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European RMBS Index Report Q2 2022

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Weekly European CLO Update

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U.K. Second-Lien Monitor Q3 2024

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Servicer Evaluation: Bank of America N.A.


European RMBS Index Report Q2 2022

Table 1

Total Delinquencies
(%) Q2 2022 Q1 2022 Q4 2021 Q3 2021 Q2 2021
All countries - index 3.1 3.1 3.2 3.2 3.2
France and Belgium 0.5 0.4 0.4 0.4 0.4
Italy 1.3 1.5 1.8 2.0 2.3
Ireland 4.6 7.5 7.2 4.9 7.9
Netherlands (excl. BTL) 0.4 0.4 0.4 0.4 0.4
Netherlands BTL 0.5 0.6 0.6 1.1 1.3
Portugal 2.7 2.7 2.8 2.7 3.2
Spain 7.9 6.5 6.8 6.4 6.1
U.K. prime 0.9 0.9 0.9 1.0 0.9
U.K. BTL 2.8 2.8 2.9 1.8 1.8
U.K. BTL - pre-2014 3.6 3.4 3.5 2.1 2.1
U.K. BTL - post-2014 0.8 0.9 0.9 0.8 0.7
U.K. nonconf 10.2 10.9 11.6 12.6 13.1
U.K. nonconf - pre-2014 10.9 11.5 12.0 13.1 13.7
U.K. nonconf - post-2014 3.0 3.0 4.3 4.0 3.7
BTL--Buy to let.

Table 2

Annualized Prepayment Rate
(%) Q2 2022 Q1 2022 Q4 2021 Q3 2021 Q2 2021
All countries - index 10.7 10.3 10.5 10.0 10.4
France and Belgium 8.0 8.9 8.8 9.7 9.6
Italy 4.5 4.6 4.2 4.7 5.0
Ireland 5.9 4.7 8.6 6.7 6.8
Netherlands (excl. BTL) 13.1 12.8 12.6 11.8 11.4
Netherlands BTL 29.5 18.8 18.3 12.8 14.6
Portugal 6.3 6.2 5.9 5.9 5.6
Spain 5.0 4.4 4.6 4.1 4.1
U.K. prime 16.7 17.6 19.5 18.0 21.2
U.K. BTL 13.2 11.6 10.5 10.2 10.7
U.K. BTL - pre-2014 12.2 10.8 9.8 8.8 9.1
U.K. BTL - post-2014 17.1 15.8 13.5 15.9 16.6
U.K. nonconf 13.0 12.7 12.4 11.5 11.5
U.K. nonconf - pre-2014 12.4 11.8 12.1 11.2 11.3
U.K. nonconf - post-2014 18.3 23.6 18.4 16.1 14.9
BTL--Buy-to-let.

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Table 3

New Ratings Activity As Of June 2022
Closing date Country Asset class Analyst Noteworthy features

Primrose Residential 2022-1 DAC

April 12, 2022 Ireland Reperforming Giovanna Perotti This is a static RMBS transaction that securitizes a portfolio of €372.60 million loans (excluding €3.78 million of loans subject to potential write-off), comprising owner-occupied and buy-to-let primarily reperforming mortgage loans secured over residential properties in Ireland. The securitization comprises two purchased portfolios, Canal (37.44% of the pool) and Bass (62.56% of the pool), which aggregate assets from three Irish originators.

Genesis Mortgage Funding 2022-1 PLC

April 15, 2022 U.K. Nonconforming Aarondeep Hothi Genesis Mortgage Funding 2022-1 PLC securitizes a portfolio of £241.12 million secured on owner-occupied (95.6% of the pool) and buy-to-let (4.4% of the pool) properties located in the U.K. (mainly in South East and Greater London). The loans in the pool were originated between 2018 and 2022 by Bluestone Mortgages Ltd., a nonbank specialist lender.

Green STORM 2022 B.V.

April 22, 2022 Netherlands Prime Fabio Alderotti Green STORM 2022 B.V. is the latest securitization of first-ranking (or first- and consecutive-ranking) Dutch mortgage loans originated by Obvion N.V. All of the loans in the portfolio are prime-originated, performing, first-ranking, and sequentially lower-ranking residential mortgages. Of the pool, 9.59% benefits from full payments made by the Stichting Waarborgfonds Eigen Woningen ("Homeownership Guarantee Fund"), abbreviated to WEW in Dutch, under the Nationale Hypotheek Garantie guarantee scheme.

Mulcair securities No. 3 DAC

April 25, 2022 Ireland Buy-to-let Darrell Purcell Mulcair Securities No. 3 DAC is a static RMBS transaction that securitizes a portfolio of €347.583 million loans, which comprises mostly (78.1%) buy-to-let and some owner-occupied 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). About three quarters of the pool formed part of Mulcair Securities DAC, which closed in April 2019 and exhibited stable performance during its life.

Harmony French Home Loans FCT 2022-1

April 27, 2022 France Prime Sandra Fronteau Harmony French Home Loans FCT 2022-1 is a securitization fund of French residential home loans originated by the regional banks Sociétés Financières Régionales and Banque Patrimoine et Immobilier (BPI), which formed the Crédit Immobilier de France Group (CIF Group), located in France. The pool is well-seasoned and all loans were originated between 1997 and 2013.

Domi 2022-1 B.V.

April 30, 2022 Netherlands Buy-to-let Darrell Purcell Domi 2022-1 B.V. is a static RMBS transaction that securitizes a portfolio of €350.85 million buy-to-let mortgage loans (of which €333.31 million back the securitized notes) originated between 2020 and Dec. 31, 2021 (with updated balances as of Jan. 31, 2022) secured on properties in the Netherlands. The loans in the pool were originated by Domivest B.V. It is the fifth in the series of Domi RMBS securitizations.

Dutch Property Finance 2022-1 B.V.

May 4, 2022 Netherlands Buy-to-let Feliciano Pereira, CFA Dutch Property Finance 2022-1 B.V. is an RMBS transaction that securitizes a portfolio of €450 million buy-to-let mortgage loans secured on properties in the Netherlands. Most of the loans in the pool were originated in 2021 (86%). Splitting by originator, RNHB B.V., a nonbank specialist real estate lender, originated 94.3% of the pool, while Achmea via Syntrus Achmea Real Estate & Finance (SAREF) originated 5.3% of the loans, which RNHB acquired in June 2021 (known as the acquired Trident loans). FGH Bank N.V. originated the remaining 0.4% of the portfolio before 2016.

Atlas Funding 2022-1 PLC

May 12, 2022 U.K. Buy-to-let Matteo Matusali Atlas Funding 2022-1 PLC is an RMBS transaction that securitizes a portfolio of £305 million buy-to-let mortgage loans secured on properties in England and Wales. The loans in the pool were originated between 2018 and 2022 by Lendco Ltd., a nonbank specialist lender. The collateral comprises loans granted to experienced portfolio landlords and private property investors, none of whom have had a county court judgement in the two years before origination.

Mortimer BTL 2022-1 PLC

May 12, 2022 U.K. Buy-to-let Josh Timmons Mortimer BTL 2022-1 PLC is a static RMBS transaction that securitizes a portfolio of buy-to-let mortgage loans secured on properties in the U.K. LendInvest originated the loans in the pool between June 2020 and March 2022.

Together Asset Backed Securitisation 2022-2ND1 PLC

May 27, 2022 U.K. Nonconforming Josh Timmons This is a static RMBS transaction, which securitizes a portfolio of £349.8 million second-lien mortgage loans, both owner-occupied and buy-to-let, secured on properties in the U.K. Product switches and loan substitution are permitted under the transaction documents. Together Personal Finance Ltd., Together Commercial Finance Ltd. (collectively, Together), and Blemain Finance Ltd. originated the loans in the pool between 2014 and 2022.

Ealbrook Mortgage Funding 2022-1 PLC

June 1, 2022 U.K. Nonconforming Ganesh Rajwadkar This transaction securitizes a portfolio of £370 million--including 5% of risk retention--owner-occupied and buy-to-let mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2018 and 2021 by Bluestone Mortgages Ltd., a nonbank specialist lender, under a forward flow agreement with Shawbrook Bank PLC.

Brants Bridge 2022-1 PLC

June 10, 2022 U.K. Prime Aarondeep Hothi Brants Bridge 2022-1 PLC is a static RMBS transaction that securitizes a portfolio of owner-occupied mortgage loans secured on properties in England and Wales. The loans in the pool were originated between 2018 and 2022, with most originated in 2021, by Paratus AMC Ltd., a nonbank specialist lender, under the brand of Foundation Home Loans.

Polaris 2022-2 PLC

June 13, 2022 U.K. Nonconforming Doug Paterson Polaris 2022-2 PLC is an RMBS transaction that securitizes a portfolio of owner-occupied and buy-to-let mortgage loans that are secured over properties in the U.K. This is the fifth first-lien RMBS transaction originated by Pepper group in the U.K. that we have rated. The loans in the pool were originated in between 2015 and 2022 by Pepper Money Ltd. and UK Mortgage Lending Ltd. who trade as Pepper Money, a nonbank specialist lender.

Together Asset Backed Securitisation 2022-CRE1 PLC

June 13, 2022 U.K. Buy-to-let Aarondeep Hothi The transaction is a static transaction that securitizes a portfolio of mortgage loans secured on commercial (76.67%), mixed-use (20.68%), and residential (2.66%) properties in the U.K. The loans in the pool were originated by Harpmanor Ltd. between 2015 and 2016, and by Together Commercial Finance Ltd.. from 2015 to 2022. Both are subsidiaries of Together Financial Services Ltd.

Fastnet Securities 18 DAC

June 23, 2022 Ireland Prime Rocio Romero Fastnet Securities 18 DAC is a static RMBS transaction that securitizes a portfolio of €3,065.96 million owner-occupied mortgage loans, secured over residential properties in Ireland. The originator and administrator of the loans is Permanent TSB PLC.

Jubilee Place 4 B.V.

June 23, 2022 Netherlands Buy-to-let Sandra Fronteau Jubilee Place 4 B.V. is a RMBS transaction that securitizes a portfolio of €372.2 million first-lien buy-to-let mortgage loans secured on properties located in the Netherlands. The pool is newly originated with low seasoning: all loans were originated between March 2021 and April 2022. The loans in the pool were originated by DNL 1 B.V. (20.9%; trading as Tulp), Dutch Mortgage Services B.V. (63.5%; trading as Nestr), and Community Hypotheken B.V. (15.7%; trading as Casarion).

Summary Of Methodology For Our European RMBS Index

What is it included in the European RMBS Index?

We include a transaction once nine months have elapsed since the closing date. This is because we expect that performance developments of a transaction are likely not 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 denominator of the index and may give an overly positive impression of performance.

Are esoteric RMBS transactions included?

We assess this on a case-by-case basis. By way of example, equity release (reverse mortgage) nonperforming transactions backed by residential mortgages are excluded, while reperforming RMBS transactions are included.

What is the data source?

It is compiled form investor reports, and as such is 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?

The index is calculated as the current balance of loans in each arrear status (as reported in the investor reports), divided by the current balance of each transaction (as reported in the investor reports). As such, in some countries where there are a limited number of transactions forming the index, larger transactions will drive the overall group.

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?

The cut off is based on the period covered in investor reports. For example, if the index covers the period up to first-quarter 2022, for a quarterly reporting transaction only collateral data with a cut-off between Jan. 1, 2022, and March 31, 2022, is included. For transactions that report monthly, we use the latest report from the quarter.

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

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

Why do prior quarter's numbers sometime change?

There are two main reasons:

  • Data can be amended by the servicer/party providing the investor report.
  • Newer data for the most recent quarter is available. For example, in a transaction that reports monthly, if we receive data until February 2022 when producing the first-quarter 2022 index, we will use the data up until that date. However, if we then receive March 2022 data when producing the following quarter's index, we will backfill first-quarter 2022 for that transaction with the March 2022 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 U.K. and Netherlands, we typically classify the transaction based on which portion of the collateral is the largest at 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 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 country court judgements, and/or significantly complex income. The assessment of whether a pool is nonconforming can be subjective and is disclosed in related ratings commentary.

Where do second-charge transactions appear in the index?

They are based on the categorization of the transaction. We do not include them as a separate index as currently there are just a handful of transactions.

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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