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COMMENTS

U.K. Second-Lien Monitor Q3 2024

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

Covered Bonds Uncovered

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2025 U.S. Residential Mortgage And Housing Outlook

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Weekly European CLO Update


U.K. Second-Lien Monitor Q3 2024

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Table 1

Second-lien--Key features
Q3 2024
Number of loans 38,765
Total current balance (£) 1,793,456,128
Average original balance (£) 54,000
Average current balance (£) 46,265
Owner-occupied (% of total current balance) 90.9
Owner-occupied 90+ delinquencies (% of current balance) 3.1
Owner-occupied WA original loan term (months) 177
Buy-to-let (% of total current balance) 9.1
Buy-to-let 90+ delinquencies (% of total current balance) 2.9
Buy-to-let WA original loan term (months) 153
WA interest rate margin (% of total current balance) 7.8
Interest rate reversion margin (% of total current balance)
<=4 8.2
4-5 17.2
5-6 15.2
6-7 12.2
7-8 6.4
8-9 3.8
9-10 4.2
>10 33.0
WA average borrower's joint income (owner-occupied) (£) 53,894
WA--Weighted-average. Q--Quarter.

Table 2

Second-lien original loan-to-value ratios (%) and loan status (months in arrears)
<40 40-50 50-60 60-70 70-80 80-90 90-100 >100
Current 95.2 96.0 93.7 93.8 93.3 93.1 90.0 85.3
1-2 2.1 1.2 2.9 2.4 2.4 1.7 1.5 2.3
2-3 0.5 1.1 0.6 1.1 1.1 0.7 1.4 1.1
3-4 0.4 0.3 1.2 0.8 0.9 0.5 0.4 0.7
4-5 0.3 0.4 0.2 0.4 0.5 0.7 0.4 0.5
5-6 0.2 0.2 0.2 0.3 0.3 0.5 0.5 0.1
>6 1.2 0.9 1.1 1.2 1.5 2.9 5.7 10.0
As of Q3 2024.

Table 3

Total delinquencies
(%) Q2 2024
EMEA RMBS index 3.9
U.K. second-lien* 6.2
U.K. prime 0.8
U.K. BTL post-2014 2.4
U.K. nonconforming post-2014 9.2
*Based on loan-by-loan data as of Q3 2024. Q--Quarter. BTL--Buy-to-let. Source: S&P Global Ratings' European RMBS Index Report Q2 2024.

Table 4

Breakdown of second-lien total delinquencies Q3 2024
Current balance (%) Number of loans
Current 93.8 36,585
1-2 2.2 717
2-3 0.9 298
3-4 0.8 199
4-5 0.4 150
5-6 0.3 111
>6 1.6 707
Q--Quarter.

Chart 1

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Chart 2

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Chart 3

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Chart 4

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Chart 5

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Chart 6

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Chart 7

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Chart 8

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Table 5

Ratings activity in second-lien transactions
Closing date Surveillance analyst

Castell 2019-1 PLC

September 19, 2019 Redeemed

Castell 2020-1 PLC

September 30, 2020 Redeemed

Castell 2021-1 PLC

October 21, 2021 Michael Dillon

Castell 2022-1 PLC

July 19, 2022 Michael Dillon

Castell 2023-1 PLC

April 25, 2023 Michael Dillon

Castell 2023-2 PLC

November 15, 2023 Michael Dillon

Elstree Funding No.2 PLC

January 29, 2022 Pratish Dcruz

Elstree Funding No.3 PLC

March 22, 2023 Pratish Dcruz

Elstree Funding No.4 PLC

February 22, 2024 Pratish Dcruz

Polo Funding 2021-1 PLC

October 21, 2021 Arnaud Checconi

Together Asset Backed Securitisation 2021-CRE1 PLC

March 15, 2021 Aarondeep Hothi

Together Asset Backed Securitisation 2021-CRE2 PLC

June 30, 2021 Aarondeep Hothi

Together Asset Backed Securitisation 2022-2ND1 PLC

May 27, 2022 Aarondeep Hothi

Together Asset Backed Securitisation 2022-CRE1 PLC

June 13, 2022 Aarondeep Hothi

Together Asset Backed Securitisation 2023-CRE-1 PLC

November 28, 2023 Aarondeep Hothi

Together Asset Backed Securitisation 2024-2ND1 PLC

January 19, 2024 Aarondeep Hothi

Summary Of Methodology For Our U.K. Second-Lien Monitor

What is included in the index?

The index mostly includes second- or lower-lien loans of U.K. transactions that we rate. Charts 1, 2, 3, and 8 use investor report data from "pure" second-lien transactions.

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 based on the current balance of each loan. For transaction-specific charts, we weight the figures against the transaction's current balance.

When a transaction redeems, how does it affect the index? Does it affect the previous quarter(s)?

When a transaction redeems, it does not affect the index beyond that point or the 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 Q1 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.

Appendix

Transactions included in the monitor (loan-by-loan)
Transaction Weight (%)
Castell 2023-1 PLC 16.1
Castell 2023-2 PLC 14.9
Together Asset Backed Securitisation 2024-2ND1 PLC 14.5
Together Asset Backed Securitisation 2022-2ND1 PLC 10.7
Elstree Funding No.4 PLC 10.1
Castell 2022-1 PLC 9.7
Castell 2021-1 PLC 9.4
Elstree Funding No.3 PLC 4.8
Polo Funding 2021-1 PLC 4.7
Elstree Funding No.2 PLC 2.9
Together Asset Backed Securitisation 2022-CRE1 PLC 0.8
Together Asset Backed Securitisation 2021-CRE2 PLC 0.8
Together Asset Backed Securitisation 2023-CRE-1 PLC 0.5
Together Asset Backed Securitisation 2021-CRE1 PLC 0.2

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 Contact:Feliciano P Pereira, CFA, Madrid +34 676 751 559;
feliciano.pereira@spglobal.com

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