions which have high exposure to fixed-floating loans, and borrowers refinancing before they switch to a higher floating-rate. Pre-2014 nonconforming prepayments remain robust, implying that those that can refinance are doing so, which raises the possibility of tail risk crystalizing in certain legacy transactions.
Although sectors demonstrating resilience to date will likely continue to do so, overall, we believe the credit performance of mortgage collateral backing European RMBS will likely deteriorate in Q4 2023 and into 2024. We expect persistently high inflation to gradually fall close to target in the second half of 2024.

Table 1

Total delinquencies (%)
	Q3 2023	Q2 2023	Q1 2023	Q4 2022	Q3 2022
All countries - index	3.9	3.7	3.9	3.5	3.3
France and Belgium	0.3	0.3	0.5	0.4	0.5
Italy	2.1	2.1	1.7	1.6	1.6
Ireland	9.3	8.4	6.3	6.3	4.5
Netherlands (excluding BTL)	0.2	0.3	0.3	0.3	0.3
Netherlands BTL	0.4	0.5	0.3	0.2	0.6
Portugal	3.8	3.9	3.8	3.6	3.6
Spain	6.5	6.2	5.9	5.6	8.1
U.K. prime	0.9	1.0	1.2	1.1	1.1
U.K. BTL	5.9	5.2	4.3	3.5	3.2
U.K. BTL - pre-2014	9.2	8.0	6.4	4.9	4.2
U.K. BTL - post-2014	1.6	1.4	1.2	1.1	0.9
U.K. nonconf	17.6	15.5	13.4	12.0	10.5
U.K. nonconf - pre-2014	20.0	18.0	15.4	13.3	11.2
U.K. nonconf - post-2014	5.1	4.3	3.5	3.2	3.4
BTL--Buy-to-let. Q--Quarter.

Table 2

Key performance indicators
(%)	Q3 2023	Q2 2023	Q1 2023	Q4 2022	Q3 2022
Prepayment rate
All countries - index	9.4	9.0	10.4	11.6	11.4
France and Belgium	3.3	3.4	4.9	5.5	7.7
Italy	5.1	4.9	4.9	3.9	3.4
Ireland	10.2	9.6	9.6	9.0	9.3
Netherlands	5.9	5.6	6.5	8.0	10.7
Netherlands BTL	6.9	7.0	10.8	14.4	20.5
Portugal	9.7	9.1	9.5	6.8	6.1
Spain	8.2	8.5	8.2	7.4	5.5
U.K. Prime	21.1	21.5	23.4	26.5	23.4
U.K. BTL	15.7	13.6	14.0	18.6	14.9
U.K. BTL - pre-2014	16.2	13.8	13.9	20.0	15.5
U.K. BTL - post-2014	15.4	14.0	15.0	16.7	13.8
U.K. nonconf	22.4	18.2	15.3	16.8	13.8
U.K. nonconf - pre-2014	15.1	13.3	13.7	17.4	13.5
U.K. nonconf - post-2014	59.6	39.2	23.4	13.7	16.9
BTL--Buy-to-let. Q--Quarter.

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Table 4

New ratings activity as of Q3 2023
	Closing date	Country	Asset class	Surveillance Analyst	Noteworthy features
Brants Bridge 2023-1 PLC	July 11, 2023	U.K.	RMBS nonconforming	Aarondeep Hothi	Brants Bridge 2023-1 PLC is a static RMBS transaction that securitizes a portfolio of owner-occupied mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2020 and 2023, with most originated in 2022, by Paratus AMC Ltd. (Paratus), a non-bank specialist lender, under the brand of Foundation Home Loans (FHL). This is the second transaction featuring post-financial-crisis owner-occupied originations from Paratus we have rated.
Together Asset Backed Securitisation 2023-1ST1 PLC	July 12, 2023	U.K.	RMBS nonconforming	Arnaud Checconi	Together 2023-1ST1 is a static RMBS transaction, which securitizes a portfolio of up to £425.5 million first-lien mortgage loans, both owner-occupied and BTL, secured on properties in the U.K. originated by Together Personal Finance Ltd. and Together Commercial Finance Ltd. Together Personal Finance Ltd. and Together Commercial Finance Ltd. originated the loans in the pool between 2017 and 2023.
Delphinus 2023-I B.V.	July 13, 2023	Netherlands	RMBS prime	Agustina Lopreiato	ASR Levensverzekering N.V.'s first securitization of mortgage loans. The transaction is a static RMBS that securitizes a €526 million pool of prime, first-, and consecutive-ranking Dutch owner-occupied mortgage loans. Of the collateral pool, 29.1% benefits from payments made by the Stichting Waarborgfonds Eigen Woningen (WEW; Homeownership Guarantee Fund), under the Nationale Hypotheek Garantie (NHG) guarantee scheme.
Portman Square 2023-NPL1 DAC	July 25, 2023	Ireland	RMBS nonconforming	Sinead Egan	The transaction is a refinance of the Portman Square 2021-NPL1 DAC transaction. It is a static nonperforming RMBS transaction that securitizes a €315.3 million portfolio of loans, after excluding €236.0 million of primarily unsecured assets. The remaining portfolio comprises owner-occupied and BTL nonperforming mortgage loans secured over residential and commercial properties in Ireland.
Dilosk RMBS No.7 DAC	Aug. 3, 2023	Ireland	RMBS prime	Philip Bane	Dilosk RMBS No.7 DAC is a static RMBS transaction of BTL mortgage loans secured over residential properties in Ireland. The transaction is primarily a refinance of the existing Dilosk RMBS No. 3 DAC. These loans constitute 61.55% of the pool. Almost all (98.63%) of the loans were originated recently and are under the Irish Central Bank's mortgage lending rules limiting leverage (through loan-to-value [LTV] ratio limits) and debt burden (through loan-to-income limits).
Orcinus 2023 B.V.	Aug. 10, 2023	Netherlands	RMBS prime	Alejandro Marcilla, CFA	This is ASR Levensverzekering N.V.'s second securitization of mortgage loans this year. The transaction securitizes a €1.856 billion pool of prime, first-, and consecutive-ranking Dutch owner-occupied mortgage loans. The transaction has a five-year revolving period, where, in addition to the purchase of new assets according to the priority of payments, the seller may at its discretion also repurchase assets in the portfolio. Of the collateral pool, 21% benefits from payments made by the Stichting Waarborgfonds Eigen Woningen (Homeownership Guarantee Fund), under the NHG guarantee scheme.
Avon Finance No.3 PLC	Aug. 25, 2023	U.K.	RMBS nonconforming	Ganesh Rajwadkar	The transaction is a repack of Avon Finance No.1 PLC, which was in turn a repack of Warwick Finance Residential Mortgages Number Two PLC (Warwick 2). It is a static RMBS transaction, which securitizes a portfolio of £604 million first-lien mortgage loans, both owner-occupied and BTL, secured on properties in the U.K. Of the pool, 13.3% of the loans are in arrears, with 6.6% of that portion in severe arrears (90+ day arrears). Of the pool, 4.5% is considered reperforming.
Oat Hill No.3 PLC	Aug. 29, 2023	U.K.	RMBS BTL	Aarondeep Hothi	The securitized assets were previously securitized by Oat Hill No.2 PLC, which we rated. Of the pool 94.1% comprises BTL loans and the remaining 5.9% are owner-occupied loans. The loans were originated by Capital Home Loans Ltd. (CHL), which ceased lending in 2008, and are highly seasoned, with weighted-average seasoning of 16.6 years.
RMAC No.3 PLC	Sept. 18, 2023	U.K.	RMBS nonconforming	Abhijit Pawar	RMAC No. 3 PLC is a static RMBS transaction that securitizes a portfolio of £344.70 million owner-occupied and BTL mortgage loans secured on properties in the U.K. The pool is well seasoned. All the loans are first-lien U.K. owner-occupied and BTL residential mortgage loans. The pool is highly exposed to interest-only loans (82.21%), and 20.67% of the mortgage loans are currently in arrears greater than (or equal to) one month.
Avon Finance No.4 PLC	Sept. 19, 2023	U.K.	RMBS nonconforming	Vedant Thakur	This is a refinancing of Avon Finance No.2 PLC, which in turn was a refinancing of Warwick Finance Residential Mortgages Number One PLC. It is a static RMBS transaction, which securitizes a portfolio of £563.3 million first-lien mortgage loans, both owner-occupied and BTL, secured on properties in the U.K. Of the pool, 15.76% of the loans are in arrears, with 7.69% of that portion in severe arrears (90+ day arrears). Of the pool, 6.25% is considered reperforming.
Together Asset Backed Securitisation 2023-1ST2 PLC	Sept. 21, 2023	U.K.	RMBS nonconforming	Arnaud Checconi	Together 2023-1ST2 is a static RMBS transaction, securitizing a portfolio of up to £442.8 million first-lien mortgage loans, both owner-occupied and BTL, secured on properties in the U.K. originated by Together Personal Finance Ltd. and Together Commercial Finance Ltd. Together Personal Finance Ltd. and Together Commercial Finance Ltd. originated the loans in the pool between 2017 and 2023.
Finance Ireland RMBS No. 6 DAC	Sept. 22, 2023	Ireland	RMBS prime	Stephen Kemmy	Finance Ireland RMBS No. 6 DAC is a static RMBS transaction that securitizes a portfolio of €240.85 million owner-occupied mortgage loans secured on properties in Ireland. The loans in the pool were originated between 2016 and 2023 by Finance Ireland Credit Solutions DAC and Pepper Finance Corp. (Ireland) DAC. The pool comprises warehoused loans newly originated by Finance Ireland (41.76%) and loans that were previously a part of the Finance Ireland RMBS No. 2 DAC transaction (58.24%).
Polaris 2023-2 PLC	Sept. 25, 2023	U.K.	RMBS nonconformingh	Arnaud Checconi	This is the seventh first-lien RMBS transaction originated by Pepper group in the U.K. that we have rated. The loans in the pool were originated between 2017 and 2022 by UK Mortgage Lending Ltd. (UKMLL), Pepper (UK) Ltd., and Pepper Money Ltd., all trading as Pepper Money. The loans originated by Pepper (UK) Ltd. and Pepper Money Ltd. are currently securitized in Polaris 2020-1 PLC. As part of the prefunding mechanism the issuer will purchase these assets during the prefunding period.

Summary Of Methodology For Our European RMBS Index

What is included in the index?

We include a transaction once nine months have elapsed since the closing date. This is because we expect that a transaction's performance developments are unlikely to be visible immediately after closing. As the index is current balance weighted, including transactions with less than nine months of performance will lower the index's denominator and may give an overly positive impression of performance.

Are esoteric RMBS transactions included?

We assess this on a case-by-case basis. For example, we exclude equity release (reverse mortgage) nonperforming transactions backed by residential mortgages, while we include reperforming RMBS transactions.

What is the data source?

We compile the data from investor reports based on each transaction's definition of arrears.

What is the definition of total delinquencies?

Total delinquencies are defined as arrears for one or more calendar months.

Is it loan count or dollar-weighted index?

We calculate the index as the current balance of loans in each arrear's status (as reported in the investor reports), divided by each transaction's current balance (as reported in the investor reports). As such, in some countries where a limited number of transactions forms the index, larger transactions will drive the overall group.

What does table 3 represent in terms of total delinquencies change?

To lessen a dollar-weighted index's natural limitations, this table shows the transaction count by absolute arrears change within a certain group. We categorize these changes in three buckets: Total delinquencies down by more than two percentage points, total delinquencies up by more than two percentage points, and total delinquencies are stable (change between -2 percentage points and +2 percentage points). This table only incorporates transactions included both in the current and previous quarters.

When a transaction redeems, how does it affect the index? Does it affect the past quarter(s)?

When a transaction redeems, it does not contribute to the index beyond that point. It has no effect on reported values for previous quarters.

When do we cut off the index for a given quarter?

We base the cut off on the period covered in investor reports. For example, if the index covers the period up to first-quarter 2023 for a quarterly reporting transaction, we include collateral data with a cut-off only between Jan. 1, 2023, and March 31, 2023. For transactions that report monthly, we use the latest quarterly report.

Both pre- and post-2014 indices are presented. How is this classification performed?

We base this on the assets' origination date. If a pool of assets is split equally between pre- and post-2014 vintages, we will assess on a case-by-case basis whether we include it in the pre- or post-2014 index.

Why do previous quarter's numbers sometimes change?

There are two main reasons:

The servicer/party providing the investor report can amend data.
Newer data for the most recent quarter is available. For example, in a transaction that reports monthly, if we receive data until February 2023 when producing the first-quarter 2023 index, we will use the data up until that date. However, if we then receive March 2023 data when producing the following quarter's index, we will backfill first-quarter 2023 for that transaction with the March 2023 data.

How are transactions that contain a mixture of BTL and owner-occupied collateral classified?

For countries with separate BTL and owner-occupied indices, for example, the U.K. and Netherlands, we typically classify the transaction based on the largest portion of the collateral on the issuance date. For example, if a pool had 60% BTL collateral and 40% owner-occupied collateral at closing, it would form part of the BTL index. If the relative split of BTL and owner-occupied reversed due to prepayment or amortization, we would not typically change the classification.

How is nonconforming collateral categorized?

There is no standard market definition of nonconforming. Broadly speaking, nonconforming collateral does not meet the definition of prime. This is typically due to the pool having material exposures to borrowers with previous adverse credit, such as prior mortgage arrears and CCJs, and/or significantly complex income. The assessment of whether a pool is nonconforming can be subjective and is disclosed in our related ratings commentary.

Where do second-charge transactions appear in the index?

We do not include them as a separate index given these are just a handful of transactions. Instead, they are based on the categorization of the transaction (prime, BTL, etc.).

Appendix - List of Transactions Comprising Indices

Group	Transaction	Series	Outstanding amount (€)	Sub-group (%)
France and Belgium	BPCE Master Home Loans FCT	-	73,993,802,602	86.66
	BPCE Home Loans FCT 2017_5	-	3,776,459,924	4.42
	ELIDEII FCT Compartiments 2021-1	-	2,088,216,665	2.45
	BPCE HOME LOANS FCT 2021 GREEN UoP	-	1,267,045,641	1.48
	CASPR S.à r.l.	-	438,271,842	0.51
	ELIDE FCT Compartiment 2014-01	-	132,918,252	0.16
	Elide FCT Compartiment 2018-01	-	605,882,083	0.71
	FCT Elide II Compartiment 2022-01	-	2,266,243,599	2.65
	Harmony French Home Loans FCT 2022-1	-	476,522,399	0.56
France and Belgium total			85,388,034,602	100.00
Ireland	Dilosk RMBS No.4 DAC	-	237,679,646	2.01
	Dilosk RMBS No.5 DAC	-	287,822,036	2.43
	Fastnet Securities 16 DAC	-	2,094,973,894	17.72
	Fastnet Securities 17 DAC	-	479,734,855	4.06
	Fastnet Securities 18 DAC	-	2,341,988,103	19.80
	Finance Ireland RMBS No. 2 DAC	-	162,611,270	1.38
	Finance Ireland RMBS No. 3 DAC	-	219,540,444	1.86
	Finance Ireland RMBS No. 4 DAC	-	301,731,767	2.55
	Finance Ireland RMBS No.5 DAC	-	362,423,746	3.06
	Glenbeigh 2 Issuer 2021-2 DAC	-	459,116,292	3.88
	Glenbeigh 2 Issuer DAC	-	237,188,135	2.01
	Jamestown Residential 2021-1 DAC	-	476,858,376	4.03
	Kinbane 2022-RPL 1 DAC	-	509,374,255	4.31
	Lansdowne Mortgage Securities No. 1 PLC	-	54,546,996	0.46
	Lansdowne Mortgage Securities No. 2 PLC	-	109,035,602	0.92
	Mulcair Securities No. 2 DAC	-	267,061,320	2.26
	Mulcair securities No. 3 DAC	-	269,065,747	2.28
	Primrose Residential 2021-1 DAC	-	690,596,746	5.84
	Primrose Residential 2022-1 DAC	-	318,294,250	2.69
	Proteus RMBS DAC	-	763,508,105	6.46
	Shamrock Residential 2022-1 DAC	-	482,253,192	4.08
	Shamrock Residential 2022-2 DAC	-	477,011,815	4.03
	Summerhill Residential 2021-1 DAC	.	223,496,304	1.89
Ireland total			11,825,912,894	100.00
Italy	Asti Finance S.r.l. 2010	2010	64,264,727	1.62
	BP Mortgages S.r.l.	2007-2	136,340,042	3.44
	Capital Mortgage S.r.l.	2007-1	303,836,679	7.66
	Civitas SPV S.r.l.	2017-1	334,460,986	8.43
	CR Volterra 2 SPV S.r.l.	-	123,412,742	3.11
	Credico Finance 12 S.r.l.	-	191,050,994	4.82
	Eurohome (Italy) Mortgages S.r.l.	-	97,676,294	2.46
	Fanes S.r.l.	2018-1	243,192,623	6.13
	F-E Mortgages S.r.l.	2005	103,700,945	2.61
	Lanterna Mortgage S.r.l.	-	172,913,638	4.36
	Media Finance S.r.l	-	262,209,464	6.61
	Mercurio Mortgage Finance S.r.l. 2003-2	2003-2	61,492,395	1.55
	Pontormo RMBS S.r.l.	2017	535,940,046	13.51
	Sestante Finance S.r.l. 1	1	66,032,108	1.66
	Sestante Finance S.r.l. 2	2	124,410,901	3.14
	Sestante Finance S.r.l. 3	3	211,578,920	5.33
	Sestante Finance S.r.l. 4	4	217,911,920	5.49
	Valconca SPV S.R.L.	-	49,153,840	1.24
	Valsabbina RMBS SPV S.R.L.	-	668,019,980	16.84
Italy total			3,967,599,243	100.00
Netherlands	E-MAC NL 2004-I B.V.	-	46,619,113	0.37
	E-MAC NL 2004-II B.V.	-	52,463,726	0.42
	E-MAC NL 2005-I B.V.	-	39,404,051	0.31
	E-MAC NL 2005-III B.V.	-	92,691,496	0.74
	E-MAC NL 2006-II B.V.	-	71,883,218	0.57
	E-MAC Program B.V. Compartment NL 2006-III	-	117,708,901	0.94
	E-MAC Program B.V. Compartment NL 2007-I	-	93,178,209	0.74
	E-MAC Program B.V. Compartment NL 2007-III	-	79,792,579	0.64
	E-MAC Program II B.V. Compartment NL 2007-IV	-	105,441,747	0.84
	E-MAC Program II B.V. Compartment NL 2008-IV	-	41,875,149	0.33
	E-MAC Program III B.V. Compartment NL 2008-I	-	32,587,717	0.26
	E-MAC Program III B.V. Compartment NL 2008-II	-	18,816,446	0.15
	FORDless STORM 2018 B.V.	-	665,484,699	5.30
	Green STORM 2021 B.V.	-	513,999,727	4.09
	Green STORM 2022 B.V.	-	520,047,367	4.14
	PURPLE STORM 2016 B.V.	-	373,505,051	2.97
	SAECURE 16 B.V.	-	631,852,890	5.03
	SAECURE 17 B.V.	-	2,207,825,201	17.57
	SAECURE 19 B.V.	-	1,204,977,466	9.59
	SAECURE 20 B.V.	-	527,757,701	4.20
	Solitaire I B.V.	I	340,042,368	2.71
	STORM 2018-II B.V.	-	885,520,484	7.05
	STORM 2019-I B.V.	-	2,056,442,259	16.37
	STORM 2020-I B.V.	-	1,036,261,553	8.25
	STRONG 2018 B.V.	-	808,601,220	6.44
Netherlands total			12,564,780,339	100.00
Netherlands BTL	Domi 2019-1 B.V.	-	80,554,042	1.96
	Domi 2020-1 B.V.	-	141,434,931	3.43
	Domi 2020-2 B.V.	-	130,881,851	3.18
	Domi 2021-1 B.V.	-	246,176,891	5.97
	Domi 2022-1 B.V.	-	294,908,829	7.16
	Dutch Property Finance 2019-1 B.V.	-	130,256,302	3.16
	Dutch Property Finance 2020-1 B.V.	-	153,606,088	3.73
	Dutch Property Finance 2020-2 B.V.	-	204,047,032	4.95
	Dutch Property Finance 2021-1 B.V.	-	386,189,607	9.37
	Dutch Property Finance 2021-2 B.V.	2021-2	363,355,217	8.82
	Dutch Property Finance 2022-1 B.V.	-	406,496,115	9.87
	Dutch Property Finance 2022-2 B.V.	-	224,978,531	5.46
	Jubilee Place 2020-1 B.V.	-	101,911,576	2.47
	Jubilee Place 2021-1 B.V.	-	197,494,703	4.79
	Jubilee Place 3 B.V.	-	298,509,823	7.24
	Jubilee Place 4 B.V.	-	360,898,814	8.76
	Jubilee Place 5 B.V.	-	398,660,605	9.68
Netherlands BTL total			4,120,360,957	100.00
Portugal	Ares Lusitani - STC, S.A. Embo Mortgages No.1	Embo Mortgages No.1	750,166,840	18.76
	GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO2	ATLANTES MORT. NO2	85,758,396	2.14
	GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO3	ATLANTES MORT. NO3	144,186,551	3.61
	GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO4	ATLANTES MORT. NO4	153,393,062	3.84
	HipoTotta No. 4 PLC	-	338,559,918	8.47
	HipoTotta No. 5 PLC	-	366,022,836	9.15
	Lusitano Mortgages No. 4 PLC	-	192,417,249	4.81
	Lusitano Mortgages No. 5 PLC	-	306,734,537	7.67
	Lusitano Mortgages No. 6 DAC	-	300,111,137	7.51
	Lusitano Mortgages No. 7 DAC	-	782,526,605	19.57
	Magellan Mortgages No. 1 PLC	-	26,357,646	0.66
	Magellan Mortgages No. 3 PLC	-	191,572,347	4.79
	Magellan Mortgages No. 4 PLC	-	220,482,463	5.51
	SAGRES STC - Pelican Mortgages No. 3 PELICAN MORT NO. 3	PELICAN MORT NO. 3	88,229,568	2.21
	TAGUS - Sociedade de Titularizacao de Creditos, S.A. AQUA MORT NO.1	AQUA MORT NO.1	52,221,252	1.31
Portugal total			3,998,740,405	100.00
Spain	AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos	-	69,107,417	0.24
	AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria	-	157,572,985	0.54
	AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria	-	63,842,459	0.22
	AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria	-	152,359,441	0.52
	AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria	-	223,305,009	0.76
	AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria	-	173,886,042	0.59
	AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria	-	215,100,397	0.73
	AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos	-	125,565,437	0.43
	AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos	-	268,663,421	0.92
	Bancaja 10, Fondo de Titulizacion de Activos	-	522,357,127	1.78
	Bancaja 11, Fondo de Titulizacion de Activos	-	488,174,939	1.67
	Bankinter 10, Fondo de Titulizacion de Activos	-	167,708,721	0.57
	Bankinter 11 Fondo de Titulizacion Hipotecaria	-	106,889,982	0.37
	Bankinter 13, Fondo de Titulizacion de Activos	-	246,163,760	0.84
	BBVA RMBS 14, Fondo de Titulizacion de Activos	-	288,078,761	0.98
	BBVA RMBS 2, Fondo de Titulizacion de Activos	-	1,022,766,299	3.49
	BBVA RMBS 20, Fondo de Titulizacion de Activos	-	1,981,240,989	6.77
	BBVA RMBS 21 Fondo de Titulizacion	-	10,415,365,502	35.57
	BBVA RMBS 5, Fondo de Titulizacion de Activos	-	1,584,999,541	5.41
	BBVA RMBS 9, Fondo de Titulizacion de Activos	-	555,752,843	1.90
	CAIXA PENEDES 1 TDA Fondo de Titulizacion de Activos	-	105,372,208	0.36
	Fondo de Titulizacion de Activos Santander Hipotecario 2	-	293,005,869	1.00
	Fondo de Titulizacion de Activos Santander Hipotecario 3	-	583,333,004	1.99
	Fondo de Titulizacion de Activos UCI 11	-	86,001,059	0.29
	Fondo de Titulizacion de Activos UCI 14	-	226,257,506	0.77
	Fondo de Titulizacion de Activos UCI 15	-	288,257,130	0.98
	Fondo de Titulizacion de Activos UCI 16	-	395,836,513	1.35
	Fondo de Titulizacion de Activos UCI 17	-	350,611,517	1.20
	Fondo de Titulizacion Hipotecaria UCI 12	-	122,651,969	0.42
	GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos	-	142,329,649	0.49
	Hipocat 10, Fondo de Titulizacion de Activos	-	145,247,802	0.50
	Hipocat 11, Fondo de Titulizacion de Activos	-	161,129,085	0.55
	Hipocat 9, Fondo de Titulizacion de Activos	-	98,326,538	0.34
	HT Abanca RMBS I, Fondo de Titulizacion	-	514,616,321	1.76
	IM PASTOR 2, Fondo de Titulizacion Hipotecaria	-	37,922,607	0.13
	IM PASTOR 3, Fondo de Titulizacion Hipotecaria	-	127,345,613	0.43
	IM PASTOR 4, Fondo de Titulizacion de Activos	-	165,850,571	0.57
	MADRID RESIDENCIAL I, Fondo de Titulizacion de Activos	-	288,184,815	0.98
	MADRID RESIDENCIAL II, Fondo de Titulizacion de Activos	-	267,337,287	0.91
	MADRID RMBS I, Fondo de Titulizacion de Activos	-	522,181,155	1.78
	MADRID RMBS II, Fondo de Titulizacion de Activos	-	461,466,103	1.58
	MADRID RMBS III, Fondo de Titulizacion de Activos	-	994,745,911	3.40
	MADRID RMBS IV, Fondo de Titulizacion de Activos	-	749,878,598	2.56
	Miravet S.a r.l., Compartment 2020-1	2020-1	483,759,315	1.65
	Rural Hipotecario XIX Fondo de Titulizacion	-	286,240,739	0.98
	TDA Cajamar 2, Fondo de Titulizacion de Activos	-	81,675,450	0.28
	TDA CAM 7, Fondo de Titulizacion de Activos	-	306,915,616	1.05
	TDA CAM 8, Fondo de Titulizacion de Activos	-	276,637,537	0.94
	TDA CAM 9, Fondo de Titulizacion de Activos	-	294,676,698	1.01
	TDA Ibercaja 3 Fondo de Titulizacion de Activos	-	122,293,486	0.42
	TDA Ibercaja 4 Fondo de Titulizacion de Activos	-	190,535,637	0.65
	TDA Ibercaja 5, Fondo de Titulizacion de Activos	-	202,606,919	0.69
	TDA Ibercaja 6, Fondo de Titulizacion de Activos	-	336,100,975	1.15
	TDA Ibercaja 7, Fondo de Titulizacion de Activos	-	643,205,902	2.20
	TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria	-	44,702,004	0.15
	TDA Tarragona 1, Fondo de Titulizacion de Activos	1	55,196,928	0.19
Spain total			29,281,337,110	100.00
U.K. BTL - post-2014	Atlas Funding 2022-1 PLC	-	343,172,838	3.72
	Canada Square Funding 2020-1 PLC	-	212,805,077	2.31
	Canada Square Funding 2020-2 PLC	-	120,825,152	1.31
	Canada Square Funding 2021-1 PLC	-	157,980,536	1.71
	Canada Square Funding 6 PLC	-	307,101,462	3.33
	Canada Square Funding 7 PLC	-	176,920,103	1.92
	Canterbury Finance No. 3 PLC	-	398,219,172	4.31
	Elstree Funding No.1 PLC	-	133,847,599	1.45
	Elstree Funding No.2 PLC	-	220,391,451	2.39
	Hops Hill No.1 PLC	-	321,952,378	3.49
	Hops Hill No.2 PLC	-	287,927,779	3.12
	Lanebrook Mortgage Transaction 2020-1 PLC	-	246,738,805	2.67
	Lanebrook Mortgage Transaction 2021-1 PLC 2021-1	2021-1	267,784,634	2.90
	Lanebrook Mortgage Transaction 2022-1 PLC	-	329,097,055	3.57
	London Wall Mortgage Capital PLC Fleet 2021-02	Fleet 2021-02	195,397,259	2.12
	London Wall Mortgage Capital PLC Fleet 2021-1	Fleet 2021-1	209,065,808	2.26
	Mortimer BTL 2021-1 PLC	-	213,477,487	2.31
	Mortimer BTL 2022-1 PLC	-	252,049,184	2.73
	Pierpont BTL 2021-1 PLC	-	208,150,232	2.25
	Precise Mortgage Funding 2020-1B PLC	-	229,137,232	2.48
	Stratton BTL Mortgage Funding 2022-1 PLC	-	337,019,081	3.65
	Together Asset Backed Securitisation 2022-1ST1 PLC	-	400,716,045	4.34
	Together Asset Backed Securitisation 2022-CRE1 PLC	-	301,902,517	3.27
	Tower Bridge Funding 2021-1 PLC	-	178,121,513	1.93
	Tower Bridge Funding 2021-2 PLC	-	159,774,747	1.73
	Tower Bridge Funding 2022-1 PLC	-	279,642,985	3.03
	Tudor Rose Mortgages 2021-1 PLC	-	135,177,550	1.46
	Twin Bridges 2020-1 PLC	-	281,843,083	3.05
	Twin Bridges 2021-1 PLC	-	324,618,560	3.52
	Twin Bridges 2021-2 PLC	-	440,292,301	4.77
	Twin Bridges 2022-1 PLC	-	519,841,006	5.63
	Twin Bridges 2022-2 PLC	-	467,674,083	5.07
	Twin Bridges 2022-3 PLC	-	340,888,771	3.69
	Tyne Funding No. 1 PLC	-	231,677,270	2.51
U.K. BTL - post-2014 total			9,231,230,757	100.00
U.K. BTL - pre-2014	Banna RMBS DAC	-	48,081,233	0.40
	Cheshire 2020-1 PLC	-	162,134,217	1.34
	Eurosail PRIME-UK 2007-A PLC	-	40,580,183	0.34
	Great Hall Mortgages No. 1 PLC 2006-01	2006-01	70,601,250	0.58
	Great Hall Mortgages No. 1 PLC 2007-01	2007-01	189,737,850	1.57
	Great Hall Mortgages No. 1 PLC 2007-2	2007-2	183,053,558	1.51
	Harben Finance 2017-1 PLC	-	898,042,010	7.42
	Jupiter Mortgage No.1 PLC	-	2,051,325,998	16.95
	Ludgate Funding PLC 2006-FF1	2006-FF1	52,906,730	0.44
	Ludgate Funding PLC 2007-FF1	2007-FF1	115,100,913	0.95
	Ludgate Funding PLC 2008-W1	2008-W1	131,237,885	1.08
	Mansard Mortgages 2007-2 PLC 2007-2	2007-2	125,616,146	1.04
	Oat Hill No.2 PLC	-	366,382,257	3.03
	Paragon Mortgages (No. 12) PLC	12	369,450,000	3.05
	Ripon Mortgages PLC	-	4,609,061,565	38.08
	Stratton Mortgage Funding 2021-2 PLC	-	1,093,125,248	9.03
	Towd Point Mortgage Funding 2018 - Auburn 12 PLC	-	168,876,271	1.40
	Towd Point Mortgage Funding 2019 - Auburn 13 PLC	.	830,181,955	6.86
	Towd Point Mortgage Funding 2020 - Auburn 14 PLC	-	599,358,954	4.95
U.K. BTL - pre-2014 total			12,104,854,222	100.00
U.K. nonconforming - post-2014	Barley Hill No. 2 PLC	-	139,730,484	4.50
	Brants Bridge 2022-1 PLC	-	222,975,146	7.18
	Ealbrook Mortgage Funding 2022-1 PLC	-	243,436,337	7.84
	Finsbury Square 2021-1 Green PLC	-	332,720,093	10.72
	Finsbury Square 2021-2 PLC	-	226,048,612	7.28
	Genesis Mortgage Funding 2022-1 PLC	-	195,256,341	6.29
	Polaris 2020-1 PLC	-	189,377,132	6.10
	Polaris 2021-1 PLC	-	241,749,189	7.79
	Polaris 2022-1 PLC	-	391,512,019	12.61
	Polaris 2022-2 PLC	-	311,316,302	10.03
	Together Asset Backed Securitisation 2020 – 1 PLC	-	169,279,253	5.45
	Together Asset Backed Securitisation 2021-1ST1 PLC	-	173,278,166	5.58
	Together Asset Backed Securitisation 2022-2ND1 PLC	-	266,942,516	8.60
U.K. noncomforming - post-2014 total			3,103,621,590	100.00
U.K. nonconforming - pre-2014	ALBA 2005 - 1 PLC	-	35,708,955	0.23
	ALBA 2007 - 1 PLC	-	201,719,157	1.27
	Avon Finance No.1 PLC	-	600,347,664	3.79
	Cheshire 2021-1 PLC	-	168,802,162	1.07
	Chester A PLC	-	1,033,246,541	6.52
	Durham Mortgages A PLC	.	1,334,749,921	8.42
	Durham Mortgages B PLC	r	1,236,572,416	7.80
	EMF-UK 2008-1 PLC	-	72,423,794	0.46
	Eurohome UK Mortgages 2007-1 PLC	-	79,783,325	0.50
	Eurohome UK Mortgages 2007-2 PLC	-	122,555,862	0.77
	Eurosail 2006-1 PLC	-	59,961,357	0.38
	Eurosail 2006-2BL PLC	-	77,908,003	0.49
	Eurosail 2006-3NC PLC	-	51,816,104	0.33
	Eurosail 2006-4NP PLC	-	89,467,804	0.56
	Eurosail-UK 2007-1NC PLC	-	101,118,410	0.64
	Eurosail-UK 2007-2NP PLC	-	114,521,609	0.72
	Eurosail-UK 2007-3BL PLC	-	113,139,701	0.71
	Eurosail-UK 2007-4BL PLC	-	144,923,242	0.91
	Eurosail-UK 2007-5NP PLC	-	123,233,486	0.78
	Eurosail-UK 2007-6NC PLC	-	86,681,122	0.55
	Farringdon Mortgages No. 2 PLC	-	14,647,400	0.09
	Harbour No.1 PLC	-	408,665,471	2.58
	Kentmere No. 1 PLC	-	286,662,708	1.81
	Kentmere No. 2 PLC	-	83,406,251	0.53
	Landmark Mortgage Securities No.1 PLC	-	21,925,345	0.14
	Landmark Mortgage Securities No.2 PLC	-	81,613,040	0.52
	Landmark Mortgage Securities No.3 PLC	-	102,365,049	0.65
	Mansard Mortgages 2006-1 PLC	-	58,849,710	0.37
	Mansard Mortgages 2007-1 PLC	-	40,775,463	0.26
	Mortgage Funding 2008-1 PLC	-	209,496,455	1.32
	Newgate Funding PLC 2006-1	2006-1	49,408,176	0.31
	Newgate Funding PLC 2006-2	2006-2	65,907,211	0.42
	Newgate Funding PLC 2006-3	2006-3	110,476,087	0.70
	Newgate Funding PLC 2007-2	2007-2	99,560,410	0.63
	Newgate Funding PLC 2007-3	2007-3	204,914,203	1.29
	Parkmore Point RMBS 2022-1 PLC	-	234,198,660	1.48
	Preferred Residential Securities 05-2 PLC	-	23,697,886	0.15
	Preferred Residential Securities 06-1 PLC	-	35,626,760	0.22
	Residential Mortgage Securities 32 PLC	-	423,627,737	2.67
	ResLoC U.K. 2007-1 PLC	-	170,673,167	1.08
	RMAC Securities No. 1 PLC 2006-NS1	2006-NS1	131,575,672	0.83
	RMAC Securities No. 1 PLC 2007-NS1	2007-NS1	106,344,448	0.67
	Rochester Financing No. 3 PLC	-	151,146,080	0.95
	Southern Pacific Financing 05-B PLC	-	31,363,119	0.20
	Southern Pacific Financing 06-A PLC	-	32,800,462	0.21
	Stanlington No. 2 PLC	-	230,374,877	1.45
	Stratton Hawksmoor 2022-1 PLC	-	1,780,831,112	11.24
	Stratton Mortgage Funding 2020-1 PLC	-	174,096,814	1.10
	Stratton Mortgage Funding 2021-1 PLC	...	321,990,922	2.03
	Stratton Mortgage Funding 2021-3 PLC	-	190,870,459	1.20
	Towd Point Mortgage Funding 2019 Vantage2 PLC	-	447,638,767	2.83
	Towd Point Mortgage Funding 2019-Granite4 PLC	-	1,595,824,731	10.07
	Trinidad Mortgage Securities 2018-1 PLC	-	68,000,228	0.43
	Trinity Square 2021-1 PLC	-	710,028,661	4.48
	Uropa Securities PLC	2007-1B	141,737,913	0.89
	Warwick Finance Residential Mortgages Number Four PLC	-	174,211,174	1.10
	Warwick Finance Residential Mortgages Number Three PLC	-	894,413,949	5.64
	ALBA 2006-2 PLC	-	86,870,798	0.55
U.K. nonconforming - pre-2014 total			15,845,298,011	100.00
UK Prime	Castell 2020-1 PLC	-	131,928,802	0.61
	Castell 2021-1 PLC	-	240,360,527	1.12
	Castell 2022-1 PLC	-	259,342,453	1.21
	Elvet Mortgages 2019-1 PLC	-	248,413,645	1.16
	Elvet Mortgages 2020-1 PLC	-	200,914,891	0.94
	Fosse Master Issuer PLC	-	2,309,261,092	10.75
	Holmes Master Issuer PLC	-	4,367,836,739	20.34
	Lanark Master Issuer PLC	-	4,329,601,388	20.16
	Silverstone Master Issuer PLC	-	9,387,419,786	43.71
U.K. prime total			21,475,079,324	100.00
Grand total			212,564,177,856	100.00

Related Research

European RMBS And ABS Monitor For Q3 2023 Published, Nov. 10, 2023
Credit FAQ Outlines How Product Switches Affect U.K. RMBS, Oct. 30, 2023
S&P Global Ratings Publishes October 2023 Chart Book For EMEA Structured Finance, Oct. 26, 2023
Economic Outlook U.K. Q4 2023: High Rates Keep Growth Muted, Sept. 23, 2023
Asset Price Risks: Overvaluation Persists For Europe's RMBS And Covered Bond Markets, Oct. 4, 2023
Reverse Mortgages In Europe: Product Growth Has Yet To Spur Securitization, July 26, 2023
European Housing Markets Face Sustained Correction, Economists Say, July 20, 2023
EMEA Structured Finance Chart Book, July 18, 2023
European Structured Finance Weathers All The Storms, June 12, 2023
U.K. Residential Mortgage Servicing Flexibility Could Ease Arrears Pain, April 26, 2023
Scenario Analysis: How Much Shock Can U.K. RMBS Take?, March 1, 2023
European RMBS Outlook 2023: Permafrost Or Thaw?, Jan. 12, 2023
Cost Of Living Crisis: Payment Shock Greatest In Legacy U.K. Nonconforming RMBS, Dec. 15, 2022
U.K. Buy-To-Let RMBS: Sheltered But Not Immune To Rate Rises, Nov. 24, 2022
Basis Risk, Not Collateral Performance Affecting U.K. RMBS , Nov. 2, 2022
Cost Of Living Crisis: How Bad Could It Get For Irish Reperforming RMBS?, Oct. 25, 2022
Irish Nonbank Lenders May Capture More Of The Irish Mortgage Market, Oct. 25, 2022
Cost Of Living Crisis: U.K. RMBS 2.0 Has Built-In Resilience, Sept. 6, 2022
U.K. Nonconforming RMBS: Looking Beyond Headline Arrears, Aug. 25, 2022

This report does not constitute a rating action.

Primary Credit Analyst:	Alastair Bigley, London + 44 20 7176 3245; Alastair.Bigley@spglobal.com
Secondary Contacts:	Feliciano P Pereira, CFA, Madrid +34 676 751 559; feliciano.pereira@spglobal.com
	Giovanna Perotti, Milan + 390272111209; Giovanna.Perotti@spglobal.com

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