Summary
- Our European RMBS index tracks the collateral performance of the transactions we rate.
- Quarter-on-quarter total delinquencies were stable in most indices, with notable exceptions being U.K. nonconforming pre-2014, Ireland other, UK BTL post 2014, and Dutch BTL. The increase in UK BTL post 2014 and Dutch BTL relates to a relatively small number of specific transactions rather than an across the board deterioration.
- Nine out of 53 U.K. nonconforming pre-2014 transactions active in Q2 2024 experienced arrears increases of more than two percentage points.
- Prepayment rates vary and reflect local market specifics. Prepayment rates for most jurisdictions are broadly in line with the previous quarter. The increase in the prepayment rate in U.K. prime is mainly driven by the higher prepayment rate, in particular for three deals and the redemption of Elvet Mortgages 2019-1.
- For several jurisdictions, arrears will likely continue to increase as borrowers refinance into the higher-rate environment and/or deal with softening labor markets and wage growth. However, proactive servicing and forbearance may increase collection rates for delinquent loans than in previous periods of stress.
- 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 containing data from 2004.
For a more dynamic, visual, and comparative view of the data presented in this report, access our new interactive European RMBS Index Dashboard here. The dashboard tracks the collateral performance of all our rated European RMBS transactions and enables the filtering of data to identify key metrics and trends.
Table 1
| Total delinquencies (%) | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Q2 2024 | Q1 2024 | Q4 2023 | Q3 2023 | Q2 2023 | ||||||||
| All countries - index | 3.9 | 4.0 | 4.8 | 4.3 | 3.9 | |||||||
| France and Belgium | 0.3 | 0.3 | 0.3 | 0.3 | 0.3 | |||||||
| Italy | 2.2 | 2.0 | 2.0 | 2.1 | 2.1 | |||||||
| Ireland prime | 0.9 | 0.9 | 0.8 | 0.7 | 0.7 | |||||||
| Ireland other | 27.0 | 24.4 | 22.6 | 19.7 | 17.4 | |||||||
| Netherlands | 0.2 | 0.2 | 0.2 | 0.2 | 0.3 | |||||||
| Netherlands BTL | 0.8 | 0.3 | 0.5 | 0.4 | 0.5 | |||||||
| Portugal | 4.3 | 4.2 | 4.0 | 3.9 | 3.9 | |||||||
| Spain | 6.7 | 6.6 | 6.5 | 6.3 | 6.2 | |||||||
| U.K. prime | 0.8 | 0.8 | 1.0 | 0.9 | 1.0 | |||||||
| U.K. BTL | 6.7 | 6.3 | 8.0 | 5.9 | 5.1 | |||||||
| U.K. BTL - pre 2014 | 11.7 | 11.3 | 12.8 | 9.5 | 7.9 | |||||||
| U.K. BTL - post 2014 | 2.4 | 2.0 | 1.8 | 1.6 | 1.4 | |||||||
| U.K. nonconf | 22.3 | 22.0 | 20.7 | 18.7 | 15.6 | |||||||
| U.K. nonconf - pre 2014 | 27.0 | 24.7 | 23.2 | 20.9 | 18.0 | |||||||
| U.K. nonconf - post 2014 | 9.2 | 9.8 | 8.8 | 5.6 | 4.5 | |||||||
| BTL--Buy-to-let. Q--Quarter. | ||||||||||||
Table 2
| Prepayment rate | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (%) | Q2 2024 | Q1 2024 | Q4 2023 | Q3 2023 | Q2 2023 | |||||||
| Prepayment rate | ||||||||||||
| All Countries - Index | 7.5 | 6.8 | 8.9 | 9.1 | 9.0 | |||||||
| France and Belgium | 2.2 | 1.9 | 2.7 | 3.3 | 3.4 | |||||||
| Italy | 4.9 | 4.3 | 5.6 | 5.1 | 4.8 | |||||||
| Ireland Prime | 14.4 | 13.5 | 10.6 | 12.1 | 15.2 | |||||||
| Ireland Other | 8.9 | 7.5 | 9.8 | 9.2 | 8.9 | |||||||
| Netherlands | 4.9 | 5.4 | 6.1 | 6.0 | 5.6 | |||||||
| Netherlands BTL | 10.1 | 8.7 | 9.6 | 6.7 | 7.0 | |||||||
| Portugal | 10.1 | 10.1 | 10.6 | 9.8 | 9.1 | |||||||
| Spain | 7.7 | 7.9 | 8.6 | 7.8 | 8.5 | |||||||
| UK Prime | 38.4 | 31.0 | 22.0 | 21.2 | 21.5 | |||||||
| UK BTL | 14.3 | 12.6 | 14.4 | 15.3 | 13.5 | |||||||
| UK BTL - Pre 2014 | 14.9 | 13.1 | 13.8 | 15.8 | 13.9 | |||||||
| UK BTL - Post 2014 | 14.9 | 13.0 | 15.8 | 15.5 | 13.7 | |||||||
| UK NonConf | 15.1 | 15.1 | 16.0 | 17.2 | 16.1 | |||||||
| UK NonConf - Pre 2014 | 10.8 | 12.5 | 12.9 | 14.9 | 13.3 | |||||||
| UK NonConf - Post 2014 | 26.9 | 26.7 | 30.7 | 31.0 | 29.4 | |||||||
| 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 Q2 2024 | |||||
|---|---|---|---|---|---|
| Closing date | Country | Asset class | Surveillance Analyst | Noteworthy points | |
| Kinbane 2024-RPL 1 DAC | April 8, 2024 | Ireland | Ireland reperforming | Matt Cosgrove, CFA | Kinbane 2024-RPL 1 DAC is a static RMBS transaction that securitizes a portfolio of €302.3 million loans, which comprises mostly (87.3%) owner-occupied and some BTL mortgage loans. The Governor and Company of the Bank of Ireland (BOI), KBC Bank Ireland PLC (KBC), and ACC Bank PLC (ACC) originated the majority of the loans. ICS Building Society originated a small portion of the pool. Of the loans, €290.2 million are secured over residential properties in Ireland, so credit is only given to this portion in the credit and cash flow analysis, and €12.1 million are unsecured. |
| Trinity Square 2021-1 PLC . | April 11, 2024 | U.K. | U.K. nonconf - pre 2014 | Susan Tu | Trinity Square 2021-1 is a static RMBS transaction that securitizes a portfolio of £657 million owner-occupied and BTL mortgage loans secured on properties in the U.K. The transaction is a refinancing of the Trinity Square 2021-1 PLC transaction, which closed in March 2021. The original Trinity Square PLC 2021-1 transaction was a refinancing of the Trinity Square 2015-1 PLC and Trinity Square 2016-1 PLC transactions, which closed in December 2015 and February 2016, respectively. We consider the collateral to be nonconforming based on the prevalence of loans to self-certified borrowers and borrowers with adverse credit history, such as prior county court judgments (CCJs), an individual voluntary arrangement, or a bankruptcy order. |
| Jubilee Place 6 B.V. | April 20, 2024 | Netherlands | Netherlands BTL | Rocio Romero | Jubilee Place 6 is an RMBS transaction that securitizes a portfolio of BTL mortgage loans secured on properties located in the Netherlands. This is the sixth Jubilee Place transaction, following Jubilee Place 2020-1, 2021-1, 3, 4, and 5, which were also rated by S&P Global Ratings. |
| Rural Hipotecario XX, FT | April 30, 2024 | Spain | Spain | Rocio Romero | The transaction securitizes a portfolio of Spanish first-ranking residential mortgage loans that Cajasiete, Caja Rural, S.C.C., Caja Rural de Zamora, C.C., Caja Rural de Aragón, S.C.C., Caja Rural de Extremadura, S.C.C., and Caja Rural de Gijon, S.C.A.C. originated. The five originators are Spanish cooperativas de crédito (credit unions) with a strong regional and rural presence in their home markets. This is the second Rural Hipotecario transaction that we have rated. The loans in the pool are highly concentrated in the Extremadura (32.07%), Canary Islands (25.45%), Castilla-Leon (15.94%), and Aragon (16.21%) regions. The pool is very seasoned, with weighted-average seasoning of 86 months. |
| Miltonia Mortgage Finance S.r.l. | May 9, 2024 | Italy | Italy | Agustina Lopreiato | Miltonia Mortgage Finance is a static RMBS transaction that securitizes a pool of Italian residential mortgage loans mainly granted to individuals. The portfolio comprises performing loans and loans in arrears. The loans in the pool were originated mostly between 2007 and 2011, by three different banks, namely: Barclays Bank PLC, Milan branch; Macquarie Bank Ltd.; and Banca Woolwich S.p.A. |
| Tower Bridge Funding 2024-2 PLC | 09-May-2024 | United Kingdom | U.K. BTL - post 2014 | Arnaud Checconi | This is a U.K. RMBS transaction that securitizes a portfolio of BTL and owner-occupied mortgages. Belmont Green Finance Ltd. (BGFL), a nonbank specialist lender, originated the loans in the preliminary pool between 2017 and 2024 via its specialist mortgage lending brand, Vida Homeloans. Approximately 65.6% of the assets in the transaction were previously securitized in prior Tower Bridge transactions that we rated. A further 2.8% were previously securitized in prior Tower Bridge transactions that we did not rate. |
| Molossus BTL 2024-1 PLC | May 10, 2024 | U.K. | U.K. BTL - post 2014 | Susan Tu | Molossus 2024-1 is a static RMBS transaction that securitizes a portfolio of BTL mortgage loans secured on properties in the U.K. The loans were originated by ColCap Financial UK Ltd. and Molo Holdings No.1 Ltd. between 2019 and 2024. Of the pool, 40.3% is newly originated with low seasoning of less than two years. |
| Lanebrook Mortgage Transaction 2024-1 PLC | May 14, 2024 | U.K. | U.K. BTL - post 2014 | James Gayer | Lanebrook Mortgage Transaction 2024-1 PLC is an RMBS transaction securitizing a £557.4 million portfolio, including 5% of risk retention, of BTL mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2020 and 2024 with the majority (85%) in 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. |
| Auburn 15 PLC | May 17, 2024 | U.K. | U.K. BTL - pre 2014 | Vedant Thakur | This transaction is a refinancing of Towd Point Mortgage Funding 2018 - Auburn 12 PLC (Auburn 12), Towd Point Mortgage Funding 2019 - Auburn 13 PLC (Auburn 13), and Towd Point Mortgage Funding 2020 - Auburn 14 PLC (Auburn 14). On the closing date, the seller purchased the beneficial interest in the mortgage loans from the Auburn 12 and Auburn 14 transactions before selling it to the issuer. On July 22, 2024, the issuer draw on the class A1 loan note to purchase the beneficial interest in the mortgage loans from the Auburn 13 transaction. We based our credit analysis on a pool of £1.45 billion (as of April 2024). This includes the Auburn 12, 13, and 14 transactions. The pool comprises mainly first-lien U.K. BTL residential mortgage loans (94.7%) that Capital Home Loans Ltd. (CHL) originated. |
| Together Asset Backed Securitisation 2024-1ST1 PLC | May 22, 2024 | U.K. | U.K. nonconf - post 2014 | Ganesh Rajwadkar | Together 2024-1ST1 is a static RMBS transaction, securitizing a portfolio of up to £378.7 million first-lien owner-occupied and BTL mortgage loans 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. are wholly owned subsidiaries of Together Financial Services Ltd. (Together). Product switches and loan substitution are permitted under the transaction documents. Together Personal Finance Ltd. and Together Commercial Finance Ltd. originated the loans in the pool between 2015 and 2022. |
| FCT ELIDE II Compartiment 2024-01 | May 23, 2024 | France | France | Sandra Fronteau | The issuer is a French securitization fund ("Fonds Commun de Titrisation" [FCT]), which is bankruptcy remote by law. This is the second Compartiment created under this issuer, Elide II FCT. BRED Banque Populaire S.A. (A/Stable/A-1), the transaction's originator and servicer, is part of the second-largest retail banking group in France, Groupe BPCE. This originator has previously executed several private and public cash and synthetic securitizations |
| Barrow Funding PLC | May 28, 2024 | U.K. | U.K. nonconf - pre 2014 | Abhijit Pawar | The portfolio comprises residential owner-occupied loans (including self-certified loans). The seller (The Bank of Scotland PLC; BoS) retained the portfolio on its books. The pool is well seasoned. All the loans are first-lien U.K. owner-occupied self-certified residential mortgage loans. The loans are secured on properties in England, Wales, Northern Ireland, and Scotland and were originated between 2003 and 2009. Of the pool, 87% of loans are interest-only, and 19.6% of the mortgage loans are currently in arrears exceeding (or equal to) one month. |
| Dilosk RMBS No.9 DAC | May 28, 2024 | Ireland | Ireland other | Matt Cosgrove, CFA | Dilosk RMBS No.9 DAC is a static RMBS transaction that securitizes a portfolio of BTL mortgage loans secured over residential properties in Ireland. The loans in the pool were originated by Dilosk DAC (Dilosk), a nonbank specialist lender, under its ICS Mortgages brand over the last six years. Dilosk acquired the ICS brand, mortgage platform, broker network, and a portfolio of mortgages from Bank of Ireland in September 2014. The transaction is primarily a refinance of the existing Dilosk RMBS No. 4 DAC transaction, which closed in 2021. These loans constitute 55.46% of the pool. The issuer redeemed and warehoused the Dilosk RMBS No.4 notes on Feb. 20, 2024. The remaining 44.54% of the transaction comprises newly originated loans. |
| Hops Hill No.4 PLC | May 30, 2024 | U.K. | U.K. BTL - post 2014 | Arnaud Checconi | This is an RMBS transaction that securitizes a portfolio of BTL mortgage loans secured on properties in the U.K. The mortgage portfolio is approximately £476 million as of May 2, 2024, plus a prefunding amount. The transaction is a refinancing of Hops Hill No.1 PLC, which closed in 2021, plus some newly-originated loans by Keystone Property Finance Ltd. (Keystone). |
| Atlas Funding 2024-1 PLC | May 31, 2024 | U.K. | U.K. BTL - post 2014 | Vedant Thakur | At closing, the issuer prefunded the acquisition of an additional portfolio (subject to compliance with the respective eligibility criteria) of up to 13.69% that may be purchased before and up to the first interest payment date (IPD). The loans in the pool were originated between 2018 and 2024 by Lendco Ltd., a non-bank specialist lender. |
| Stratton Mortgage Funding 2024-3 PLC | June 11, 2024 | U.K. | U.K. nonconf - pre 2014 | Doug Paterson | This a refinancing of Stratton Mortgage Funding 2020-1 PLC (Stratton 2020-1) and Stratton Mortgage Funding 2021-3 PLC (Stratton 2021-3). The pool comprises first-ranking nonconforming, owner-occupied, and BTL mortgage loans secured on properties in the U.K. and a small proportion (approximately 6.05% of the pool) of commercial loans also secured on properties in the U.K., originated by NRAM Ltd. The latter portfolio has not been previously securitized (referred to throughout this report as Wylam commercial). The pool is well-seasoned and has high exposure to interest-only loans in the pool at 89.2%. |
| Domi 2024-1 B.V. | June 13, 2024 | Netherlands | Netherlands BTL | Feliciano Pereira, CFA | Domi 2024-1 is a static RMBS transaction that securitizes a portfolio of €321.7 million BTL mortgage loans (as of April 30, 2024) secured on properties in the Netherlands. The loans in the pool were originated by Domivest B.V. between December 2017 and April 2024. This is the seventh in the series of Domi RMBS securitizations. Around 20% of the loans in Domi 2024-1 are currently securitized in Domivest's inaugural transaction, Domi 2019-1 B.V., which is expected to be terminated on its June 2024 call date. |
| Exmoor Funding 2024-1 PLC | June 16, 2024 | U.K. | U.K. prime | Arnaud Checconi | This is an RMBS transaction that securitizes a portfolio of retirement interest-only (RIO), term interest-only (TIO), and repayment owner-occupied mortgage loans secured on U.K. properties. The mortgage portfolio is approximately £208 million as of April 15, 2024. LiveMore Capital Ltd. (LMC) originated the loans. We consider the collateral to be prime, based on the originator's conservative lending criteria and that none of the loans are in arrears or related to borrowers currently under a bankruptcy proceeding. |
| Residential Mortgage Securities 33 PLC | June 18, 2024 | U.K. | U.K. nonconf - pre 2014 | Aarondeep Hothi | Residential Mortgage Securities 33 PLC (RMS 33) is a static RMBS transaction that securitizes a portfolio of owner-occupied and BTL mortgage loans secured on properties in the U.K. The transaction is a refinancing of Residential Mortgage Securities 32 PLC (RMS 32 PLC), which closed in August 2020, and no additional assets were added as part of the refinancing. We consider the collateral to be nonconforming based on the prevalence of loans to borrowers with prior adverse credit history, such as prior CCJs (23.5%) and borrowers who self-certified their income at origination (77.9%). The loans in the pool were originated between 1997 and 2014. |
| Finance Ireland RMBS No. 7 DAC | June 21, 2024 | Ireland | Ireland other | Stephen Kemmy | Finance Ireland RMBS No. 7 DAC is a static RMBS transaction that securitizes a portfolio of €264.05 million owner-occupied and BTL mortgage loans secured on properties in Ireland. The loans in the pool were originated between 2016 and 2024 by Finance Ireland Credit Solutions DAC (Finance Ireland) and Pepper Finance Corp. (Ireland) DAC (Pepper). Finance Ireland is a nonbank specialist lender, which purchased Pepper's residential mortgage business in 2018. |
| BBVA RMBS 23, Fondo de Titulizacion | June 24, 2024 | Spain | Spain | Feliciano Pereira, CFA | BBVA RMBS 23, Fondo de Titulizacion (BBVA RMBS 23) is a static RMBS transaction. The €5,591,796,956 pool comprises 51,476 mortgage loans, originated by Banco Bilbao Vizcaya Argentaria S.A. (BBVA), Catalunya Caixa S.A., and Unnim Banc (the last two are now part of BBVA). The assets are first-ranking mainly owner-occupied loans secured against properties in Spain. Previously securitized loans in other BBVA RMBS transactions represent 55% of the pool. The remaining loans have never been securitized before and of those the vast majority have been originated since 2022. The loans originated by BBVA, defined as "flexible" loans due to a set of amendments allowed for each loan, represent 78.4% of the portfolio. |
| Summerhill Residential 2024-1 DAC | June 24, 2024 | Ireland | Ireland other | Matt Cosgrove, CFA | Summerhill Residential 2024-1 is a static RMBS transaction that securitizes a €227 million portfolio of performing and reperforming owner-occupied and BTL mortgage loans secured over residential properties in Ireland. The securitization comprises a purchased portfolio, which was previously securitized in Summerhill Residential 2021-1 DAC. Irish Nationwide Building Society, Bank of Scotland PLC, Bank of Scotland (Ireland) Ltd., Nua Mortgages Ltd., and Start Mortgages DAC originated the loans. |
| Merrion Square Residential 2024-1 DAC . | July 10, 2024 | Ireland | Ireland other | Matt Cosgrove, CFA | Merrion Square 2024-1 is a static RMBS transaction that securitizes a portfolio of loans totaling €637.5 million. The portfolio consists of performing and reperforming owner-occupied and BTL mortgage loans secured over residential properties in Ireland. The securitization comprises assets previously contained in the RMBS transaction Primrose Residential 2021-1 DAC, which were earlier securitized in two different RMBS transactions, ERLS 2019 PL1 and Grand Canal Securities 1 (GCS1). They aggregate assets from three Irish originators. The loans were mostly originated between 2003 and 2009 (more than 87% of the pool was originated in this period) by Permanent TSB PLC, Irish Nationwide Building Society, and Springboard Mortgages Ltd. |
Summary Of Methodology For Our European RMBS Index
What is included in the index?
A transaction is included after nine months since the closing date as we expect its 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 change will lower the index's denominator and may give an overly positive performance impression.
Are esoteric RMBS transactions included?
This is assessed 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?
The data is compiled from investor reports based on each transaction's definition of arrears.
What is the definition of total delinquencies?
Total delinquencies are arrears for one or more calendar months.
Is the index loan count or dollar weighted?
We calculate the index as the current balance of loans in each arrears' status, divided by each transaction's current balance. 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 previous quarter(s)?
When a transaction redeems, it does not contribute to the index beyond that point and does not affect reported values for previous quarter(s).
When do we cut off the index for a given quarter?
The cut off is based 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?
This is based on the assets' origination date. If an asset pool 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 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 indexes, for example, the U.K. and the 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 be included in 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?
Nonconforming collateral has no standard market definition . Broadly speaking, it does not meet the definition of prime, mainly because the pool has 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.).
How are the Irish indices segmented?
We divide Irish RMBS transactions between "Ireland prime" and "Ireland other". This serves to better illustrate diverging performance between prime and other collateral types (typically nonconforming or reperforming) in this jurisdiction. Irish prime includes prime buy-to-let (BTL) collateral.
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 Home Loans FCT 2017_5 | 3,391,839,759 | 15.6 |
| CASPR S.à r.l. | 391,321,199 | 1.8 | |
| ELIDE FCT Compartiment 2014-01 | 116,868,881 | 0.5 | |
| Elide FCT Compartiment 2018-01 | 532,839,689 | 2.4 | |
| ELIDEII FCT Compartiments 2021-1 | 1,909,367,341 | 8.8 | |
| FCT Elide II Compartiment 2022-01 | 2,062,654,641 | 9.5 | |
| FCT Opera 2023 | 12,917,731,275 | 59.4 | |
| Harmony French Home Loans FCT 2022-1 | 427,324,227 | 2.0 | |
| France and Belgium total | 21,749,947,012 | 100.0 | |
| Ireland other | Glenbeigh 2 Issuer 2021-2 DAC | 393,915,308 | 7.7 |
| Jamestown Residential 2021-1 DAC | 455,212,428 | 8.9 | |
| Kinbane 2022-RPL 1 DAC | 468,034,160 | 9.2 | |
| Lansdowne Mortgage Securities No. 1 PLC | 51,159,314 | 1.0 | |
| Lansdowne Mortgage Securities No. 2 PLC | 102,568,827 | 2.0 | |
| Mulcair securities No. 3 DAC | 237,635,588 | 4.7 | |
| Portman Square 2023-NPL1 DAC | 389,024,227 | 7.6 | |
| Primrose Residential 2021-1 DAC | 637,442,936 | 12.5 | |
| Primrose Residential 2022-1 DAC | 293,141,605 | 5.7 | |
| Proteus RMBS DAC | 644,167,381 | 12.6 | |
| Shamrock Residential 2022-1 DAC | 444,320,903 | 8.7 | |
| Shamrock Residential 2022-2 DAC | 446,465,894 | 8.7 | |
| Shamrock Residential 2023-1 DAC | 314,240,269 | 6.2 | |
| Summerhill Residential 2021-1 DAC . | 227,000,068 | 4.4 | |
| Ireland other total | 5,104,328,907 | 100.0 | |
| Ireland prime | Dilosk RMBS No.5 DAC | 255,156,292 | 4.7 |
| Fastnet Securities 16 DAC | 1,868,366,603 | 34.5 | |
| Fastnet Securities 17 DAC | 422,280,410 | 7.8 | |
| Fastnet Securities 18 DAC | 2,108,948,778 | 38.9 | |
| Finance Ireland RMBS No. 3 DAC | 146,917,297 | 2.7 | |
| Finance Ireland RMBS No. 4 DAC | 279,686,453 | 5.2 | |
| Finance Ireland RMBS No.5 DAC | 338,133,900 | 6.2 | |
| Ireland prime total | 5,419,489,732 | 100.0 | |
| Italy | Civitas SPV S.r.l. 2017-1 | 307,461,385 | 11.1 |
| CR Volterra 2 SPV S.r.l. | 108,124,506 | 3.9 | |
| Eurohome (Italy) Mortgages S.r.l. | 90,927,230 | 3.3 | |
| Fanes S.r.l. 2018-1 | 210,214,767 | 7.6 | |
| F-E Mortgages S.r.l. 2005 | 90,356,387 | 3.3 | |
| Media Finance S.r.l. | 232,663,905 | 8.4 | |
| Media Finance S.r.l. 2011 | 73,315,360 | 2.6 | |
| Pontormo RMBS S.r.l. 2017 | 466,527,578 | 16.9 | |
| Sestante Finance S.r.l. 1 | 60,429,668 | 2.2 | |
| Sestante Finance S.r.l. 2 | 115,237,128 | 4.2 | |
| Sestante Finance S.r.l. 3 | 197,261,998 | 7.1 | |
| Sestante Finance S.r.l. 4 | 204,980,317 | 7.4 | |
| Valsabbina RMBS SPV S.R.L. | 609,587,316 | 22.0 | |
| Italy total | 2,767,087,545 | 100.0 | |
| Netherlands | Delphinus 2023-I B.V. | 516,210,787 | 3.7 |
| E-MAC NL 2004-I B.V. | 38,349,113 | 0.3 | |
| E-MAC NL 2004-II B.V. | 46,310,690 | 0.3 | |
| E-MAC NL 2005-I B.V. | 35,521,358 | 0.3 | |
| E-MAC NL 2005-III B.V. | 84,640,367 | 0.6 | |
| E-MAC NL 2006-II B.V. | 66,278,341 | 0.5 | |
| E-MAC Program B.V. Compartment NL 2006-III | 106,265,557 | 0.8 | |
| E-MAC Program B.V. Compartment NL 2007-I | 86,732,474 | 0.6 | |
| E-MAC Program B.V. Compartment NL 2007-III | 71,986,566 | 0.5 | |
| E-MAC Program II B.V. Compartment NL 2007-IV | 93,323,126 | 0.7 | |
| E-MAC Program II B.V. Compartment NL 2008-IV | 37,806,937 | 0.3 | |
| E-MAC Program III B.V. Compartment NL 2008-I | 29,739,405 | 0.2 | |
| E-MAC Program III B.V. Compartment NL 2008-II | 17,239,771 | 0.1 | |
| FORDless STORM 2018 B.V. | 627,864,525 | 4.5 | |
| Green STORM 2021 B.V. | 518,239,326 | 3.7 | |
| Green STORM 2022 B.V. | 519,849,808 | 3.7 | |
| Orcinus 2023 B.V. | 1,851,404,522 | 13.3 | |
| PURPLE STORM 2016 B.V. | 351,389,760 | 2.5 | |
| SAECURE 17 B.V. | 4,419,294,388 | 31.6 | |
| SAECURE 19 B.V. | 1,157,009,942 | 8.3 | |
| SAECURE 20 B.V. | 499,745,440 | 3.6 | |
| SAECURE 21 B.V. | 598,911,005 | 4.3 | |
| Solitaire I B.V. I | 330,718,740 | 2.4 | |
| STORM 2020-I B.V. | 1,040,028,399 | 7.4 | |
| STRONG 2018 B.V. | 826,508,880 | 5.9 | |
| Netherlands total | 13,971,369,226 | 100.0 | |
| Netherlands BTL | Domi 2019-1 B.V. | 66,696,623 | 1.5 |
| Domi 2020-1 B.V. | 123,871,086 | 2.7 | |
| Domi 2020-2 B.V. | 119,050,357 | 2.6 | |
| Domi 2021-1 B.V. | 212,627,594 | 4.7 | |
| Domi 2022-1 B.V. | 280,115,230 | 6.1 | |
| Domi 2023-1 B.V. | 265,040,077 | 5.8 | |
| Dutch Property Finance 2020-1 B.V. | 130,734,170 | 2.9 | |
| Dutch Property Finance 2020-2 B.V. | 188,589,636 | 4.1 | |
| Dutch Property Finance 2021-1 B.V. | 347,422,161 | 7.6 | |
| Dutch Property Finance 2021-2 B.V. 2021-2 | 325,801,106 | 7.1 | |
| Dutch Property Finance 2022-1 B.V. | 370,998,017 | 8.1 | |
| Dutch Property Finance 2022-2 B.V. | 214,869,161 | 4.7 | |
| Dutch Property Finance 2023-1 B.V. | 443,114,668 | 9.7 | |
| Jubilee Place 2020-1 B.V. | 93,775,090 | 2.1 | |
| Jubilee Place 2021-1 B.V. | 161,307,299 | 3.5 | |
| Jubilee Place 3 B.V. | 274,344,886 | 6.0 | |
| Jubilee Place 4 B.V. | 344,819,308 | 7.6 | |
| Jubilee Place 5 B.V. | 388,057,497 | 8.5 | |
| Vecht Residential 2023-1 B.V. | 214,117,353 | 4.7 | |
| Netherlands BTL total | 4,565,351,317 | 100.0 | |
| Portugal | Ares Lusitani - STC, S.A. Embo Mortgages No.1 | 555,684,104 | 16.0 |
| GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO2 | 78,134,928 | 2.3 | |
| GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO3 | 131,196,015 | 3.8 | |
| GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO4 | 138,371,189 | 4.0 | |
| HipoTotta No. 4 PLC | 296,735,857 | 8.6 | |
| HipoTotta No. 5 PLC | 327,679,349 | 9.5 | |
| Lusitano Mortgages No. 4 PLC | 171,922,405 | 5.0 | |
| Lusitano Mortgages No. 5 PLC | 277,662,180 | 8.0 | |
| Lusitano Mortgages No. 6 DAC | 274,894,347 | 7.9 | |
| Lusitano Mortgages No. 7 DAC | 723,682,174 | 20.9 | |
| Magellan Mortgages No. 3 PLC | 171,076,926 | 4.9 | |
| Magellan Mortgages No. 4 PLC | 195,873,961 | 5.6 | |
| SAGRES STC - Pelican Mortgages No. 3 PELICAN MORT NO. 3 | 77,592,678 | 2.2 | |
| TAGUS - Sociedade de Titularizacao de Creditos, S.A. AQUA MORT NO.1 | 46,567,893 | 1.3 | |
| Portugal total | 3,467,074,005 | 100.0 | |
| Spain | AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos | 55,652,794 | 0.2 |
| AyT Colaterales Global Hipotecario FTA CCM I 1 | 202,897,585 | 0.7 | |
| AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria | 135,906,333 | 0.5 | |
| AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria | 129,557,482 | 0.5 | |
| AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria | 191,416,506 | 0.7 | |
| AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria | 151,804,671 | 0.5 | |
| AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria | 187,680,019 | 0.7 | |
| AyT Goya Hipotecario III Fondo De Titulizacion De Activos | 948,757,869 | 3.4 | |
| AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos | 67,976,465 | 0.2 | |
| AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos | 110,319,891 | 0.4 | |
| AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos | 238,840,746 | 0.8 | |
| Bancaja 10, Fondo de Titulizacion de Activos | 479,640,621 | 1.7 | |
| Bancaja 11, Fondo de Titulizacion de Activos | 448,479,168 | 1.6 | |
| Bankinter 11 Fondo de Titulizacion Hipotecaria | 90,842,250 | 0.3 | |
| Bankinter 13, Fondo de Titulizacion de Activos | 209,314,200 | 0.7 | |
| BBVA RMBS 14, Fondo de Titulizacion de Activos | 263,273,659 | 0.9 | |
| BBVA RMBS 2, Fondo de Titulizacion de Activos | 908,121,656 | 3.2 | |
| BBVA RMBS 20, Fondo de Titulizacion de Activos | 1,835,291,423 | 6.5 | |
| BBVA RMBS 21 Fondo de Titulizacion | 9,407,920,652 | 33.2 | |
| BBVA RMBS 22, FT | 1,244,103,122 | 4.4 | |
| BBVA RMBS 5, Fondo de Titulizacion de Activos | 1,449,939,188 | 5.1 | |
| BBVA RMBS 9, Fondo de Titulizacion de Activos | 512,731,820 | 1.8 | |
| CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos | 90,485,422 | 0.3 | |
| Fondo de Titulizacion de Activos Santander Hipotecario 2 | 255,747,508 | 0.9 | |
| Fondo de Titulizacion de Activos Santander Hipotecario 3 | 520,159,914 | 1.8 | |
| Fondo de Titulizacion de Activos UCI 11 | 74,643,167 | 0.3 | |
| Fondo de Titulizacion de Activos UCI 14 | 198,850,662 | 0.7 | |
| Fondo de Titulizacion de Activos UCI 15 | 254,571,251 | 0.9 | |
| Fondo de Titulizacion de Activos UCI 16 | 350,812,071 | 1.2 | |
| Fondo de Titulizacion de Activos UCI 17 | 310,327,531 | 1.1 | |
| Fondo de Titulizacion Hipotecaria UCI 12 | 108,026,758 | 0.4 | |
| GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos | 125,177,738 | 0.4 | |
| Hipocat 10, Fondo de Titulizacion de Activos | 130,905,657 | 0.5 | |
| Hipocat 11, Fondo de Titulizacion de Activos | 146,436,987 | 0.5 | |
| Hipocat 9, Fondo de Titulizacion de Activos | 87,020,591 | 0.3 | |
| HT Abanca RMBS I, Fondo de Titulizacion | 425,759,136 | 1.5 | |
| IM PASTOR 2, Fondo de Titulizacion Hipotecaria | 32,126,831 | 0.1 | |
| IM PASTOR 3, Fondo de Titulizacion Hipotecaria | 118,770,337 | 0.4 | |
| IM PASTOR 4, Fondo de Titulizacion de Activos | 154,331,757 | 0.5 | |
| MADRID RESIDENCIAL I, Fondo de Titulizacion de Activos | 259,424,483 | 0.9 | |
| MADRID RMBS I, Fondo de Titulizacion de Activos | 465,963,961 | 1.6 | |
| MADRID RMBS II, Fondo de Titulizacion de Activos | 414,525,382 | 1.5 | |
| MADRID RMBS III, Fondo de Titulizacion de Activos | 908,198,660 | 3.2 | |
| MADRID RMBS IV, Fondo de Titulizacion de Activos | 676,753,859 | 2.4 | |
| Miravet S.a r.l., Compartment 2020-1 2020-1 | 449,844,156 | 1.6 | |
| Rural Hipotecario XIX Fondo de Titulizacion | 240,800,077 | 0.9 | |
| TDA Cajamar 2, Fondo de Titulizacion de Activos | 70,013,212 | 0.2 | |
| TDA CAM 7, Fondo de Titulizacion de Activos | 278,932,006 | 1.0 | |
| TDA CAM 8, Fondo de Titulizacion de Activos | 245,973,031 | 0.9 | |
| TDA CAM 9, Fondo de Titulizacion de Activos | 267,825,517 | 0.9 | |
| TDA Ibercaja 3 Fondo de Titulizacion de Activos | 105,622,633 | 0.4 | |
| TDA Ibercaja 4 Fondo de Titulizacion de Activos | 163,355,637 | 0.6 | |
| TDA Ibercaja 5, Fondo de Titulizacion de Activos | 177,906,940 | 0.6 | |
| TDA Ibercaja 6, Fondo de Titulizacion de Activos | 299,115,615 | 1.1 | |
| TDA Ibercaja 7, Fondo de Titulizacion de Activos | 574,973,012 | 2.0 | |
| TDA Tarragona 1, Fondo de Titulizacion de Activos 1 | 49,537,525 | 0.2 | |
| Spain total | 28,303,387,143 | 100.0 | |
| UK BTL - post 2014 | Atlas Funding 2022-1 PLC | 382,241,345 | 3.2 |
| Atlas Funding 2023-1 PLC | 340,194,154 | 2.8 | |
| Canada Square Funding 2020-1 PLC | 236,888,544 | 2.0 | |
| Canada Square Funding 2020-2 PLC | 133,964,983 | 1.1 | |
| Canada Square Funding 2021-1 PLC | 172,448,936 | 1.4 | |
| Canada Square Funding 2021-2 PLC | 210,807,022 | 1.8 | |
| Canada Square Funding 6 PLC | 333,584,993 | 2.8 | |
| Canada Square Funding 7 PLC | 162,551,582 | 1.4 | |
| Canterbury Finance No. 3 PLC | 208,134,439 | 1.7 | |
| Elstree Funding No.2 PLC | 232,340,679 | 1.9 | |
| Elstree Funding No.3 PLC | 330,486,161 | 2.8 | |
| Hops Hill No.2 PLC | 318,129,759 | 2.7 | |
| Hops Hill No.3 PLC | 435,467,820 | 3.6 | |
| Lanebrook Mortgage Transaction 2020-1 PLC | 190,135,766 | 1.6 | |
| Lanebrook Mortgage Transaction 2021-1 PLC 2021-1 | 294,902,196 | 2.5 | |
| Lanebrook Mortgage Transaction 2022-1 PLC | 355,459,936 | 3.0 | |
| London Wall Mortgage Capital PLC Fleet 2021-02 | 198,337,319 | 1.7 | |
| London Wall Mortgage Capital PLC Fleet 2021-1 | 228,461,800 | 1.9 | |
| Mortimer BTL 2021-1 PLC | 233,803,705 | 2.0 | |
| Mortimer BTL 2022-1 PLC | 273,357,305 | 2.3 | |
| Pierpont BTL 2021-1 PLC | 218,244,969 | 1.8 | |
| Pierpont BTL 2023-1 PLC | 281,153,852 | 2.4 | |
| Precise Mortgage Funding 2020-1B PLC | 186,340,907 | 1.6 | |
| Shawbrook Mortgage Funding 2022-1 PLC | 533,249,854 | 4.5 | |
| Stratton BTL Mortgage Funding 2022-1 PLC | 301,269,545 | 2.5 | |
| Together Asset Backed Securitisation 2022-1ST1 PLC | 371,201,461 | 3.1 | |
| Together Asset Backed Securitisation 2022-CRE1 PLC | 315,285,326 | 2.6 | |
| Together Asset Backed Securitisation 2023-1ST1 PLC | 419,844,621 | 3.5 | |
| Together Asset Backed Securitisation 2023-1ST2 PLC | 445,925,171 | 3.7 | |
| Tower Bridge Funding 2021-2 PLC | 166,996,601 | 1.4 | |
| Tower Bridge Funding 2022-1 PLC | 229,126,761 | 1.9 | |
| Tower Bridge Funding 2023-1 PLC | 237,980,367 | 2.0 | |
| Tudor Rose Mortgages 2021-1 PLC | 118,184,868 | 1.0 | |
| Twin Bridges 2021-1 PLC | 373,122,812 | 3.1 | |
| Twin Bridges 2021-2 PLC | 484,252,269 | 4.0 | |
| Twin Bridges 2022-1 PLC | 552,716,953 | 4.6 | |
| Twin Bridges 2022-2 PLC | 493,342,780 | 4.1 | |
| Twin Bridges 2022-3 PLC | 352,038,614 | 2.9 | |
| Twin Bridges 2023-1 PLC | 356,348,365 | 3.0 | |
| Tyne Funding No. 1 PLC | 249,534,254 | 2.1 | |
| UK BTL - post 2014 total | 11,957,858,794 | 100.0 | |
| UK BTL - pre 2014 | Banna RMBS DAC | 46,172,242 | 0.4 |
| Bridgegate Funding PLC | 2,259,662,054 | 21.6 | |
| Eurosail PRIME-UK 2007-A PLC | 41,488,494 | 0.4 | |
| Great Hall Mortgages No. 1 PLC 2006-01 | 74,860,185 | 0.7 | |
| Great Hall Mortgages No. 1 PLC 2007-01 | 203,079,593 | 1.9 | |
| Great Hall Mortgages No. 1 PLC 2007-2 | 192,778,698 | 1.8 | |
| Harben Finance 2017-1 PLC | 925,058,879 | 8.8 | |
| Ludgate Funding PLC 2006-FF1 | 56,976,624 | 0.5 | |
| Ludgate Funding PLC 2007-FF1 | 121,774,547 | 1.2 | |
| Ludgate Funding PLC 2008-W1 | 138,427,296 | 1.3 | |
| Mansard Mortgages 2007-2 PLC 2007-2 | 127,758,275 | 1.2 | |
| Oat Hill No.3 PLC . | 379,451,313 | 3.6 | |
| Paragon Mortgages (No. 12) PLC 12 | 368,745,973 | 3.5 | |
| Ripon Mortgages PLC | 4,683,685,301 | 44.7 | |
| Towd Point Mortgage Funding 2019 - Auburn 13 PLC . | 865,576,668 | 8.3 | |
| UK BTL - pre 2014 total | 10,485,496,140 | 100.0 | |
| UK nonconf - post 2014 | Barley Hill No. 2 PLC | 103,136,077 | 2.2 |
| Ealbrook Mortgage Funding 2022-1 PLC | 202,330,546 | 4.3 | |
| Finsbury Square 2021-1 Green PLC | 332,626,313 | 7.1 | |
| Finsbury Square 2021-2 PLC | 170,785,891 | 3.6 | |
| Genesis Mortgage Funding 2022-1 PLC | 151,842,944 | 3.2 | |
| Grosvenor Square RMBS 2023-1 PLC | 778,805,278 | 16.6 | |
| Holbrook Mortgage Transaction 2023-1 PLC | 587,837,433 | 12.5 | |
| Polaris 2021-1 PLC | 241,379,542 | 5.1 | |
| Polaris 2022-1 PLC | 354,523,509 | 7.6 | |
| Polaris 2022-2 PLC | 268,502,516 | 5.7 | |
| Polaris 2023-1 PLC | 425,536,807 | 9.1 | |
| Polaris 2023-2 PLC | 499,323,633 | 10.6 | |
| Together Asset Backed Securitisation 2020 - 1 PLC | 164,097,051 | 3.5 | |
| Together Asset Backed Securitisation 2021-1ST1 PLC | 164,939,193 | 3.5 | |
| Together Asset Backed Securitisation 2022-2ND1 PLC | 248,971,801 | 5.3 | |
| UK nonconf - post 2014 total | 4,694,638,535 | 100.0 | |
| UK nonconf - pre 2014 | ALBA 2005 - 1 PLC | 37,840,665 | 0.3 |
| ALBA 2006-2 PLC | 92,391,972 | 0.7 | |
| ALBA 2007 - 1 PLC | 219,349,620 | 1.7 | |
| Cheshire 2020-1 PLC | 167,458,284 | 1.3 | |
| Cheshire 2021-1 PLC | 187,410,591 | 1.4 | |
| Chester A PLC | 1,082,596,484 | 8.3 | |
| Curzon Mortgages PLC | 871,675,638 | 6.7 | |
| Durham Mortgages B PLC r | 1,275,920,075 | 9.8 | |
| EMF-UK 2008-1 PLC | 79,131,051 | 0.6 | |
| Eurohome UK Mortgages 2007-1 PLC | 82,427,879 | 0.6 | |
| Eurohome UK Mortgages 2007-2 PLC | 130,667,014 | 1.0 | |
| Eurosail 2006-1 PLC | 63,914,217 | 0.5 | |
| Eurosail 2006-2BL PLC | 84,423,223 | 0.6 | |
| Eurosail 2006-3NC PLC | 56,762,918 | 0.4 | |
| Eurosail 2006-4NP PLC | 96,646,003 | 0.7 | |
| Eurosail-UK 2007-1NC PLC | 106,691,077 | 0.8 | |
| Eurosail-UK 2007-2NP PLC | 123,032,755 | 0.9 | |
| Eurosail-UK 2007-3BL PLC | 122,182,722 | 0.9 | |
| Eurosail-UK 2007-4BL PLC | 155,689,778 | 1.2 | |
| Eurosail-UK 2007-5NP PLC | 131,475,563 | 1.0 | |
| Eurosail-UK 2007-6NC PLC | 93,939,039 | 0.7 | |
| Harbour No.1 PLC | 451,155,716 | 3.5 | |
| Kentmere No. 1 PLC | 290,418,042 | 2.2 | |
| Kentmere No. 2 PLC | 85,443,472 | 0.7 | |
| Landmark Mortgage Securities No.1 PLC | 23,520,878 | 0.2 | |
| Landmark Mortgage Securities No.2 PLC | 87,898,661 | 0.7 | |
| Landmark Mortgage Securities No.3 PLC | 106,236,614 | 0.8 | |
| Mansard Mortgages 2006-1 PLC | 60,446,601 | 0.5 | |
| Mansard Mortgages 2007-1 PLC | 42,436,042 | 0.3 | |
| Mortgage Funding 2008-1 PLC | 223,815,014 | 1.7 | |
| Newgate Funding PLC 2006-1 | 52,241,080 | 0.4 | |
| Newgate Funding PLC 2006-2 | 69,263,411 | 0.5 | |
| Newgate Funding PLC 2006-3 | 117,464,519 | 0.9 | |
| Newgate Funding PLC 2007-1 | 124,341,528 | 1.0 | |
| Newgate Funding PLC 2007-2 | 106,507,106 | 0.8 | |
| Newgate Funding PLC 2007-3 | 217,401,492 | 1.7 | |
| Parkmore Point RMBS 2022-1 PLC | 255,877,081 | 2.0 | |
| Preferred Residential Securities 05-2 PLC | 26,274,563 | 0.2 | |
| Preferred Residential Securities 06-1 PLC | 38,882,130 | 0.3 | |
| Residential Mortgage Securities 32 PLC | 454,230,591 | 3.5 | |
| ResLoC U.K. 2007-1 PLC | 182,352,574 | 1.4 | |
| RMAC Securities No. 1 PLC 2006-NS1 | 140,963,962 | 1.1 | |
| RMAC Securities No. 1 PLC 2006-NS2 | 103,590,580 | 0.8 | |
| RMAC Securities No. 1 PLC 2006-NS3 | 128,094,135 | 1.0 | |
| RMAC Securities No. 1 PLC 2006-NS4 | 234,514,114 | 1.8 | |
| RMAC Securities No. 1 PLC 2007-NS1 | 111,893,774 | 0.9 | |
| Rochester Financing No. 3 PLC | 157,946,317 | 1.2 | |
| Southern Pacific Financing 05-B PLC | 34,084,502 | 0.3 | |
| Southern Pacific Financing 06-A PLC | 35,271,685 | 0.3 | |
| Southern Pacific Securities 06-1 PLC | 27,152,408 | 0.2 | |
| Stanlington No. 2 PLC | 239,057,715 | 1.8 | |
| Stratton Hawksmoor 2022-1 PLC | 1,869,553,420 | 14.3 | |
| Temple Quay No.1 PLC | 415,925,421 | 3.2 | |
| Uropa Securities PLC 2007-1B | 150,378,144 | 1.2 | |
| Warwick Finance Residential Mortgages Number Four PLC | 184,192,529 | 1.4 | |
| Warwick Finance Residential Mortgages Number Three PLC | 946,135,608 | 7.2 | |
| UK nonconf - pre 2014 total | 13,056,587,998 | 100.0 | |
| UK prime | Brants Bridge 2022-1 PLC | 150,587,387 | 3.3 |
| Brants Bridge 2023-1 PLC | 308,410,250 | 6.7 | |
| Castell 2021-1 PLC | 199,195,042 | 4.3 | |
| Castell 2022-1 PLC | 212,827,245 | 4.6 | |
| Castell 2023-1 PLC | 350,847,193 | 7.7 | |
| Elvet Mortgages 2020-1 PLC | 91,367,853 | 2.0 | |
| Fosse Master Issuer PLC | 3,271,963,059 | 71.4 | |
| UK prime total | 4,585,198,028 | 100.0 | |
| TOTAL | 130,127,814,382 |
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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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