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COMMENTS

European RMBS Index Report Q1 2024

Take Notes - The Rise Of U.S. CLO ETFs

Covered Bonds Uncovered

COMMENTS

2025 U.S. Residential Mortgage And Housing Outlook

COMMENTS

Weekly European CLO Update


European RMBS Index Report Q1 2024

Summary

  • Our European RMBS index tracks the collateral performance of the transactions we rate.
  • We divide Irish RMBS transactions between "Ireland prime" and "Ireland other". This will 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.
  • Quarter-on-quarter total delinquencies were stable in most indices, with notable exceptions being U.K. nonconforming and Ireland other. Our U.K. BTL - post 2014, Spain, and Portugal indexes experienced minor collateral performance deterioration.
  • Lower overall arrears is mostly due to the inclusion of large, clean transactions combined with the redemption of some poor performing collateral (see chart 3).
  • In Ireland other, the deterioration is mostly technical as some transactions redeemed and had arrears below the index. Only one transaction's arrears increased above two percentage points quarter-on-quarter.
  • Conversely, lower arrears in U.K. BTL - pre 2014 is due to the removal of two large poor performing transactions. Five out of 16 transactions active in Q1 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 prepayment rate in U.K. prime is mainly driven by changes in index composition.
  • We have increased our housing price forecasts amid improved price resilience across the European market. Although we still anticipate annual declines in 2024 for several countries, notably, Italy, Netherlands, Belgium, and France, our longer-term prognosis is one of weak growth for most markets beyond 2024.
  • For several jurisdictions, arrears will likely continue to increase as borrowers refinance into the higher-rate environment and/or deal with increased unemployment and reduced 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.

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Table 1

Total delinquencies (%)
Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023
All countries - index 4.0 4.8 4.3 3.9 4.0
France and Belgium 0.3 0.3 0.3 0.3 0.5
Italy 2.0 2.0 2.1 2.1 1.7
Ireland prime 0.9 0.8 0.7 0.7 0.6
Ireland other 23.0 22.6 19.7 17.4 13.8
Netherlands 0.2 0.2 0.2 0.3 0.3
Netherlands BTL 0.5 0.5 0.4 0.5 0.3
Portugal 4.2 4.0 3.9 3.9 3.8
Spain 6.6 6.5 6.3 6.2 5.9
U.K. prime 0.9 1.0 0.9 1.0 1.2
U.K. BTL 6.3 8.0 5.9 5.1 4.3
U.K. BTL - pre 2014 11.2 12.8 9.5 7.9 6.3
U.K. BTL - post 2014 1.9 1.8 1.6 1.4 1.2
U.K. nonconf 21.8 20.7 18.7 15.6 13.4
U.K. nonconf - pre 2014 24.5 23.2 20.9 18.0 15.3
U.K. nonconf - post 2014 9.7 8.8 5.6 4.5 3.5
BTL--Buy-to-let. Q--Quarter.

Table 2

Prepayment rate
(%) Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023
Prepayment rate
All countries - index 6.8 8.9 9.1 9.0 10.5
France and Belgium 1.9 2.7 3.3 3.4 4.8
Italy 4.7 5.6 5.1 4.8 4.8
Ireland prime 13.5 10.6 12.1 15.2 13.6
Ireland other 8.5 9.8 9.2 8.9 9.0
Netherlands 5.6 6.1 6.0 5.6 6.5
Netherlands BTL 9.2 9.6 6.7 7.0 10.8
Portugal 10.1 10.6 9.8 9.1 9.5
Spain 8.2 8.6 7.8 8.5 8.2
U.K. prime 30.1 22.0 21.2 21.5 23.4
U.K. BTL 12.7 14.4 15.3 13.5 13.9
U.K. BTL - pre 2014 12.6 13.8 15.8 13.9 13.9
U.K. BTL - post 2014 13.0 15.8 15.5 13.7 14.7
U.K. nonconf 14.8 16.0 17.2 16.1 14.7
U.K. nonconf - pre 2014 12.2 12.9 14.9 13.3 13.7
U.K. nonconf - post 2014 26.6 30.7 31.0 29.4 19.5
BTL--Buy-to-let. Q--Quarter.

Chart 1

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Chart 2a

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Chart 2b

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Chart 3

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Chart 4a

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Chart 4b

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Chart 5

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Chart 6

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Chart 7a

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Chart 7b

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Table 4

New ratings activity as of Q1 2024
Closing date Country Asset class Surveillance Analyst Noteworthy points
Chetwood Funding 2024-1 PLC Jan. 8, 2024 U.K. U.K. BTL - post 2014 Aarondeep Hothi A static RMBS transaction that securitizes a portfolio of first-lien BTL mortgage loans secured on U.K. properties. The loans in the pool were originated between 2016 and 2023, with most originated in 2022 and 2023, by Landbay Partners Ltd. (41.7%), Paratus AMC Ltd. (under the brand name Foundation Home Loans; 25.5%), LendInvest BTL Ltd. (21.3%), and Topaz Finance Ltd. (under the brand name Zephyr Homeloans; 11.6%).
Tower Bridge Funding 2024-1 PLC Jan. 9, 2024 U.K. U.K. BTL - post 2014 Aarondeep Hothi An RMBS transaction that securitizes a portfolio of BTL and owner-occupied mortgage loans secured on properties in the U.K. Belmont Green Finance Ltd. (BGFL), a nonbank specialist lender, which originated the loans in the pool between 2017 and 2023 via its specialist mortgage lending brand, Vida Homeloans. Approximately 46.3% of the assets in the transaction were previously securitized in previous Tower Bridge transactions that we rated and 7.9% in unrated transactions.
Together Asset Backed Securitisation 2024-2ND1 PLC Jan. 19, 2024 U.K. U.K. Nonconf - post 2014 Abhijit Pawar A static RMBS transaction that securitizes a portfolio of up to £308.4 million second- and subsequent-lien mortgage loans, both owner-occupied and BTL, secured on properties in the U.K. Product switches and loan substitution and permitted under the transaction documents. Together Personal Finance Ltd. and Together Commercial Finance Ltd. (collectively, Together) originated the loans in the pool between 2016 and 2023. We consider the collateral to be nonconforming based on the prevalence of loans to borrowers with adverse credit history, such as prior county court judgments (CCJs) and bankruptcies.
Jupiter Mortgage No.1 PLC Jan. 21, 2024 U.K. U.K. BTL - pre-2014 Ganesh Rajwadkar A static RMBS transaction that securitizes a portfolio of £2.00 billion owner-occupied and BTL mortgage loans secured on U.K. properties. It refinances the original transaction that closed in March 2021. The pool is well-seasoned. Most of the loans are first-lien U.K. owner-occupied and BTL residential mortgage loans. However, the pool includes a small percentage of retirement interest-only loans and lifetime mortgage loans. Of the pool, 20.1% of the mortgage loans by current balance are currently in arrears greater than (or equal to) one month.
Stratton Mortgage Funding 2024-1 PLC Jan. 22, 2024 U.K. U.K. BTL - pre-2014 Ganesh Rajwadkar A static RMBS transaction that securitizes a portfolio of £1.03 billion owner-occupied and BTL mortgage loans secured on U.K. properties. The pool is well seasoned. The loans are first-lien U.K. owner-occupied and BTL residential mortgage loans; however, the pool includes a small percentage of lifetime mortgage loans. The borrowers in this pool may have previously been subject to a CCJ; or the Scottish equivalent, an individual voluntary arrangement, a bankruptcy order, may be self-employed, have self-certified their incomes, or were otherwise considered by banks and building societies to be nonprime borrowers. The loans are secured on properties in England, Wales, Scotland, and Northern Ireland and were mostly originated between 2003 and 2009. 21.6% of the mortgage loans are currently in arrears greater than (or equal to) one month.
Elstree Funding No.4 PLC Feb. 22, 2024 U.K. Second-charge James Gayer A static RMBS transaction that securitizes a £341.56 million portfolio of mortgage loans secured over U.K. properties. Of the loans in the pool, 40.5% are first-lien BTL mortgages, 54.2% are second-lien owner-occupied mortgages, and 5.3% are second-lien BTL mortgage loans. The loans in the pool were originated by West One Secured Loans Ltd. (WOSL) and West One Loan Ltd. (WOLL), which are wholly-owned subsidiaries of Enra Specialist Finance Ltd. (Enra), between 2017 and 2023. 38.2% of the collateral was previously securitized in Elstree Funding No.1, which was called in November 2023.
Durham Mortgages A PLC Feb. 27, 2024 U.K. U.K. Nonconf - pre 2014 Susan Tu The transaction is a second refinancing of the Durham Mortgages A PLC transaction, which closed in May 2018 (the original transaction) and was refinanced in February 2021. The pool comprises first-lien U.K. residential mortgage loans that Bradford & Bingley PLC (B&B) and Mortgage Express PLC (MX) originated. The loans are secured on properties in England, Wales, Scotland, and Northern Ireland and were originated between 1994 and 2009.
Polaris 2024-1 PLC March 6, 2024 U.K. U.K. Nonconf - post 2014 Ganesh Rajwadkar An RMBS transaction securitizing a portfolio of owner-occupied and BTL mortgage loans secured over U.K. properties. This is the eighth first-lien RMBS transaction originated by Pepper group in the U.K. that we have rated. The loans in the pool were originated between 2022 and 2024 by UK Mortgage Lending Ltd. (UKMLL), trading as Pepper Money. The collateral comprises complex-income borrowers, borrowers with immature credit profiles, and borrowers with credit impairments, and there is a high exposure to owner-occupied mortgages advanced to self-employed borrowers (35.3%) and owner-occupied mortgages advanced to first-time buyers (26.5%). Approximately 6.8% of the pool comprises BTL loans and the remaining 93.2% are owner-occupier loans.
SAECURE 22 B.V. March 20, 2024 Netherlands Prime Stephen Kemmy A static RMBS transaction securitizing a €636.7 million pool of prime, first- and sequentially lower-ranking Dutch mortgage loans. The pool contains 82% of loans that were in the SAECURE 16 B.V. transaction. SAECURE 22 is the latest securitization of mortgage loans originated by Aegon Hypotheken B.V. and Aegon Levensverzekering N.V. The structure remains unchanged from SAECURE 21 B.V. Of the pool, 10.5% benefits from payments made by the Stichting Waarborgfonds Eigen Woningen (WEW; Homeownership Guarantee Fund), under the Nationale Hypotheek Garantie (NHG) guarantee scheme.
Stratton Mortgage Funding 2024-2 PLC March 25, 2024 U.K. U.K. Nonconf - pre 2014 Arnaud Checconi A refinancing of Stratton Mortgage Funding 2021-1 PLC (Stratton 2021-1). The pool comprises first-ranking nonconforming, reperforming, owner-occupied, and BTL mortgage loans that were positively selected from "Project Sunbury" (Sunbury portfolio) or served as risk retention loans in Warwick 1 and Warwick 2, or previously securitized in Leek (Moonraker portfolio). BCMGlobal Mortgage Services Ltd. and BCMGlobal ASI Ltd. are the servicers for the Sunbury portfolio, and Western Mortgage Services Ltd. is the servicer for the Moonraker portfolio.
Roundstone Securities No. 2 DAC March 27, 2024 Ireland Ireland other Stephen Kemmy A static RMBS transaction that securitizes a €1.6 billion portfolio of performing and reperforming owner-occupied and BTL mortgage loans secured over residential properties in Ireland. The securitization includes loans that were previously securitized in Roundstone Securities No. 1 DAC. Bank of Scotland PLC originated all the loans, with most originated between 2005 and 2008.
Green STORM 2024 B.V. March 28, 2024 Netherlands Prime Florent Stiel The latest securitization of first-ranking (or first- and consecutive-ranking) Dutch mortgage loans originated by Obvion N.V. Obvion has been an established originator and servicer in the Netherlands since 1980. It has been a wholly owned subsidiary of Coöperatieve Rabobank U.A. since 2012. Of the pool, 11.2% benefits from the NHG guarantee scheme.

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.).

Appendix

a. Total historical series – delinquencies

Chart 8a

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Chart 8b

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Chart 9a

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Chart 9b

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b. List of transactions comprising indices

Group Transaction Outstanding amount (€) Sub-group (%)
France and Belgium BPCE Home Loans FCT 2017_5 3,517,046,034 3.0
BPCE HOME LOANS FCT 2021 GREEN UoP 1,237,014,617 1.1
BPCE Master Home Loans FCT 93,165,109,087 80.1
CASPR S.à r.l. 406,799,218 0.3
ELIDE FCT Compartiment 2014-01 122,227,558 0.1
Elide FCT Compartiment 2018-01 551,755,232 0.5
ELIDEII FCT Compartiments 2021-1 1,967,854,553 1.7
FCT Elide II Compartiment 2022-01 2,117,405,927 1.8
FCT Opera 2023 12,755,139,327 11.0
Harmony French Home Loans FCT 2022-1 442,071,812 0.4
France and Belgium total 116,282,423,366
Ireland other Glenbeigh 2 Issuer 2021-2 DAC 417,076,843 8.1
Jamestown Residential 2021-1 DAC 463,634,143 9.0
Kinbane 2022-RPL 1 DAC 484,034,906 9.3
Lansdowne Mortgage Securities No. 1 PLC 52,817,382 1.0
Lansdowne Mortgage Securities No. 2 PLC 104,722,541 2.0
Mulcair Securities No. 2 DAC 258,990,909 5.0
Mulcair securities No. 3 DAC 247,274,265 4.8
Primrose Residential 2021-1 DAC 656,915,723 12.7
Primrose Residential 2022-1 DAC 299,603,398 5.8
Proteus RMBS DAC 719,768,476 13.9
Shamrock Residential 2022-1 DAC 459,994,570 8.9
Shamrock Residential 2022-2 DAC 458,938,848 8.9
Shamrock Residential 2023-1 DAC 321,270,205 6.2
Summerhill Residential 2021-1 DAC . 233,824,650 4.5
Ireland other total 5,178,866,859
Ireland prime Dilosk RMBS No.5 DAC 269,741,524 4.4
Dilosk RMBS No.6 (STS) DAC 498,837,495 8.1
Fastnet Securities 16 DAC 1,938,059,045 31.5
Fastnet Securities 17 DAC 445,588,198 7.2
Fastnet Securities 18 DAC 2,195,780,644 35.7
Finance Ireland RMBS No. 3 DAC 174,657,167 2.8
Finance Ireland RMBS No. 4 DAC 286,512,394 4.7
Finance Ireland RMBS No.5 DAC 347,318,972 5.6
Ireland prime total 6,156,495,440
Italy Capital Mortgage S.r.l. 2007-1 292,679,303 8.8
Civitas SPV S.r.l. 2017-1 324,809,893 9.8
CR Volterra 2 SPV S.r.l. 113,033,524 3.4
Eurohome (Italy) Mortgages S.r.l. 92,939,279 2.8
Fanes S.r.l. 2018-1 220,221,105 6.7
F-E Mortgages S.r.l. 2005 94,779,760 2.9
Lanterna Mortgage S.r.l. 168,048,641 5.1
Media Finance S.r.l. 242,019,928 7.3
Pontormo RMBS S.r.l. 2017 492,733,320 14.9
Sestante Finance S.r.l. 1 62,536,987 1.9
Sestante Finance S.r.l. 2 118,096,684 3.6
Sestante Finance S.r.l. 3 201,600,535 6.1
Sestante Finance S.r.l. 4 208,609,200 6.3
Valconca SPV S.R.L. 46,200,431 1.4
Valsabbina RMBS SPV S.R.L. 630,560,890 19.1
Italy total 3,308,869,480
Netherlands E-MAC NL 2004-I B.V. 41,047,831 0.3
E-MAC NL 2004-II B.V. 49,012,458 0.4
E-MAC NL 2005-I B.V. 36,840,949 0.3
E-MAC NL 2005-III B.V. 86,630,467 0.6
E-MAC NL 2006-II B.V. 67,204,575 0.5
E-MAC Program B.V. Compartment NL 2006-III 109,594,009 0.8
E-MAC Program B.V. Compartment NL 2007-I 88,395,209 0.6
E-MAC Program B.V. Compartment NL 2007-III 74,651,470 0.5
E-MAC Program II B.V. Compartment NL 2007-IV 97,000,269 0.7
E-MAC Program II B.V. Compartment NL 2008-IV 38,979,259 0.3
E-MAC Program III B.V. Compartment NL 2008-I 30,301,504 0.2
E-MAC Program III B.V. Compartment NL 2008-II 17,864,994 0.1
FORDless STORM 2018 B.V. 639,751,295 4.6
Green STORM 2021 B.V. 520,876,531 3.8
Green STORM 2022 B.V. 519,140,579 3.8
PURPLE STORM 2016 B.V. 358,967,756 2.6
SAECURE 17 B.V. 4,491,189,215 32.6
SAECURE 19 B.V. 1,178,195,014 8.5
SAECURE 20 B.V. 513,710,826 3.7
SAECURE 21 B.V. 610,969,794 4.4
Solitaire I B.V. I 332,228,719 2.4
STORM 2019-I B.V. 2,028,303,276 14.7
STORM 2020-I B.V. 1,039,384,327 7.5
STRONG 2018 B.V. 810,022,516 5.9
Netherlands total 13,780,262,841
Netherlands BTL Domi 2019-1 B.V. 69,597,159 1.5
Domi 2020-1 B.V. 130,499,301 2.8
Domi 2020-2 B.V. 121,175,219 2.6
Domi 2021-1 B.V. 223,119,605 4.8
Domi 2022-1 B.V. 287,693,327 6.2
Domi 2023-1 B.V. 268,667,029 5.8
Dutch Property Finance 2019-1 B.V. 122,057,378 2.6
Dutch Property Finance 2020-1 B.V. 143,002,866 3.1
Dutch Property Finance 2020-2 B.V. 196,441,165 4.2
Dutch Property Finance 2021-1 B.V. 362,628,814 7.8
Dutch Property Finance 2021-2 B.V. 2021-2 342,469,272 7.4
Dutch Property Finance 2022-1 B.V. 387,672,153 8.4
Dutch Property Finance 2022-2 B.V. 218,829,994 4.7
Dutch Property Finance 2023-1 B.V. 455,892,447 9.9
Jubilee Place 2020-1 B.V. 97,026,583 2.1
Jubilee Place 2021-1 B.V. 170,831,027 3.7
Jubilee Place 3 B.V. 285,489,960 6.2
Jubilee Place 4 B.V. 350,752,089 7.6
Jubilee Place 5 B.V. 392,184,268 8.5
Netherlands BTL total 4,626,029,655
Portugal Ares Lusitani - STC, S.A. Embo Mortgages No.1 619,081,584 17.1
GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO2 80,599,859 2.2
GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO3 134,590,066 3.7
GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO4 142,883,258 3.9
HipoTotta No. 4 PLC 306,320,274 8.5
HipoTotta No. 5 PLC 339,383,251 9.4
Lusitano Mortgages No. 4 PLC 178,555,078 4.9
Lusitano Mortgages No. 5 PLC 286,349,647 7.9
Lusitano Mortgages No. 6 DAC 281,759,528 7.8
Lusitano Mortgages No. 7 DAC 741,305,383 20.5
Magellan Mortgages No. 3 PLC 176,613,193 4.9
Magellan Mortgages No. 4 PLC 201,390,357 5.6
SAGRES STC - Pelican Mortgages No. 3 PELICAN MORT NO. 3 80,818,435 2.2
TAGUS - Sociedade de Titularizacao de Creditos, S.A. AQUA MORT NO.1 48,672,785 1.3
Portugal total 3,618,322,698
Spain AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos 57,636,687 0.2
AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria 142,140,224 0.5
AyT Genova Hipotecario VI Fondo de Titulizacion Hipotecaria 57,137,291 0.2
AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria 135,932,551 0.5
AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria 200,402,171 0.7
AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria 158,357,525 0.6
AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria 195,849,247 0.7
AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos 70,655,476 0.2
AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos 114,203,220 0.4
AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos 247,900,734 0.9
Bancaja 10, Fondo de Titulizacion de Activos 485,757,142 1.7
Bancaja 11, Fondo de Titulizacion de Activos 463,969,530 1.6
Bankinter 10, Fondo de Titulizacion de Activos 151,811,783 0.5
Bankinter 11 Fondo de Titulizacion Hipotecaria 95,237,533 0.3
Bankinter 13, Fondo de Titulizacion de Activos 223,916,102 0.8
BBVA RMBS 14, Fondo de Titulizacion de Activos 271,630,311 1.0
BBVA RMBS 2, Fondo de Titulizacion de Activos 944,982,360 3.3
BBVA RMBS 20, Fondo de Titulizacion de Activos 1,879,271,254 6.6
BBVA RMBS 21 Fondo de Titulizacion 9,686,352,500 34.0
BBVA RMBS 22, FT 1,265,625,625 4.4
BBVA RMBS 5, Fondo de Titulizacion de Activos 1,481,380,682 5.2
BBVA RMBS 9, Fondo de Titulizacion de Activos 522,535,504 1.8
CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos 95,332,391 0.3
Fondo de Titulizacion de Activos Santander Hipotecario 2 265,872,220 0.9
Fondo de Titulizacion de Activos Santander Hipotecario 3 538,173,026 1.9
Fondo de Titulizacion de Activos UCI 11 77,870,819 0.3
Fondo de Titulizacion de Activos UCI 14 208,247,027 0.7
Fondo de Titulizacion de Activos UCI 15 266,402,914 0.9
Fondo de Titulizacion de Activos UCI 16 366,080,297 1.3
Fondo de Titulizacion de Activos UCI 17 322,727,226 1.1
Fondo de Titulizacion Hipotecaria UCI 12 113,039,066 0.4
GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos 131,520,628 0.5
Hipocat 10, Fondo de Titulizacion de Activos 135,418,906 0.5
Hipocat 11, Fondo de Titulizacion de Activos 152,137,351 0.5
Hipocat 9, Fondo de Titulizacion de Activos 90,449,659 0.3
HT Abanca RMBS I, Fondo de Titulizacion 456,099,402 1.6
IM PASTOR 2, Fondo de Titulizacion Hipotecaria 33,979,131 0.1
IM PASTOR 3, Fondo de Titulizacion Hipotecaria 122,048,554 0.4
IM PASTOR 4, Fondo de Titulizacion de Activos 158,743,393 0.6
MADRID RESIDENCIAL I, Fondo de Titulizacion de Activos 269,930,877 0.9
MADRID RESIDENCIAL II, Fondo de Titulizacion de Activos 251,204,467 0.9
MADRID RMBS I, Fondo de Titulizacion de Activos 484,131,610 1.7
MADRID RMBS II, Fondo de Titulizacion de Activos 428,463,507 1.5
MADRID RMBS III, Fondo de Titulizacion de Activos 937,073,752 3.3
MADRID RMBS IV, Fondo de Titulizacion de Activos 700,599,082 2.5
Miravet S.a r.l., Compartment 2020-1 2020-1 462,012,350 1.6
Rural Hipotecario XIX Fondo de Titulizacion 252,231,278 0.9
TDA Cajamar 2, Fondo de Titulizacion de Activos 73,373,822 0.3
TDA CAM 7, Fondo de Titulizacion de Activos 287,794,858 1.0
TDA CAM 8, Fondo de Titulizacion de Activos 255,408,737 0.9
TDA CAM 9, Fondo de Titulizacion de Activos 277,362,465 1.0
TDA Ibercaja 3 Fondo de Titulizacion de Activos 110,709,912 0.4
TDA Ibercaja 4 Fondo de Titulizacion de Activos 171,362,880 0.6
TDA Ibercaja 5, Fondo de Titulizacion de Activos 185,066,409 0.6
TDA Ibercaja 6, Fondo de Titulizacion de Activos 310,167,367 1.1
TDA Ibercaja 7, Fondo de Titulizacion de Activos 594,714,533 2.1
TDA Tarragona 1, Fondo de Titulizacion de Activos 1 51,886,482 0.2
Spain total 28,490,321,848
U.K. BTL - post 2014 Atlas Funding 2021-1 PLC 257,669,647 2.0
Atlas Funding 2022-1 PLC 383,989,549 3.0
Atlas Funding 2023-1 PLC 340,831,609 2.7
Canada Square Funding 2020-1 PLC 240,520,350 1.9
Canada Square Funding 2020-2 PLC 135,819,563 1.1
Canada Square Funding 2021-1 PLC 177,842,690 1.4
Canada Square Funding 2021-2 PLC 214,437,935 1.7
Canada Square Funding 6 PLC 334,514,819 2.6
Canada Square Funding 7 PLC 169,600,998 1.3
Canterbury Finance No. 3 PLC 295,528,412 2.3
Elstree Funding No.2 PLC 236,871,822 1.9
Elstree Funding No.3 PLC 341,160,788 2.7
Hops Hill No.1 PLC 355,764,535 2.8
Hops Hill No.2 PLC 324,077,517 2.5
Hops Hill No.3 PLC 439,105,798 3.4
Lanebrook Mortgage Transaction 2020-1 PLC 228,028,460 1.8
Lanebrook Mortgage Transaction 2021-1 PLC 2021-1 296,710,870 2.3
Lanebrook Mortgage Transaction 2022-1 PLC 361,212,274 2.8
London Wall Mortgage Capital PLC Fleet 2021-02 203,445,035 1.6
London Wall Mortgage Capital PLC Fleet 2021-1 234,150,725 1.8
Mortimer BTL 2021-1 PLC 238,142,665 1.9
Mortimer BTL 2022-1 PLC 279,216,391 2.2
Pierpont BTL 2021-1 PLC 222,894,074 1.7
Pierpont BTL 2023-1 PLC 290,197,997 2.3
Precise Mortgage Funding 2020-1B PLC 199,954,509 1.6
Shawbrook Mortgage Funding 2022-1 PLC 547,902,383 4.3
Stratton BTL Mortgage Funding 2022-1 PLC 332,569,290 2.6
Together Asset Backed Securitisation 2022-1ST1 PLC 409,477,563 3.2
Together Asset Backed Securitisation 2022-CRE1 PLC 327,964,082 2.6
Tower Bridge Funding 2021-1 PLC 199,635,310 1.6
Tower Bridge Funding 2021-2 PLC 172,531,701 1.4
Tower Bridge Funding 2022-1 PLC 237,815,657 1.9
Tower Bridge Funding 2023-1 PLC 318,679,394 2.5
Tudor Rose Mortgages 2021-1 PLC 131,863,628 1.0
Twin Bridges 2020-1 PLC 318,975,055 2.5
Twin Bridges 2021-1 PLC 373,379,880 2.9
Twin Bridges 2021-2 PLC 483,096,959 3.8
Twin Bridges 2022-1 PLC 555,704,806 4.4
Twin Bridges 2022-2 PLC 529,701,140 4.2
Twin Bridges 2022-3 PLC 362,167,887 2.8
Twin Bridges 2023-1 PLC 395,288,088 3.1
Tyne Funding No. 1 PLC 260,973,102 2.0
U.K. BTL - post 2014 total 12,759,414,958
U.K. BTL - pre 2014 Banna RMBS DAC 48,262,277 0.4
Bridgegate Funding PLC 2,385,755,334 20.9
Eurosail PRIME-UK 2007-A PLC 43,765,821 0.4
Great Hall Mortgages No. 1 PLC 2006-01 76,969,920 0.7
Great Hall Mortgages No. 1 PLC 2007-01 208,966,677 1.8
Great Hall Mortgages No. 1 PLC 2007-2 199,079,689 1.7
Harben Finance 2017-1 PLC 962,100,699 8.4
Ludgate Funding PLC 2006-FF1 58,288,167 0.5
Ludgate Funding PLC 2007-FF1 124,775,156 1.1
Ludgate Funding PLC 2008-W1 142,131,356 1.2
Mansard Mortgages 2007-2 PLC 2007-2 132,712,612 1.2
Paragon Mortgages (No. 12) PLC 12 392,355,379 3.4
Ripon Mortgages PLC 4,880,598,316 42.8
Towd Point Mortgage Funding 2018 - Auburn 12 PLC 175,798,149 1.5
Towd Point Mortgage Funding 2019 - Auburn 13 PLC . 910,708,385 8.0
Towd Point Mortgage Funding 2020 - Auburn 14 PLC 664,021,938 5.8
U.K. BTL - pre 2014 total 11,406,289,875
U.K. nonconf - post 2014 Barley Hill No. 2 PLC 124,682,536 3.2
Ealbrook Mortgage Funding 2022-1 PLC 213,664,453 5.4
Finsbury Square 2021-1 Green PLC 345,307,837 8.8
Finsbury Square 2021-2 PLC 174,234,299 4.4
Genesis Mortgage Funding 2022-1 PLC 178,164,160 4.5
Grosvenor Square RMBS 2023-1 PLC 916,752,660 23.3
Polaris 2021-1 PLC 250,996,820 6.4
Polaris 2022-1 PLC 360,424,127 9.1
Polaris 2022-2 PLC 311,593,836 7.9
Polaris 2023-1 PLC 450,876,208 11.4
Together Asset Backed Securitisation 2020 - 1 PLC 172,013,798 4.4
Together Asset Backed Securitisation 2021-1ST1 PLC 176,550,016 4.5
Together Asset Backed Securitisation 2022-2ND1 PLC 266,977,876 6.8
U.K. nonconf - post 2014 total 3,942,238,624
U.K. nonconf - pre 2014 ALBA 2005 - 1 PLC 38,557,159 0.2
ALBA 2006-2 PLC 94,970,752 0.5
ALBA 2007 - 1 PLC 221,027,108 1.2
Cheshire 2020-1 PLC 175,061,491 1.0
Cheshire 2021-1 PLC 189,697,104 1.1
Chester A PLC 1,123,443,706 6.3
Curzon Mortgages PLC 899,953,173 5.1
Durham Mortgages A PLC . 1,468,387,513 8.3
Durham Mortgages B PLC r 1,306,921,297 7.3
EMF-UK 2008-1 PLC 79,382,434 0.4
Eurohome UK Mortgages 2007-1 PLC 86,850,718 0.5
Eurohome UK Mortgages 2007-2 PLC 133,577,614 0.8
Eurosail 2006-1 PLC 66,005,621 0.4
Eurosail 2006-2BL PLC 86,207,794 0.5
Eurosail 2006-3NC PLC 57,328,671 0.3
Eurosail 2006-4NP PLC 98,180,380 0.6
Eurosail-UK 2007-1NC PLC 109,752,474 0.6
Eurosail-UK 2007-2NP PLC 124,159,325 0.7
Eurosail-UK 2007-3BL PLC 124,206,447 0.7
Eurosail-UK 2007-4BL PLC 158,901,912 0.9
Eurosail-UK 2007-5NP PLC 133,824,495 0.8
Eurosail-UK 2007-6NC PLC 95,688,938 0.5
Farringdon Mortgages No. 2 PLC 15,282,600 0.1
Harbour No.1 PLC 468,386,866 2.6
Kentmere No. 1 PLC 303,262,927 1.7
Kentmere No. 2 PLC 93,119,488 0.5
Landmark Mortgage Securities No.1 PLC 24,053,899 0.1
Landmark Mortgage Securities No.2 PLC 89,469,430 0.5
Landmark Mortgage Securities No.3 PLC 110,438,617 0.6
Mansard Mortgages 2006-1 PLC 63,709,919 0.4
Mansard Mortgages 2007-1 PLC 43,432,230 0.2
Mortgage Funding 2008-1 PLC 228,715,517 1.3
Newgate Funding PLC 2006-1 53,767,381 0.3
Newgate Funding PLC 2006-2 71,847,727 0.4
Newgate Funding PLC 2006-3 120,985,254 0.7
Newgate Funding PLC 2007-1 126,709,786 0.7
Newgate Funding PLC 2007-2 109,830,894 0.6
Newgate Funding PLC 2007-3 222,480,993 1.3
Parkmore Point RMBS 2022-1 PLC 259,852,511 1.5
Preferred Residential Securities 05-2 PLC 26,261,325 0.1
Preferred Residential Securities 06-1 PLC 39,241,492 0.2
Residential Mortgage Securities 32 PLC 462,797,024 2.6
ResLoC U.K. 2007-1 PLC 187,647,532 1.1
RMAC Securities No. 1 PLC 2006-NS1 144,090,519 0.8
RMAC Securities No. 1 PLC 2006-NS2 105,775,032 0.6
RMAC Securities No. 1 PLC 2006-NS3 130,872,835 0.7
RMAC Securities No. 1 PLC 2006-NS4 240,279,307 1.4
RMAC Securities No. 1 PLC 2007-NS1 115,187,505 0.6
Rochester Financing No. 3 PLC 165,142,077 0.9
Southern Pacific Financing 05-B PLC 34,692,584 0.2
Southern Pacific Financing 06-A PLC 36,634,288 0.2
Southern Pacific Securities 06-1 PLC 27,755,959 0.2
Stanlington No. 2 PLC 248,845,721 1.4
Stratton Hawksmoor 2022-1 PLC 1,936,725,734 10.9
Stratton Mortgage Funding 2020-1 PLC 190,698,144 1.1
Stratton Mortgage Funding 2021-3 PLC 206,275,504 1.2
Temple Quay No.1 PLC 448,355,921 2.5
Towd Point Mortgage Funding 2019-Granite4 PLC 1,670,907,400 9.4
Trinity Square 2021-1 PLC 762,591,180 4.3
Uropa Securities PLC 2007-1B 154,398,955 0.9
Warwick Finance Residential Mortgages Number Four PLC 193,027,413 1.1
Warwick Finance Residential Mortgages Number Three PLC 984,515,176 5.5
U.K. nonconf - pre 2014 total 17,790,150,791
U.K. prime Brants Bridge 2022-1 PLC 178,199,538 2.1
Castell 2021-1 PLC 209,798,227 2.5
Castell 2022-1 PLC 223,060,510 2.7
Castell 2023-1 PLC 379,502,612 4.6
Elvet Mortgages 2019-1 PLC 59,130,972 0.7
Elvet Mortgages 2020-1 PLC 108,019,549 1.3
Fosse Master Issuer PLC 2,173,834,805 26.1
Holmes Master Issuer PLC 4,983,142,828 59.9
U.K. prime total 8,314,689,040
Grand total 235,654,375,476

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: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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