Summary
- Our European RMBS index tracks the collateral performance of the transactions we rate.
- The Appendix includes frequently asked questions about our methodology for compiling the index. We also list the transactions included in the index, together with their relative weighting within their respective group. Finally, we present the total historical series which contains data from 2004 onwards.
- Quarter-on-quarter total delinquency deteriorations were visible in most sectors. Dutch owner occupied, France/ Belgium, Ireland and all U.K. residential asset classes showed deterioration to varying degree. Dutch buy-to-let (BTL) remained stable, with Italy and Spain registering improvements.
- U.K. pre-2014 BTL and U.K. nonconforming post-2014 have shown notable deteriorations in both total and 90+ delinquencies, with increases in both cases in excess of 3 percentage points. These increases are mostly technical following the addition of two relatively large transactions that show relatively poor performance compared to the rest of their peers. Absent these additions, the increase would have been 1.4 and 1.1 percentage points for U.K. pre-2014 BTL and U.K. nonconforming post-2014 respectively.
- Prepayment rates vary and reflect local market specifics. Prepayment rates for most jurisdictions are broadly in line with the last quarter. We have updated our formula for calculating prepayments when CPR is not reported, which has a marginal impact in previously reported figures for certain indices.
- We have revised upward our housing price forecasts amid improved price resilience across European market. Although, we still anticipate annual declines in 2024 for a number of countries, notably, Italy, Netherlands, Belgium and France. Our longer-term prognosis is one of weak growth for most markets beyond 2024. Please see European Housing Markets: Forecast Brightens Amid Ongoing Correction, Jan. 25, 2023
- Arrears will likely continue to increase as borrowers refinance into the higher-rate environment and /or deal with a softening of the employment outlook and wage growth. However, proactive servicing and forbearance may lead to higher collection rates on delinquent loans than in prior periods of stress.
Table 1
| Total delinquencies (%) | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Q4 2023 | Q3 2023 | Q2 2023 | Q1 2023 | Q4 2022 | ||||||||
| All Countries - Index | 4.5 | 4.1 | 3.7 | 3.9 | 3.5 | |||||||
| France and Belgium | 0.4 | 0.3 | 0.3 | 0.5 | 0.4 | |||||||
| Italy | 2.0 | 2.1 | 2.1 | 1.7 | 1.6 | |||||||
| Ireland | 10.4 | 9.3 | 8.4 | 6.3 | 6.3 | |||||||
| Netherlands | 0.3 | 0.2 | 0.3 | 0.3 | 0.3 | |||||||
| Netherlands BTL | 0.4 | 0.4 | 0.5 | 0.3 | 0.2 | |||||||
| Portugal | 4.0 | 3.9 | 3.9 | 3.8 | 3.6 | |||||||
| Spain | 6.1 | 6.3 | 6.2 | 5.9 | 5.6 | |||||||
| UK Prime | 1.0 | 0.9 | 1.0 | 1.2 | 1.1 | |||||||
| UK BTL | 8.4 | 6.3 | 5.3 | 4.4 | 3.5 | |||||||
| UK BTL - Pre 2014 | 12.6 | 9.5 | 8.0 | 6.4 | 4.9 | |||||||
| UK BTL - Post 2014 | 1.9 | 1.7 | 1.5 | 1.3 | 1.1 | |||||||
| UK NonConf | 20.6 | 18.7 | 15.6 | 13.4 | 12.0 | |||||||
| UK NonConf - Pre 2014 | 23.1 | 21.0 | 18.0 | 15.4 | 13.3 | |||||||
| UK NonConf - Post 2014 | 8.7 | 5.6 | 4.5 | 3.5 | 3.2 | |||||||
| BTL--Buy-to-let. Q--Quarter. | ||||||||||||
Table 2
| Prepayment rate | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (%) | Q4 2023 | Q3 2023 | Q2 2023 | Q1 2023 | Q4 2022 | |||||||
| Prepayment rate | ||||||||||||
| All Countries - Index | 8.8 | 9.0 | 8.8 | 10.4 | 11.5 | |||||||
| France and Belgium | 2.7 | 3.3 | 3.4 | 4.8 | 5.5 | |||||||
| Italy | 5.9 | 5.1 | 4.8 | 4.8 | 3.9 | |||||||
| Ireland | 10.2 | 9.7 | 9.6 | 9.6 | 9.0 | |||||||
| Netherlands | 7.5 | 6.0 | 5.6 | 6.5 | 8.0 | |||||||
| Netherlands BTL | 8.2 | 6.7 | 7.0 | 10.8 | 14.4 | |||||||
| Portugal | 10.6 | 9.8 | 9.1 | 9.5 | 6.8 | |||||||
| Spain | 8.2 | 7.8 | 8.5 | 8.2 | 7.4 | |||||||
| UK Prime | 20.6 | 21.2 | 21.2 | 23.4 | 26.5 | |||||||
| UK BTL | 15.3 | 15.5 | 13.9 | 14.2 | 18.6 | |||||||
| UK BTL - Pre 2014 | 14.3 | 15.7 | 13.8 | 13.9 | 20.0 | |||||||
| UK BTL - Post 2014 | 17.1 | 16.1 | 14.8 | 15.6 | 16.7 | |||||||
| UK NonConf | 17.0 | 17.6 | 16.1 | 14.7 | 16.8 | |||||||
| UK NonConf - Pre 2014 | 13.9 | 14.9 | 13.3 | 13.7 | 17.3 | |||||||
| UK NonConf - Post 2014 | 31.6 | 33.2 | 29.4 | 19.5 | 13.3 | |||||||
| BTL--Buy-to-let. Q--Quarter. | ||||||||||||
Chart 1
Chart 2A
Chart 2B
Chart 3
Chart 4A
Chart 4B
Chart 5
Chart 6
Chart 7A
Chart 7B
Table 4
| New ratings activity as of Q4 2023 | |||||
|---|---|---|---|---|---|
| Closing date | Country | Asset class | Surveillance Analyst | Noteworthy features | |
| Merrion Square Residential 2023-1 DAC | 12-Oct-23 | Ireland | Ireland | Stephen Kemmy | Merrion 2023-1 is a static RMBS transaction securitizing a portfolio of €485.1 million loans (of which €2.25 million are subject to potential write-offs for split loans and properties with legal title issues), comprising owner-occupied, buy-to-let (BTL), commercial assets, and land assets, secured over properties in Ireland. The securitization comprises three purchased portfolios, Nore (42.0% of the pool), Strandhill (31.8%), and Monaco (26.2%). Each of these sub-portfolios were previously securitized in RMBS loan transactions |
| Castell 2023-2 PLC | 15-Nov-23 | United Kingdom | RMBS Prime | Arnaud Checconi | Castell 2023-2 PLC is an RMBS transaction originated by UK Mortgage Lending Ltd. (formerly known as Optimum Credit Ltd.) that securitizes a portfolio of £300 million second-lien mortgage loans secured over properties in the U.K. About 40% of the portfolio comes from the refinancing of Castell 2020-1, whose issuance was called in October 2023. This is the sixth RMBS transaction originated by UK Mortgage Lending that we have rated. The first was Castell 2019-1 PLC. |
| Lanebrook Mortgage Transaction 2023-1 PLC | 20-Nov-23 | United Kingdom | UK BTL - Post 2014 | Arnaud Checconi | Lanebrook Mortgage Transaction 2023-1 PLC is an RMBS transaction securitizing a £400.7 million portfolio of buy-to-let (BTL) mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2022 and 2023 by The Mortgage Lender Ltd. (TML), a specialist mortgage lender, under a forward flow agreement with Shawbrook Bank PLC. The collateral comprises loans granted to experienced portfolio landlords, none of whom have any material adverse credit history. |
| Towd Point Mortgage Funding 2023 - Vantage 3 PLC | 20-Nov-23 | United Kingdom | UK Non Coforming - Pre 2014 | Ganesh Rajwadkar | It securitizes a U.K. nonconforming pool of residential mortgage loans (first-ranking owner-occupied and buy-to-let). It entirely includes the outstanding collateral of an already-rated transaction, Towd Point Mortgage Funding 2019 - Vantage2 PLC (issued in November 2019). |
| Twin Bridges 2023-2 PLC | 20-Nov-23 | United Kingdom | UK BTL - Post 2014 | Vedant Thakur | Twin Bridges 2023-2 PLC (TB 2023-2) is a static RMBS transaction that securitizes a portfolio of buy-to-let (BTL) mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2015 and 2023, with most originated in 2019, by Paratus AMC Ltd., a nonbank specialist lender. The majority were originated under the Foundation Home Loans (FHL) brand, with a small proportion under the Keystone Property Finance and Landbay Partners Ltd. brands. |
| Together Asset Backed Securitisation 2023-CRE-1 PLC 2023-CRE1 | 28-Nov-23 | United Kingdom | UK BTL - Post 2014 | Arnaud Checconi | The transaction is a static transaction that securitizes a portfolio of £380.4 million mortgage loans, secured on commercial (87.5%), mixed-use (10.7%), and residential (1.8%) properties in the U.K. This is the fourth transaction we have rated in the U.K. that securitizes small ticket commercial mortgage loans after Together Asset Backed Securitisation 2022-CRE-1 PLC. |
| Mortimer BTL 2023-1 PLC | 01-Dec-23 | United Kingdom | UK BTL - Post 2014 | Vedant Thakur | Mortimer 2023-1 is a static RMBS transaction that securitizes a portfolio of buy-to-let (BTL) mortgage loans secured on properties in the U.K. LendInvest BTL Ltd. originated the loans in the pool between 2018 and 2023. Of the loans in the pool, 32% come from the Mortimer 2019-1 PLC transaction (which was called on its first optional redemption date in September 2022), whereas 68% are new originations. |
| FCT French Prime Cash 2023 | 08-Dec-23 | France | France | Florent Stiel | FCT French Prime Cash 2023 is a true sale securitization of residential loan receivables originated by Milleis Banque Privée (Milleis), a private and retail banking institution. The seller, Milleis, is the former Barclays France Bank PLC. AnaCap Financial Partners (a European private equity firm) acquired Barclays France in 2017. The pool has a low current indexed loan-to-value (LTV) ratio of 79% compared to the French mortgage market, which is more likely to incur lower loss severities if the borrower defaults. |
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) and 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 arrears 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
a. Total Historical Series - Delinquencies
Chart 8A
Chart 8B
Chart 9A
Chart 9B
b. List Of Transactions Comprising Indices
| Group | Transaction | Outstanding amount (€) | Sub-group (%) |
|---|---|---|---|
| France and Belgium |
BPCE Master Home Loans FCT |
74,108,189,711 | 88.7% |
|
BPCE Home Loans FCT 2017_5 |
3,686,318,581 | 4.4% | |
|
ELIDEII FCT Compartiments 2021-1 |
2,024,935,241 | 2.4% | |
|
CASPR S.à r.l. |
423,873,323 | 0.5% | |
|
ELIDE FCT Compartiment 2014-01 |
127,254,504 | 0.2% | |
|
Elide FCT Compartiment 2018-01 |
578,113,434 | 0.7% | |
|
FCT Elide II Compartiment 2022-01 |
2,180,456,159 | 2.6% | |
|
Harmony French Home Loans FCT 2022-1 |
458,666,900 | 0.5% | |
| France and Belgium Total | 83,587,807,855 | 100.0% | |
| Ireland | Dilosk RMBS No.4 DAC | 225,194,988 | 2.2% |
|
Dilosk RMBS No.5 DAC |
283,200,841 | 2.8% | |
|
Fastnet Securities 16 DAC |
2,016,759,737 | 20.0% | |
|
Fastnet Securities 17 DAC |
463,511,150 | 4.6% | |
|
Fastnet Securities 18 DAC |
2,281,093,643 | 22.7% | |
|
Finance Ireland RMBS No. 3 DAC |
201,044,892 | 2.0% | |
|
Finance Ireland RMBS No. 4 DAC |
293,824,160 | 2.9% | |
|
Finance Ireland RMBS No.5 DAC |
355,452,050 | 3.5% | |
|
Glenbeigh 2 Issuer 2021-2 DAC |
437,310,942 | 4.3% | |
|
Glenbeigh 2 Issuer DAC |
225,216,002 | 2.2% | |
|
Jamestown Residential 2021-1 DAC |
472,606,874 | 4.7% | |
|
Kinbane 2022-RPL 1 DAC |
497,263,294 | 4.9% | |
|
Lansdowne Mortgage Securities No. 1 PLC |
53,620,066 | 0.5% | |
|
Lansdowne Mortgage Securities No. 2 PLC |
107,960,406 | 1.1% | |
|
Primrose Residential 2021-1 DAC |
666,935,157 | 6.6% | |
|
Primrose Residential 2022-1 DAC |
311,840,614 | 3.1% | |
|
Shamrock Residential 2022-1 DAC |
468,211,447 | 4.7% | |
|
Shamrock Residential 2022-2 DAC |
463,884,586 | 4.6% | |
|
Summerhill Residential 2021-1 DAC |
238,756,344 | 2.4% | |
| Ireland Total | 10,063,687,192 | 100.0% | |
| Italy |
Asti Finance S.r.l. 2010 |
60,881,197 | 1.8% |
|
Capital Mortgage S.r.l. 2007-1 |
303,836,679 | 9.2% | |
|
Civitas SPV S.r.l. 2017-1 |
334,460,986 | 10.1% | |
|
CR Volterra 2 SPV S.r.l. |
118,550,293 | 3.6% | |
| Eurohome (Italy) Mortgages S.r.l. | 95,475,832 | 2.9% | |
|
Fanes S.r.l. 2018-1 |
228,951,017 | 6.9% | |
|
F-E Mortgages S.r.l. 2005 |
99,168,338 | 3.0% | |
|
Lanterna Mortgage S.r.l. |
168,048,641 | 5.1% | |
|
Media Finance S.r.l. 2011 |
84,134,138 | 2.5% | |
|
Pontormo RMBS S.r.l. 2017 |
515,212,670 | 15.6% | |
|
Sestante Finance S.r.l. 1 |
63,952,792 | 1.9% | |
|
Sestante Finance S.r.l. 2 |
121,250,351 | 3.7% | |
|
Sestante Finance S.r.l. 3 |
207,055,376 | 6.3% | |
|
Sestante Finance S.r.l. 4 |
213,831,946 | 6.5% | |
|
Valconca SPV S.R.L. |
49,153,840 | 1.5% | |
|
Valsabbina RMBS SPV S.R.L. |
647,640,763 | 19.6% | |
| Italy Total | 3,311,604,860 | 100.0% | |
| Netherlands |
E-MAC NL 2004-I B.V. |
44,223,224 | 0.4% |
|
E-MAC NL 2004-II B.V. |
50,643,036 | 0.5% | |
|
E-MAC NL 2005-I B.V. |
37,841,054 | 0.3% | |
|
E-MAC NL 2005-III B.V. |
90,407,310 | 0.8% | |
|
E-MAC NL 2006-II B.V. |
69,913,491 | 0.6% | |
|
E-MAC Program B.V. Compartment NL 2006-III |
113,434,454 | 1.0% | |
|
E-MAC Program B.V. Compartment NL 2007-I |
90,886,902 | 0.8% | |
| E-MAC Program B.V. Compartment NL 2007-III | 77,321,957 | 0.7% | |
|
E-MAC Program II B.V. Compartment NL 2007-IV |
100,740,023 | 0.9% | |
|
E-MAC Program II B.V. Compartment NL 2008-IV |
41,309,925 | 0.4% | |
|
E-MAC Program III B.V. Compartment NL 2008-I |
31,207,302 | 0.3% | |
|
E-MAC Program III B.V. Compartment NL 2008-II |
18,743,872 | 0.2% | |
|
FORDless STORM 2018 B.V. |
658,744,639 | 6.0% | |
|
Green STORM 2021 B.V. |
518,748,328 | 4.7% | |
|
Green STORM 2022 B.V. |
521,914,009 | 4.8% | |
|
PURPLE STORM 2016 B.V. |
370,110,123 | 3.4% | |
|
SAECURE 17 B.V. |
2,196,457,010 | 20.0% | |
|
SAECURE 19 B.V. |
1,196,373,319 | 10.9% | |
|
SAECURE 20 B.V. |
523,351,010 | 4.8% | |
|
Solitaire I B.V. I |
335,552,605 | 3.1% | |
|
STORM 2019-I B.V. |
2,026,791,784 | 18.5% | |
|
STORM 2020-I B.V. |
1,035,622,999 | 9.4% | |
|
STRONG 2018 B.V. |
812,316,815 | 7.4% | |
| Netherlands Total | 10,962,655,192 | 100.0% | |
| Netherlands BTL |
Domi 2019-1 B.V. |
74,815,169 | 1.7% |
|
Domi 2020-1 B.V. |
136,995,969 | 3.1% | |
|
Domi 2020-2 B.V. |
124,094,785 | 2.8% | |
|
Domi 2021-1 B.V. |
233,980,156 | 5.2% | |
|
Domi 2022-1 B.V. |
292,587,213 | 6.5% | |
|
Dutch Property Finance 2019-1 B.V. |
127,518,705 | 2.8% | |
|
Dutch Property Finance 2020-1 B.V. |
149,648,931 | 3.3% | |
|
Dutch Property Finance 2020-2 B.V. |
199,881,804 | 4.5% | |
|
Dutch Property Finance 2021-1 B.V. |
377,728,332 | 8.4% | |
| Dutch Property Finance 2021-2 B.V. 2021-2 | 350,244,222 | 7.8% | |
|
Dutch Property Finance 2022-1 B.V. |
396,741,298 | 8.8% | |
|
Dutch Property Finance 2022-2 B.V. |
220,739,419 | 4.9% | |
|
Dutch Property Finance 2023-1 B.V. |
471,314,215 | 10.5% | |
|
Jubilee Place 2020-1 B.V. |
99,738,642 | 2.2% | |
|
Jubilee Place 2021-1 B.V. |
187,733,278 | 4.2% | |
|
Jubilee Place 3 B.V. |
289,778,415 | 6.5% | |
|
Jubilee Place 4 B.V. |
355,748,747 | 7.9% | |
|
Jubilee Place 5 B.V. |
396,397,254 | 8.8% | |
| Netherlands BTL Total | 4,485,686,551 | 100.0% | |
| Portugal |
Ares Lusitani - STC, S.A. Embo Mortgages No.1 |
680,979,040 | 18.0% |
|
GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO2 |
83,068,542 | 2.2% | |
|
GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO3 |
139,354,395 | 3.7% | |
|
GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO4 |
147,876,514 | 3.9% | |
|
HipoTotta No. 4 PLC |
324,945,641 | 8.6% | |
|
HipoTotta No. 5 PLC |
353,198,211 | 9.3% | |
|
Lusitano Mortgages No. 4 PLC |
185,598,037 | 4.9% | |
|
Lusitano Mortgages No. 5 PLC |
296,117,994 | 7.8% | |
| Lusitano Mortgages No. 6 DAC | 291,161,065 | 7.7% | |
|
Lusitano Mortgages No. 7 DAC |
762,924,464 | 20.1% | |
|
Magellan Mortgages No. 3 PLC |
182,276,237 | 4.8% | |
|
Magellan Mortgages No. 4 PLC |
207,556,222 | 5.5% | |
|
SAGRES STC - Pelican Mortgages No. 3 PELICAN MORT NO. 3 |
84,454,730 | 2.2% | |
|
TAGUS - Sociedade de Titularizacao de Creditos, S.A. AQUA MORT NO.1 |
50,729,596 | 1.3% | |
| Portugal Total | 3,790,240,685 | 100.0% | |
| Spain |
AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos |
60,198,824 | 0.2% |
|
AyT Colaterales Global Hipotecario FTA CCM I 1 |
216,603,307 | 0.7% | |
|
AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria |
149,895,556 | 0.5% | |
|
AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria |
60,613,977 | 0.2% | |
|
AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria |
144,736,939 | 0.5% | |
|
AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria |
212,643,069 | 0.7% | |
|
AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria |
166,084,426 | 0.6% | |
|
AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria |
206,290,936 | 0.7% | |
|
AyT Goya Hipotecario III Fondo De Titulizacion De Activos |
1,029,690,467 | 3.4% | |
| AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos | 74,338,045 | 0.2% | |
|
AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos |
120,104,264 | 0.4% | |
|
AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos |
259,609,342 | 0.9% | |
|
Bancaja 10, Fondo de Titulizacion de Activos |
502,040,264 | 1.7% | |
|
Bancaja 11, Fondo de Titulizacion de Activos |
478,791,926 | 1.6% | |
|
Bankinter 10, Fondo de Titulizacion de Activos |
157,661,258 | 0.5% | |
|
Bankinter 11 Fondo de Titulizacion Hipotecaria |
100,259,302 | 0.3% | |
|
Bankinter 13, Fondo de Titulizacion de Activos |
232,688,984 | 0.8% | |
|
BBVA RMBS 14, Fondo de Titulizacion de Activos |
282,009,106 | 0.9% | |
|
BBVA RMBS 2, Fondo de Titulizacion de Activos |
982,193,211 | 3.3% | |
|
BBVA RMBS 20, Fondo de Titulizacion de Activos |
1,928,768,678 | 6.4% | |
|
BBVA RMBS 21 Fondo de Titulizacion |
9,975,360,689 | 33.3% | |
|
BBVA RMBS 22, FT |
1,289,712,707 | 4.3% | |
|
BBVA RMBS 5, Fondo de Titulizacion de Activos |
1,544,774,249 | 5.2% | |
|
BBVA RMBS 9, Fondo de Titulizacion de Activos |
537,486,568 | 1.8% | |
|
CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos |
99,984,436 | 0.3% | |
|
Fondo de Titulizacion de Activos Santander Hipotecario 2 |
276,913,339 | 0.9% | |
|
Fondo de Titulizacion de Activos Santander Hipotecario 3 |
563,872,201 | 1.9% | |
|
Fondo de Titulizacion de Activos UCI 11 |
81,725,769 | 0.3% | |
|
Fondo de Titulizacion de Activos UCI 14 |
218,546,087 | 0.7% | |
|
Fondo de Titulizacion de Activos UCI 15 |
277,381,364 | 0.9% | |
|
GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos |
135,073,612 | 0.5% | |
|
Hipocat 10, Fondo de Titulizacion de Activos |
140,862,693 | 0.5% | |
|
Hipocat 11, Fondo de Titulizacion de Activos |
157,396,636 | 0.5% | |
|
Hipocat 9, Fondo de Titulizacion de Activos |
93,921,347 | 0.3% | |
|
HT Abanca RMBS I, Fondo de Titulizacion |
489,247,332 | 1.6% | |
|
IM PASTOR 2, Fondo de Titulizacion Hipotecaria |
36,375,005 | 0.1% | |
|
IM PASTOR 3, Fondo de Titulizacion Hipotecaria |
125,189,734 | 0.4% | |
|
IM PASTOR 4, Fondo de Titulizacion de Activos |
164,335,178 | 0.5% | |
|
MADRID RESIDENCIAL I, Fondo de Titulizacion de Activos |
279,237,276 | 0.9% | |
|
MADRID RESIDENCIAL II, Fondo de Titulizacion de Activos |
259,328,416 | 0.9% | |
|
MADRID RMBS I, Fondo de Titulizacion de Activos |
501,696,564 | 1.7% | |
|
MADRID RMBS II, Fondo de Titulizacion de Activos |
444,506,302 | 1.5% | |
|
MADRID RMBS III, Fondo de Titulizacion de Activos |
963,872,159 | 3.2% | |
|
MADRID RMBS IV, Fondo de Titulizacion de Activos |
726,516,288 | 2.4% | |
|
Miravet S.a r.l., Compartment 2020-1 |
473,977,531 | 1.6% | |
|
Rural Hipotecario XIX Fondo de Titulizacion |
264,771,717 | 0.9% | |
|
TDA Cajamar 2, Fondo de Titulizacion de Activos |
77,701,341 | 0.3% | |
|
TDA CAM 7, Fondo de Titulizacion de Activos |
297,235,608 | 1.0% | |
|
TDA CAM 8, Fondo de Titulizacion de Activos |
265,748,620 | 0.9% | |
|
TDA CAM 9, Fondo de Titulizacion de Activos |
285,969,043 | 1.0% | |
|
TDA Ibercaja 3 Fondo de Titulizacion de Activos |
116,904,862 | 0.4% | |
|
TDA Ibercaja 4 Fondo de Titulizacion de Activos |
180,891,943 | 0.6% | |
|
TDA Ibercaja 5, Fondo de Titulizacion de Activos |
194,424,603 | 0.6% | |
|
TDA Ibercaja 6, Fondo de Titulizacion de Activos |
323,979,911 | 1.1% | |
|
TDA Ibercaja 7, Fondo de Titulizacion de Activos |
620,087,791 | 2.1% | |
|
TDA IBERCAJA ICO-FTVPO, Fondo de Titulizacion Hipotecaria |
40,970,860 | 0.1% | |
|
TDA Tarragona 1, Fondo de Titulizacion de Activos 1 |
53,400,093 | 0.2% | |
| Spain Total | 29,944,601,753 | 100.0% | |
| UK BTL - Post 2014 |
Canada Square Funding 2020-1 PLC |
207,975,121 | 2.4% |
|
Canada Square Funding 2020-2 PLC |
118,860,942 | 1.3% | |
|
Canada Square Funding 2021-1 PLC |
154,344,461 | 1.7% | |
|
Canada Square Funding 2021-2 PLC |
189,094,016 | 2.1% | |
|
Canada Square Funding 6 PLC |
293,490,335 | 3.3% | |
|
Canterbury Finance No. 3 PLC |
322,134,312 | 3.6% | |
|
Elstree Funding No.2 PLC |
209,380,712 | 2.4% | |
|
Hops Hill No.1 PLC |
317,138,498 | 3.6% | |
| Lanebrook Mortgage Transaction 2020-1 PLC | 222,352,927 | 2.5% | |
|
Lanebrook Mortgage Transaction 2021-1 PLC 2021-1 |
257,463,743 | 2.9% | |
|
Lanebrook Mortgage Transaction 2022-1 PLC |
318,711,221 | 3.6% | |
|
London Wall Mortgage Capital PLC Fleet 2021-02 |
178,658,532 | 2.0% | |
|
London Wall Mortgage Capital PLC Fleet 2021-1 |
202,171,863 | 2.3% | |
|
Mortimer BTL 2021-1 PLC |
207,253,156 | 2.3% | |
|
Mortimer BTL 2022-1 PLC |
246,772,888 | 2.8% | |
|
Pierpont BTL 2021-1 PLC |
197,448,344 | 2.2% | |
|
Precise Mortgage Funding 2020-1B PLC |
198,521,118 | 2.2% | |
|
Shawbrook Mortgage Funding 2022-1 PLC |
482,001,672 | 5.5% | |
|
Stratton BTL Mortgage Funding 2022-1 PLC |
309,106,437 | 3.5% | |
|
Together Asset Backed Securitisation 2022-1ST1 PLC |
375,474,695 | 4.3% | |
|
Together Asset Backed Securitisation 2022-CRE1 PLC |
289,556,429 | 3.3% | |
| Tower Bridge Funding 2021-1 PLC | 174,660,859 | 2.0% | |
|
Tower Bridge Funding 2021-2 PLC |
155,162,707 | 1.8% | |
| Tower Bridge Funding 2022-1 PLC | 224,794,818 | 2.5% | |
| Tower Bridge Funding 2023-1 PLC | 324,292,490 | 3.7% | |
|
Tudor Rose Mortgages 2021-1 PLC |
125,746,444 | 1.4% | |
|
Twin Bridges 2020-1 PLC |
277,242,321 | 3.1% | |
|
Twin Bridges 2021-1 PLC |
323,112,041 | 3.7% | |
|
Twin Bridges 2021-2 PLC |
418,734,911 | 4.7% | |
|
Twin Bridges 2022-1 PLC |
492,267,661 | 5.6% | |
|
Twin Bridges 2022-2 PLC |
465,758,894 | 5.3% | |
| Twin Bridges 2022-3 PLC | 324,641,306 | 3.7% | |
|
Tyne Funding No. 1 PLC |
226,405,108 | 2.6% | |
| UK BTL - Post 2014 Total | 8,830,730,984 | 100.0% | |
| UK BTL - Pre 2014 |
Banna RMBS DAC |
44,808,849 | 0.3% |
|
Bridgegate Funding PLC |
2,098,438,791 | 15.7% | |
|
Cheshire 2020-1 PLC |
154,869,891 | 1.2% | |
|
Eurosail PRIME-UK 2007-A PLC |
39,222,837 | 0.3% | |
|
Great Hall Mortgages No. 1 PLC 2006-01 |
68,450,568 | 0.5% | |
|
Great Hall Mortgages No. 1 PLC 2007-01 |
183,035,189 | 1.4% | |
|
Great Hall Mortgages No. 1 PLC 2007-2 |
176,583,918 | 1.3% | |
|
Harben Finance 2017-1 PLC |
857,239,007 | 6.4% | |
|
Jupiter Mortgage No.1 PLC |
1,959,331,739 | 14.7% | |
| Ludgate Funding PLC 2006-FF1 | 50,838,839 | 0.4% | |
|
Ludgate Funding PLC 2007-FF1 |
109,597,824 | 0.8% | |
|
Ludgate Funding PLC 2008-W1 |
124,973,312 | 0.9% | |
|
Mansard Mortgages 2007-2 PLC |
117,624,118 | 0.9% | |
|
Paragon Mortgages (No. 12) PLC 12 |
349,020,000 | 2.6% | |
|
Ripon Mortgages PLC |
4,401,311,157 | 33.0% | |
|
Stratton Mortgage Funding 2021-2 PLC |
1,047,891,116 | 7.9% | |
|
Towd Point Mortgage Funding 2018 - Auburn 12 PLC |
161,156,270 | 1.2% | |
|
Towd Point Mortgage Funding 2019 - Auburn 13 PLC . |
810,950,113 | 6.1% | |
|
Towd Point Mortgage Funding 2020 - Auburn 14 PLC |
586,637,138 | 4.4% | |
| UK BTL - Pre 2014 Total | 13,341,980,675 | 100.0% | |
| UK NonConf - Post 2014 |
Barley Hill No. 2 PLC |
123,361,647 | 3.7% |
|
Ealbrook Mortgage Funding 2022-1 PLC |
206,516,302 | 6.2% | |
|
Finsbury Square 2021-1 Green PLC |
305,180,203 | 9.2% | |
|
Finsbury Square 2021-2 PLC |
156,039,235 | 4.7% | |
|
Genesis Mortgage Funding 2022-1 PLC |
173,352,036 | 5.2% | |
|
Grosvenor Square RMBS 2023-1 PLC |
917,569,880 | 27.7% | |
|
Polaris 2021-1 PLC |
229,738,615 | 6.9% | |
|
Polaris 2022-1 PLC |
328,595,184 | 9.9% | |
|
Polaris 2022-2 PLC |
299,443,691 | 9.1% | |
| Together Asset Backed Securitisation 2020 - 1 PLC | 156,916,514 | 4.7% | |
|
Together Asset Backed Securitisation 2021-1ST1 PLC |
162,848,565 | 4.9% | |
|
Together Asset Backed Securitisation 2022-2ND1 PLC |
248,980,253 | 7.5% | |
| UK NonConf - Post 2014 Total | 3,308,542,124 | 100.0% | |
| UK NonConf - Pre 2014 |
ALBA 2005 - 1 PLC |
34,807,122 | 0.2% |
|
ALBA 2007 - 1 PLC |
193,312,316 | 1.3% | |
|
Cheshire 2021-1 PLC |
165,490,477 | 1.2% | |
|
Chester A PLC |
993,391,367 | 6.9% | |
|
Durham Mortgages A PLC . |
1,267,645,298 | 8.8% | |
|
Durham Mortgages B PLC r |
1,171,605,658 | 8.2% | |
|
EMF-UK 2008-1 PLC |
69,273,863 | 0.5% | |
|
Eurohome UK Mortgages 2007-1 PLC |
77,699,765 | 0.5% | |
|
Eurohome UK Mortgages 2007-2 PLC |
118,616,744 | 0.8% | |
|
Eurosail 2006-1 PLC |
57,700,398 | 0.4% | |
| Eurosail 2006-2BL PLC | 76,049,174 | 0.5% | |
|
Eurosail 2006-3NC PLC |
50,429,573 | 0.4% | |
|
Eurosail 2006-4NP PLC |
86,598,212 | 0.6% | |
|
Eurosail-UK 2007-1NC PLC |
96,613,213 | 0.7% | |
|
Eurosail-UK 2007-2NP PLC |
110,728,799 | 0.8% | |
|
Eurosail-UK 2007-3BL PLC |
108,811,184 | 0.8% | |
|
Eurosail-UK 2007-4BL PLC |
139,341,119 | 1.0% | |
|
Eurosail-UK 2007-5NP PLC |
118,296,138 | 0.8% | |
|
Eurosail-UK 2007-6NC PLC |
84,410,016 | 0.6% | |
|
Farringdon Mortgages No. 2 PLC |
14,001,341 | 0.1% | |
|
Landmark Mortgage Securities No.1 PLC |
21,624,161 | 0.2% | |
|
Landmark Mortgage Securities No.2 PLC |
78,534,983 | 0.5% | |
|
Landmark Mortgage Securities No.3 PLC |
98,032,620 | 0.7% | |
|
Mansard Mortgages 2006-1 PLC |
55,195,767 | 0.4% | |
|
Mansard Mortgages 2007-1 PLC |
38,827,220 | 0.3% | |
|
Mortgage Funding 2008-1 PLC |
202,138,676 | 1.4% | |
|
Newgate Funding PLC 2006-1 |
47,335,590 | 0.3% | |
|
Newgate Funding PLC 2006-2 |
62,829,615 | 0.4% | |
|
Newgate Funding PLC 2006-3 |
106,430,971 | 0.7% | |
|
Newgate Funding PLC 2007-1 |
111,184,305 | 0.8% | |
|
Newgate Funding PLC 2007-2 |
96,392,291 | 0.7% | |
|
Newgate Funding PLC 2007-3 |
196,645,252 | 1.4% | |
|
Parkmore Point RMBS 2022-1 PLC |
229,050,302 | 1.6% | |
|
Preferred Residential Securities 05-2 PLC |
22,970,610 | 0.2% | |
|
Preferred Residential Securities 06-1 PLC |
34,352,012 | 0.2% | |
|
Residential Mortgage Securities 32 PLC |
409,083,340 | 2.8% | |
|
ResLoC U.K. 2007-1 PLC |
165,796,737 | 1.2% | |
|
RMAC Securities No. 1 PLC 2006-NS1 |
126,115,604 | 0.9% | |
|
RMAC Securities No. 1 PLC 2006-NS2 |
92,979,344 | 0.6% | |
|
RMAC Securities No. 1 PLC 2006-NS3 |
116,961,735 | 0.8% | |
|
RMAC Securities No. 1 PLC 2006-NS4 |
212,899,935 | 1.5% | |
|
RMAC Securities No. 1 PLC 2007-NS1 |
102,500,881 | 0.7% | |
|
Rochester Financing No. 3 PLC |
145,058,442 | 1.0% | |
|
Southern Pacific Financing 05-B PLC |
30,143,600 | 0.2% | |
|
Southern Pacific Financing 06-A PLC |
31,917,492 | 0.2% | |
|
Southern Pacific Securities 06-1 PLC |
24,492,046 | 0.2% | |
|
Stanlington No. 2 PLC |
222,142,463 | 1.5% | |
|
Stratton Hawksmoor 2022-1 PLC |
1,711,170,824 | 11.9% | |
|
Stratton Mortgage Funding 2020-1 PLC |
167,476,257 | 1.2% | |
|
Stratton Mortgage Funding 2021-1 PLC ... |
312,038,446 | 2.2% | |
|
Stratton Mortgage Funding 2021-3 |
183,685,179 | 1.3% | |
|
Towd Point Mortgage Funding 2019 Vantage2 PLC |
435,368,144 | 3.0% | |
|
Towd Point Mortgage Funding 2019-Granite4 PLC |
1,495,434,476 | 10.4% | |
|
Trinity Square 2021-1 PLC |
678,523,838 | 4.7% | |
|
Uropa Securities PLC 2007-1B |
136,780,106 | 1.0% | |
|
Warwick Finance Residential Mortgages Number Four PLC |
169,439,646 | 1.2% | |
|
Warwick Finance Residential Mortgages Number Three PLC |
867,183,905 | 6.0% | |
|
ALBA 2006-2 PLC |
84,240,036 | 0.6% | |
| UK NonConf - Pre 2014 Total | 14,357,798,628 | 100.0% | |
| UK Prime |
Brants Bridge 2022-1 PLC |
224,313,624 | 1.1% |
|
Canada Square Funding 7 PLC |
183,960,958 | 0.9% | |
|
Castell 2021-1 PLC |
228,351,231 | 1.1% | |
|
Castell 2022-1 PLC |
240,811,031 | 1.2% | |
|
Elvet Mortgages 2019-1 PLC |
109,391,421 | 0.5% | |
|
Elvet Mortgages 2020-1 PLC |
114,040,703 | 0.6% | |
|
Fosse Master Issuer PLC |
2,124,391,798 | 10.3% | |
|
Holmes Master Issuer PLC |
3,851,415,070 | 18.6% | |
|
Hops Hill No.2 PLC |
314,292,780 | 1.5% | |
|
Lanark Master Issuer PLC |
4,178,784,281 | 20.2% | |
| Silverstone Master Issuer PLC | 9,153,858,955 | 44.2% | |
| UK Prime Total | 20,723,611,853 | 100.0% | |
| Grand Total | 206,708,948,352 | 100.0% |
Related Research
- Unraveling Irish Reperforming RMBS Uncertainty, Jan. 30, 2024
- European RMBS And ABS Monitor Q4 2023, Jan. 25, 2024
- European Housing Markets: Forecast Brightens Amid Ongoing Correction, Jan. 25, 2023
- European Structured Finance Outlook 2024, Jan. 9, 2024
- U.K. Economic Outlook 2024: More Stagflation Ahead, Nov. 27, 2023
- 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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