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European RMBS Index Report Q2 2021

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European RMBS Index Report Q2 2021

Table 1

Total Delinquencies
(%) Q2 2021 Q1 2021 Q4 2020 Q3 2020 Q2 2020
All countries - index 3.3 3.3 3.3 3.3 3.6
France and Belgium 0.4 0.4 0.4 0.5 0.6
Italy 2.6 2.5 2.7 3.2 4.1
Ireland 8.5 6.9 6.8 6.4 6.0
Netherlands (excl. BTL) 0.4 0.5 0.6 0.5 0.7
Netherlands BTL 1.6 1.1 1.5 1.7 1.8
Portugal 3.2 3.4 3.3 3.4 3.7
Spain 6.1 6.1 6.0 5.9 6.1
U.K. prime 0.9 0.9 0.9 0.8 0.8
U.K. BTL - pre-2014 3.0 2.9 3.1 3.2 3.5
U.K. BTL - post-2014 0.5 0.2 0.1 0.3 0.4
U.K. Nonconf - pre-2014 12.9 12.8 12.7 12.1 13.4
U.K. nonconf - post-2014 2.9 1.5 1.3 1.6 2.1

Table 2

Annualized Prepayment Rate
(%) Q2 2021 Q1 2021 Q4 2020 Q3 2020 Q2 2020
All countries - index 9.7 10.0 9.8 9.0 8.6
France and Belgium 7.7 8.5 9.2 9.4 10.7
Italy 4.6 5.1 5.1 3.6 3.6
Ireland 6.4 6.4 6.0 5.2 3.8
Netherlands (excl. BTL) 11.2 11.7 11.3 11.7 10.3
Netherlands BTL 17.4 21.6 16.6 11.6 21.0
Portugal 5.6 5.2 5.0 4.7 4.6
Spain 4.2 4.1 4.6 3.9 2.5
U.K. prime 20.6 22.1 21.1 18.4 16.8
U.K. BTL - pre-2014 8.7 8.0 6.7 6.3 5.7
U.K. BTL - post-2014 7.7 8.5 9.2 9.4 10.7
U.K. nonconf - pre-2014 10.6 9.5 8.7 7.9 6.9
U.K. nonconf - post-2014 13.0 19.3 16.0 16.5 14.9

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Table 4

New Ratings Activity As Of Q2 2021
Deal Closing date Country Asset class Noteworthy features
SAECURE 20 B.V. April 7, 2021 Netherlands Prime The transaction is a static RMBS that securitized a €700.8 million pool of prime, first- and sequentially lower-ranking Dutch mortgage loans. SAECURE 20 is the latest securitization of mortgage loans originated by Aegon Hypotheken B.V. and Aegon Levensverzekering N.V.
Jubilee Place 2021-1 B.V. April 8, 2021 Netherlands BTL Jubilee Place 2021-1 is a RMBS transaction that securitizes a portfolio comprising €304.3 million of BTL mortgage loans secured on properties located in the Netherlands. This is the second Jubilee Place transaction, following Jubilee Place 2020-1, which we also rated. The loans in the pool were originated by DNL 1 B.V. (DNL; 30%; trading as Tulp), Dutch Mortgage Services B.V. (DMS; 53%; trading as Nestr), and Community Hypotheken B.V. (Community; 17%; trading as Casarion). All three originators are new lenders in the Dutch BTL market, with a very limited track record.
London Wall Mortgage Capital PLC Fleet 2021-1 May 17, 2021 U.K. BTL London Wall Mortgage Capital PLC Series Fleet 2021-01 is an RMBS transaction that securitizes a portfolio of BTL mortgage loans secured on properties in England and Wales. This transaction is the fourth securitization under the London Wall Mortgage Capital PLC program. The loans in the pool were originated between 2017 and 2021 by Fleet Mortgages Ltd., a nonbank specialist BTL lender.
Primrose Residential 2021-1 DAC May 20, 2021 Ireland Reperforming Primrose Residential 2021-1 is a static RMBS transaction that securitizes a portfolio of loans totaling €851.8 million. The portfolio consists of performing and reperforming owner-occupied and buy-to-let mortgage loans secured over residential properties in Ireland. The securitization comprises two purchased portfolios, which were previously securitized in two different RMBS transactions, ERLS 2019 PL1 and Grand Canal Securities 1 (GCS1). They aggregate assets from three Irish originators. The loans in the ERLS 2019 PL1 subpool were originated by Permanent TSB PLC, and the loans in the GCS1 subpool were originated by Irish Nationwide Building Society and Springboard.
Domi 2021-1 B.V. May 31, 2021 Netherlands BTL Domi 2021-1 is a static RMBS transaction that securitizes a portfolio of €352.2 million BTL mortgage loans secured on properties in the Netherlands. The loans in the pool were originated by Domivest B.V. between 2019 and 2021. The transaction features a one-month prefunding period.
Stratton Mortgage Funding 2021-3 June 14, 2021 U.K. Nonconforming The pool comprises first-ranking nonconforming, reperforming, owner-occupied, and buy-to-let mortgage loans that were part of the Oncilla Mortgage Funding 2016- PLC and Stratton Mortgage Funding portfolios. The pool is well-seasoned with a weighted-average seasoning of almost 15 years.
Rochester Financing No. 3 PLC June 15, 2021 U.K. Nonconforming Rochester Financing No. 3 PLC is a static RMBS transaction that securitizes a portfolio of £214.4 million owner-occupied and BTL mortgage loans secured on properties in the U.K.The transaction is a refinancing of Rochester Financing No. 2 PLC, which closed in February 2016. 
BBVA RMBS 20, Fondo de Titulizacion de Activos June 17, 2021 Spain Prime BBVA RMBS 20 is a static RMBS transaction. The €2,701,055,511 provisional pool as of May 21, comprises 26,237 mortgage loans, originated by Banco Bilbao Vizcaya Argentaria S.A. (BBVA; 93.38% of the pool balance), Catalunya Caixa S.A. (2.05%), and Unnim Banc (1.58%) (the last two are now part of BBVA). The assets are first-ranking mainly owner-occupied loans secured against properties in Spain. The loans originated by BBVA are defined as "flexible" loans due to a set of limited amendments allowed for each loan. In particular, the borrower can modify loan maturities, defer payment installments, make a balloon payment (a large final installment), or change from a floating interest rate to a fixed interest rate for three years, subject to certain conditions.
Mortimer BTL 2021-1 PLC June 18, 2021 U.K. BTL Mortimer 2021-1 is a static RMBS transaction that securitizes a portfolio of BTL mortgage loans secured on properties in the U.K. LendInvest originated the loans in the pool between August 2018 and May 2021. LendInvest started operating in late 2008 under the name Montello Bridging Finance. Most of their BTL book was securitized in either Mortimer 2019-1, Mortimer 2020-1, disposed of through a portfolio sale to JP Morgan, or securitized in the Mortimer 2021-1 transaction.
Finance Ireland RMBS No. 3 DAC June 14, 2021 Ireland Prime Finance Ireland RMBS No. 3 is a static RMBS transaction that securitizes a portfolio of €297.5 million owner-occupied mortgage loans secured on properties in Ireland. This transaction is very similar to its predecessor Finance Ireland RMBS No. 2. The main difference is that Finance Ireland RMBS No. 3 is backed only by owner-occupied mortgage loans, while the previous transaction was backed by a mixture of owner-occupied and BTL mortgage loans. The loans in the pool were originated between 2016 and 2021 by Finance Ireland Credit Solutions DAC and Pepper Finance Corp. DAC. Finance Ireland is a nonbank specialist lender, which purchased the Pepper Finance Residential Mortgage business in 2018.
Summerhill Residential 2021-1 DAC June 24, 2021 Ireland Reperforming Summerhill Residential 2021-1 is a static RMBS transaction that securitizes a €299 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 Shamrock Residential 2019-1 DAC. Irish Nationwide Building Society, Bank of Scotland PLC, Bank of Scotland (Ireland) Ltd., Nua Mortgages Ltd., and Start Mortgages DAC originated the loans.
Mulcair Securities No. 2 DAC June 25, 2021 Ireland Reperforming Mulcair Securities No. 2 DAC is a static RMBS transaction that securitizes a portfolio of €343.74 million loans (excluding €5.53 million in unsecured loans), which consist of owner-occupied and BTL mortgage loans secured over residential properties in Ireland, most of which are now performing after being restructured. They were originated by the Bank of Ireland, ICS Building Society, and Bank of Ireland Mortgage Bank (BOIMB).
Finsbury Square 2021-1 Green PLC June 30, 2021 U.K. Nonconforming/BTL Finsbury Square 2021-1 Green PLC (FSQ 2021-1) is a revolving RMBS transaction that securitizes a portfolio of owner occupied and BTL mortgage loans secured on properties in the U.K., with a prefunding mechanism. The loans in the pool were originated by Kensington Mortgages Company Ltd., a non-bank specialist lender. The collateral comprises complex income borrowers with limited credit impairments, and there is a high exposure to self-employed, contractors, and first-time buyers.
Together Asset Backed Securitisation 2021-CRE2 PLC June 30, 2021 U.K. Commercial The transaction is a static transaction that securitizes a portfolio of £249 million mortgage loans, secured on commercial (77.1%), mixed-use (17.9%), and residential (5.00%) properties in the U.K. This is the second transaction we have rated in the U.K. that securitizes small ticket commercial mortgage loans after Together Asset Backed Securitisation 2021-CRE1 PLC. The loans in the pool were originated by Together Commercial Finance Ltd. (a nonbank specialist lender) between 2017 and 2021.

Related Research

This report does not constitute a rating action.

Primary Credit Analyst:Alastair Bigley, London + 44 20 7176 3245;
Alastair.Bigley@spglobal.com
Secondary Contacts:Giovanna Perotti, Milan + 390272111209;
Giovanna.Perotti@spglobal.com
Feliciano P Pereira, CFA, Madrid + 44 20 7176 7021;
feliciano.pereira@spglobal.com

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