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COMMENTS

European RMBS Index Report Q3 2024

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European RMBS Index Report Q3 2024

Summary

  • Our European RMBS index tracks the collateral performance of the transactions we rate.
  • Quarter-on-quarter total delinquencies were stable in most indices, exceptions being an increase in U.K. BTL pre-2014 and U.K. nonconforming pre- and post-2014 transactions.
  • Prepayment rates vary and reflect local market specifics. Prepayment rates for most jurisdictions were broadly in line with Q2 2024.
  • For several sectors, arrears will likely continue to increase as borrowers refinance into the higher-rate environment, with increasing unemployment and decreasing wage growth also on the horizon. However, proactive servicing and forbearance may increase collection rates for delinquent loans more 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 (%)
Q3 2024 Q2 2024 Q1 2024 Q4 2023 Q3 2023
All countries - index 3.9 3.8 4.0 4.8 4.3
France and Belgium 0.4 0.3 0.3 0.3 0.3
Italy 2.0 2.2 2.0 2.0 2.1
Ireland prime 0.9 0.9 0.9 0.8 0.7
Ireland other 27.0 27.2 24.4 22.6 19.7
Netherlands 0.3 0.2 0.2 0.2 0.2
Netherlands BTL 0.7 0.8 0.3 0.5 0.4
Portugal 4.4 4.3 4.2 4.0 3.9
Spain 7.0 6.7 6.6 6.5 6.3
U.K. prime 0.9 0.8 0.8 1.0 0.9
U.K. BTL 6.7 6.7 6.3 8.0 5.9
U.K. BTL - pre 2014 12.3 11.7 11.3 12.8 9.5
U.K. BTL - post 2014 2.5 2.4 2.0 1.8 1.6
U.K. nonconforming 24.1 22.3 22.0 20.7 18.7
U.K. nonconforming - pre 2014 28.2 27.1 24.7 23.2 20.9
U.K. nonconforming - post 2014 10.1 9.2 9.8 8.8 5.6
BTL--Buy-to-let. Q--Quarter.

Table 2

Prepayment rate
(%) Q3 2024 Q2 2024 Q1 2024 Q4 2023 Q3 2023
Prepayment rate
All countries - index 7.1 7.3 6.8 8.9 9.1
France and Belgium 2.8 2.3 1.9 2.7 3.3
Italy 4.3 4.9 4.3 5.6 5.1
Ireland prime 14.9 14.4 13.5 10.6 12.1
Ireland other 6.6 8.7 7.5 9.8 9.2
Netherlands 5.0 4.9 5.4 6.1 6.0
Netherlands BTL 12.2 10.1 8.7 9.6 6.7
Portugal 10.3 10.1 10.1 10.6 9.8
Spain 6.9 7.7 7.9 8.6 7.8
U.K. Prime 21.8 34.6 31.0 22.0 21.3
U.K. BTL 13.8 14.3 12.6 14.4 15.3
U.K. BTL - pre 2014 14.7 14.9 13.1 13.8 15.8
U.K. BTL - post 2014 14.1 14.7 12.9 15.8 15.5
U.K. nonconforming 17.2 15.8 15.1 16.0 17.2
U.K. nonconforming - pre 2014 13.2 11.8 12.5 12.9 14.9
U.K. nonconforming - post 2014 30.8 26.9 26.7 30.7 31.0
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 Q3 2024
Closing date Country Asset class Surveillance Analyst Noteworthy points
Merrion Square Residential 2024-1 DAC July 10, 2024 Ireland Ireland other Matt Cosgrove, CFA 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 (87%) originated between 2003 and 2009 by Permanent TSB PLC, Irish Nationwide Building Society, and Springboard Mortgages Ltd.
Jamestown Residential 2024-1 DAC July 25, 2024 Ireland Ireland other Philip Bane A static RMBS transaction that securitizes a €702.12 million portfolio of performing and reperforming owner-occupied and BTL mortgage loans secured over residential properties in Ireland. This securitization is a refinancing of Jamestown Residential 2021-1 DAC and Mulcair Securities No. 2 DAC, which we rated. Jamestown Residential 2021-1 is a purchased portfolio, previously securitized in Jepson Residential 2019-1 DAC. Bank of Scotland (Ireland) Ltd., Nua Mortgages Ltd., and Start Mortgages DAC originated the loans, mostly between 2005 and 2008. The loans in Mulcair Securities No. 2 were originated by the Bank of Ireland, ICS Building Society, and Bank of Ireland Mortgage Bank (BOIMB).
Dutch Mortgage Finance 2024-1 B.V. July 31, 2024 Netherlands Netherlands BTL Giovanna Perotti An RMBS transaction that securitizes a final portfolio of €1,522.20 million Dutch mortgage loans secured on properties in the Netherlands. Most loans are BTL. The collateral comprises multiple borrowers grouped into risk groups, sharing an obligation to service the entire debt. In the final pool, 58.3% of the portfolio (49.7% based on our methodology) by current balance comprises commercial (42.9%) and mixed-use (15.4%) properties.
Bletchley Park Funding 2024-1 PLC Aug. 8, 2024 U.K. U.K. BTL--post 2014 Arnaud Checconi An RMBS transaction that securitizes a portfolio of mortgage loans secured on properties in the U.K. The mortgage portfolio is approximately £234.00 million as of May 31, 2024. The transaction comprises BTL mortgages originated by Quantum Mortgages Ltd. (93.7%; the "Carbon" portfolio) and owner-occupied mortgages originated by Hey Habito Ltd. (6.3%; the "Chronos" portfolio).
London Wall Mortgage Capital PLC 2024-01 Aug. 15, 2024 U.K. U.K. BTL--post 2014 Pratish Dcruz An RMBS transaction that securitizes a portfolio of BTL and owner-occupied mortgage loans secured on properties in the U.K. This transaction is the sixth securitization under the London Wall Mortgage Capital PLC program. The loans in the pool were originated between 2014 and 2022 by Fleet Mortgages Ltd. (28%), Charter Court Financial Services Ltd. (CCFS) (29%), and The Mortgage Lender Ltd. (TML) (43%).
Durham Mortgages B PLC refinance Aug. 27, 2024 U.K. U.K. BTL--pre 2014 Susan Tu The transaction is a second refinancing of the Durham Mortgages B PLC transaction, which closed in May 2018 (the original transaction) and was refinanced in August 2021. The pool comprises first-lien U.K. residential mortgage loans originated by Bradford & Bingley PLC (B&B), Close Brothers Ltd., GMAC-RFC Ltd., Kensington Mortgage Company Ltd. (KMC), and Mortgage Express PLC (MX) between 1998 and 2008, secured on properties in England, Wales, Scotland, and Northern Ireland .
Braccan Mortgage Funding 2024-1 PLC Sept. 12, 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. The loans in the pool were originated between 2015 and 2024, with most originated in 2024, by Paratus AMC Ltd., a nonbank specialist lender. The loans were originated under the Foundation Home Loans (FHL) brand. The collateral comprises first-lien U.K. BTL residential mortgage loans (70.3%) and owner-occupied mortgages (29.7%) advanced to complex income borrowers with limited credit impairments.
Together Asset Backed Securitisation 2024-1ST2 PLC Sept. 18, 2024 U.K. U.K. nonconforming --post 2014 Arnaud Checconi Together 2024-1ST2 is a static RMBS transaction, securitizing a portfolio of £445.20 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. originated the loans in the pool between 2017 and 2023. Close to two-thirds of the loans were originated in the last two years, while the loans with higher seasoning are predominantly being refinanced from Together Asset Backed Securitisation 2020-1 PLC.
Tower Bridge Funding 2024-3 PLC Sept. 19, 2024 U.K. U.K. BTL--post 2014 Pratish Dcruz 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, originated the loans in the pool between 2017 and 2024 via its specialist mortgage lending brand, Vida Homeloans. Approximately 26.2% of the assets in the transaction were previously securitized in prior Tower Bridge transactions that we rated. Approximately 72.7% of the pool comprises BTL loans and the remaining are owner-occupier.

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

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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

 3,303,798,908 2.8

BPCE HOME LOANS FCT 2021 GREEN UoP

 1,152,549,510 1.0

BPCE Master Home Loans FCT

 93,825,509,777 80.3

CASPR S.à r.l.

 376,493,045 0.3

ELIDE FCT Compartiment 2014-01

 113,888,037 0.1

Elide FCT Compartiment 2018-01

 513,367,877 0.4

ELIDEII FCT Compartiments 2021-1

 1,852,566,817 1.6

FCT Elide II Compartiment 2022-01

 2,005,370,499 1.7

FCT French Prime Cash 2023

 682,966,576 0.6

FCT Opera 2023

 12,659,398,446 10.8

Harmony French Home Loans FCT 2022-1

 413,288,850 0.4
France and Belgium Total 116,899,198,341
Ireland other

Kinbane 2022-RPL 1 DAC

 458,302,504 10.6

Lansdowne Mortgage Securities No. 1 PLC

 50,027,981 1.2

Lansdowne Mortgage Securities No. 2 PLC

 100,257,936 2.3

Merrion Square Residential 2023-1 DAC

 426,366,073 9.9

Merrion Square Residential 2024-1 DAC

 627,500,653 14.5

Mulcair securities No. 3 DAC

 228,544,876 5.3

Portman Square 2023-NPL1 DAC

 361,340,644 8.3

Primrose Residential 2022-1 DAC

 285,339,197 6.6

Proteus RMBS DAC

 609,833,041 14.1

Shamrock Residential 2022-1 DAC

 434,002,344 10.0

Shamrock Residential 2022-2 DAC

 437,893,804 10.1

Shamrock Residential 2023-1 DAC

 309,150,809 7.1
Ireland other total 4,328,559,862
Ireland prime

Dilosk RMBS No.5 DAC

 227,682,234 3.7

Dilosk RMBS No.6 (STS) DAC

 472,960,312 7.8

Dilosk RMBS No.7 DAC

 171,035,143 2.8

Fastnet Securities 16 DAC

 1,795,688,859 29.5

Fastnet Securities 17 DAC

 405,867,120 6.7

Fastnet Securities 18 DAC

 1,971,604,328 32.4

Finance Ireland RMBS No. 4 DAC

 255,149,032 4.2

Finance Ireland RMBS No. 6 DAC

 206,322,721 3.4

Finance Ireland RMBS No. 7 DAC

 242,329,151 4.0

Finance Ireland RMBS No.5 DAC

 330,487,480 5.4
Ireland prime total 6,079,126,381
Italy

Capital Mortgage S.r.l. 2007-1

 272,610,002 8.6

Civitas SPV S.r.l. 2017-1

 299,581,788 9.4

CR Volterra 2 SPV S.r.l.

 103,339,142 3.3

Eurohome (Italy) Mortgages S.r.l.

 88,624,342 2.8

Fanes S.r.l. 2018-1

 202,573,516 6.4

F-E Mortgages S.r.l. 2005

 85,290,942 2.7

Lanterna Mortgage S.r.l.

 155,292,501 4.9

Media Finance S.r.l

 173,780,916 5.5

Pontormo RMBS S.r.l. 2017

 452,963,468 14.3

Sestante Finance S.r.l. 1

 58,333,496 1.8

Sestante Finance S.r.l. 2

 111,523,843 3.5

Sestante Finance S.r.l. 3

 192,266,495 6.1

Sestante Finance S.r.l. 4

 201,517,815 6.4

Stresa Securitisation Srl

 141,029,980 4.4

Valconca SPV S.R.L.

 42,506,198 1.3

Valsabbina RMBS SPV S.R.L.

 591,141,840 18.6
Italy total 3,172,376,284
Netherlands

Delphinus 2023-I B.V.

 513,501,906 3.7

E-MAC NL 2004-I B.V.

 36,610,819 0.3

E-MAC NL 2004-II B.V.

 45,105,507 0.3

E-MAC NL 2005-I B.V.

 34,394,425 0.2

E-MAC NL 2005-III B.V.

 82,488,386 0.6

E-MAC NL 2006-II B.V.

 65,370,094 0.5

E-MAC Program B.V. Compartment NL 2006-III

 102,605,482 0.7

E-MAC Program B.V. Compartment NL 2007-I

 83,881,227 0.6

E-MAC Program B.V. Compartment NL 2007-III

 69,449,472 0.5

E-MAC Program II B.V. Compartment NL 2007-IV

 90,333,334 0.7

E-MAC Program II B.V. Compartment NL 2008-IV

 37,226,618 0.3

E-MAC Program III B.V. Compartment NL 2008-I

 29,682,718 0.2

E-MAC Program III B.V. Compartment NL 2008-II

 16,260,134 0.1

FORDless STORM 2018 B.V.

 612,063,816 4.4

Green STORM 2021 B.V.

 515,621,611 3.7

Green STORM 2022 B.V.

 516,103,672 3.7

Orcinus 2023 B.V.

 1,850,940,262 13.4

PURPLE STORM 2016 B.V.

 344,327,881 2.5

SAECURE 17 B.V.

 4,368,404,899 31.6

SAECURE 19 B.V.

 1,136,353,932 8.2

SAECURE 20 B.V.

 491,691,189 3.6

SAECURE 21 B.V.

 589,766,920 4.3

Solitaire I B.V. I

 329,586,242 2.4

STORM 2020-I B.V.

 1,032,865,059 7.5

STRONG 2018 B.V.

 824,125,817 6.0
Netherlands total 13,818,761,423
Netherlands BTL

Domi 2020-1 B.V.

 117,596,634 2.7

Domi 2020-2 B.V.

 114,721,490 2.6

Domi 2021-1 B.V.

 204,559,879 4.7

Domi 2022-1 B.V.

 270,005,421 6.2

Domi 2023-1 B.V.

 261,532,777 6.0

Dutch Property Finance 2020-1 B.V.

 123,039,013 2.8

Dutch Property Finance 2020-2 B.V.

182,051,354 4.2

Dutch Property Finance 2021-1 B.V.

 329,821,021 7.6

Dutch Property Finance 2021-2 B.V. 2021-2

 316,331,184 7.3

Dutch Property Finance 2022-1 B.V.

 358,851,106 8.3

Dutch Property Finance 2022-2 B.V.

 208,364,348 4.8

Dutch Property Finance 2023-1 B.V.

 426,883,111 9.8

Jubilee Place 2020-1 B.V.

 91,038,868 2.1

Jubilee Place 2021-1 B.V.

 154,709,905 3.6

Jubilee Place 3 B.V.

 259,871,445 6.0

Jubilee Place 4 B.V.

 339,107,708 7.8

Jubilee Place 5 B.V.

 380,691,263 8.8

Vecht Residential 2023-1 B.V.

 209,984,334 4.8
Netherlands BTL total 4,349,160,860
Portugal

Ares Lusitani - STC, S.A. Embo Mortgages No.1

 512,412,035 15.7

GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO2

 75,625,099 2.3

GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO3

 127,614,715 3.9

GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO4

 133,997,549 4.1

HipoTotta No. 4 PLC

286,590,676 8.8

HipoTotta No. 5 PLC

 317,329,866 9.7

Lusitano Mortgages No. 4 PLC

 166,103,518 5.1

Lusitano Mortgages No. 5 PLC

 270,497,284 8.3

Lusitano Mortgages No. 6 DAC

 267,340,457 8.2

Lusitano Mortgages No. 7 DAC

 705,593,691 21.6

Magellan Mortgages No. 3 PLC

 165,583,625 5.1

Magellan Mortgages No. 4 PLC

 189,565,807 5.8

TAGUS - Sociedade de Titularizacao de Creditos, S.A. AQUA MORT NO.1

 44,245,032 1.4
Portugal total 3,262,499,353
Spain

AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos

 53,911,863 0.2

AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria

 129,950,088 0.5

AyT Genova Hipotecario VII Fondo de Titulizacion Hipotecaria

 123,992,158 0.5

AyT Genova Hipotecario VIII Fondo de Titulizacion Hipotecaria

 181,896,320 0.8

AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria

 145,641,099 0.6

AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria

 180,274,567 0.7

AyT Hipotecario Mixto V, Fondo de Titulizacion de Activos

 64,658,457 0.3

AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos

 105,758,801 0.4

AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos

230,593,247 1.0

Bancaja 10, Fondo de Titulizacion de Activos

 451,267,984 1.9

Bancaja 11, Fondo de Titulizacion de Activos

 434,790,888 1.8

Bankinter 11 Fondo de Titulizacion Hipotecaria

 86,682,982 0.4

Bankinter 13, Fondo de Titulizacion de Activos

 200,476,688 0.8

BBVA RMBS 14, Fondo de Titulizacion de Activos

 255,742,585 1.1

BBVA RMBS 2, Fondo de Titulizacion de Activos

 873,242,511 3.6

BBVA RMBS 20, Fondo de Titulizacion de Activos

 1,793,396,197 7.4

BBVA RMBS 21 Fondo de Titulizacion

 9,160,411,423 38.0

BBVA RMBS 22, FT

1,220,918,689 5.1

CAIXA PENEDES 1 TDA Fondo de Titulizacion de Activos

 86,207,375 0.4

Fondo de Titulizacion de Activos Santander Hipotecario 2

 245,786,531 1.0

Fondo de Titulizacion de Activos Santander Hipotecario 3

 504,195,969 2.1

Fondo de Titulizacion de Activos UCI 14

 191,381,605 0.8

Fondo de Titulizacion de Activos UCI 15

 245,842,128 1.0

Fondo de Titulizacion de Activos UCI 16

 339,336,107 1.4

Fondo de Titulizacion de Activos UCI 17

 298,369,596 1.2

Fondo de Titulizacion Hipotecaria UCI 12

 103,249,267 0.4

GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos

 119,974,878 0.5

Hipocat 10, Fondo de Titulizacion de Activos

 123,894,615 0.5

Hipocat 11, Fondo de Titulizacion de Activos

 140,291,527 0.6

Hipocat 9, Fondo de Titulizacion de Activos

 83,922,232 0.3

HT Abanca RMBS I, Fondo de Titulizacion

 406,387,063 1.7

IM PASTOR 2, Fondo de Titulizacion Hipotecaria

 30,531,370 0.1

IM PASTOR 3, Fondo de Titulizacion Hipotecaria

 116,437,949 0.5

IM PASTOR 4, Fondo de Titulizacion de Activos

 151,253,909 0.6

MADRID RMBS I, Fondo de Titulizacion de Activos

 451,741,147 1.9

MADRID RMBS II, Fondo de Titulizacion de Activos

 402,496,303 1.7

MADRID RMBS III, Fondo de Titulizacion de Activos

 882,496,511 3.7

MADRID RMBS IV, Fondo de Titulizacion de Activos

 653,353,302 2.7

Miravet S.a r.l., Compartment 2020-1

 436,569,925 1.8

Rural Hipotecario XIX Fondo de Titulizacion

 230,021,956 1.0

TDA Cajamar 2, Fondo de Titulizacion de Activos

 66,955,561 0.3

TDA CAM 7, Fondo de Titulizacion de Activos

 270,377,233 1.1

TDA CAM 8, Fondo de Titulizacion de Activos

 236,864,898 1.0

TDA CAM 9, Fondo de Titulizacion de Activos

 260,355,301 1.1

TDA Ibercaja 3 Fondo de Titulizacion de Activos

 101,044,396 0.4

TDA Ibercaja 4 Fondo de Titulizacion de Activos

 155,620,646 0.6

TDA Ibercaja 5, Fondo de Titulizacion de Activos

 170,140,041 0.7

TDA Ibercaja 6, Fondo de Titulizacion de Activos

 288,470,281 1.2

TDA Ibercaja 7, Fondo de Titulizacion de Activos

 555,161,529 2.3

TDA Tarragona 1, Fondo de Titulizacion de Activos

 48,126,920 0.2
Spain total 24,090,464,617
U.K. BTL - post 2014

Atlas Funding 2022-1 PLC

 383,253,652 2.5

Atlas Funding 2023-1 PLC

 339,006,887 2.2

Canada Square Funding 2020-1 PLC

 231,735,748 1.5

Canada Square Funding 2020-2 PLC

 134,252,353 0.9

Canada Square Funding 2021-1 PLC

 173,653,633 1.1

Canada Square Funding 2021-2 PLC

 210,966,600 1.4

Canada Square Funding 6 PLC

 335,698,967 2.2

Canada Square Funding 7 PLC

 130,852,756 0.9

Canterbury Finance No. 3 PLC

 193,315,999 1.3

Chetwood Funding 2024-1 PLC

 1,269,855,921 8.3

Elstree Funding No.2 PLC

 230,666,675 1.5

Elstree Funding No.3 PLC

 322,492,526 2.1

Hops Hill No.2 PLC

 316,636,775 2.1

Hops Hill No.3 PLC

 433,035,982 2.8

Lanebrook Mortgage Transaction 2020-1 PLC

149,344,895 1.0

Lanebrook Mortgage Transaction 2021-1 PLC 2021-1

 295,608,716 1.9

Lanebrook Mortgage Transaction 2022-1 PLC

 353,854,312 2.3

Lanebrook Mortgage Transaction 2023-1 PLC

 469,028,203 3.1

London Wall Mortgage Capital PLC Fleet 2021-02

 194,404,429 1.3

London Wall Mortgage Capital PLC Fleet 2021-1

 227,921,195 1.5

Mortimer BTL 2021-1 PLC

 232,129,039 1.5

Mortimer BTL 2022-1 PLC

 271,797,316 1.8

Mortimer BTL 2023-1 PLC

 377,193,987 2.5

Pierpont BTL 2021-1 PLC

 217,535,417 1.4

Pierpont BTL 2023-1 PLC

 273,691,152 1.8

Precise Mortgage Funding 2020-1B PLC

 177,580,108 1.2

Shawbrook Mortgage Funding 2022-1 PLC

 527,890,969 3.5

Stratton BTL Mortgage Funding 2022-1 PLC

 273,055,106 1.8

Together Asset Backed Securitisation 2022-1ST1 PLC

 353,571,736 2.3

Together Asset Backed Securitisation 2022-CRE1 PLC

307,824,221 2.0

Together Asset Backed Securitisation 2023-1ST1 PLC

 404,414,775 2.6

Together Asset Backed Securitisation 2023-1ST2 PLC

 431,067,379 2.8

Together Asset Backed Securitisation 2023-CRE-1 PLC 2023-CRE1

 403,900,094 2.6

Tower Bridge Funding 2021-2 PLC

 164,316,541 1.1

Tower Bridge Funding 2022-1 PLC

 225,200,260 1.5

Tower Bridge Funding 2023-1 PLC

 159,637,485 1.0

Tower Bridge Funding 2023-2 PLC

 446,758,043 2.9

Tower Bridge Funding 2024-1 PLC

 339,084,395 2.2

Tudor Rose Mortgages 2021-1 PLC

 109,568,959 0.7

Twin Bridges 2021-1 PLC

 375,247,276 2.5

Twin Bridges 2021-2 PLC

 485,100,139 3.2

Twin Bridges 2022-1 PLC

 554,242,196 3.6

Twin Bridges 2022-2 PLC

 486,314,389 3.2

Twin Bridges 2022-3 PLC

 325,604,014 2.1

Twin Bridges 2023-1 PLC

 314,195,965 2.1

Twin Bridges 2023-2 PLC

 406,736,073 2.7

Tyne Funding No. 1 PLC

 238,465,604 1.6
U.K. BTL - post 2014 total 15,277,708,864
U.K. BTL - pre 2014

Banna RMBS DAC

 43,188,824 0.3

Bridgegate Funding PLC

 2,178,093,854 17.3

Eurosail PRIME-UK 2007-A PLC

 38,797,585 0.3

Great Hall Mortgages No. 1 PLC 2006-01

 73,494,697 0.6

Great Hall Mortgages No. 1 PLC 2007-01

 198,749,823 1.6

Great Hall Mortgages No. 1 PLC 2007-2

 186,816,300 1.5

Harben Finance 2017-1 PLC

 899,017,467 7.2

Jupiter Mortgage No.1 PLC

 2,098,783,189 16.7

Ludgate Funding PLC 2006-FF1

 53,630,593 0.4

Ludgate Funding PLC 2007-FF1

 117,384,415 0.9

Ludgate Funding PLC

 135,110,411 1.1

Mansard Mortgages 2007-2 PLC 2007-2

 123,105,079 1.0

Oat Hill No.3 PLC

369,830,915 2.9

Paragon Mortgages (No. 12) PLC 12

 358,679,268 2.9

Ripon Mortgages PLC

 4,567,535,549 36.4

Stratton Mortgage Funding 2024-1 PLC

 1,112,177,242 8.9
U.K. BTL - pre 2014 total 12,554,395,211
U.K. nonconforming - post 2014

Barley Hill No. 2 PLC

 93,672,956 1.9

Ealbrook Mortgage Funding 2022-1 PLC

 189,269,419 3.7

Finsbury Square 2021-1 Green PLC

 325,224,482 6.4

Finsbury Square 2021-2 PLC

 166,881,398 3.3

Genesis Mortgage Funding 2022-1 PLC

 142,066,651 2.8

Grosvenor Square RMBS 2023-1 PLC

 713,706,355 14.1

Holbrook Mortgage Transaction 2023-1 PLC

 526,749,626 10.4

Polaris 2021-1 PLC

 236,554,861 4.7

Polaris 2022-1 PLC

 352,237,557 7.0

Polaris 2022-2 PLC

 259,075,352 5.1

Polaris 2023-1 PLC

 366,324,033 7.2

Polaris 2023-2 PLC

 419,260,093 8.3

Polaris 2024-1 PLC

 579,026,771 11.4

Together Asset Backed Securitisation 2021-1ST1 PLC

 155,305,669 3.1

Together Asset Backed Securitisation 2022-2ND1 PLC

 233,751,276 4.6

Together Asset Backed Securitisation 2024-2ND1 PLC

 301,667,231 6.0
U.K. nonconforming - post 2014 total 5,060,773,729
U.K. nonconforming - pre 2014

ALBA 2005 - 1 PLC

 36,943,245 0.3

ALBA 2006-2 PLC

 91,215,733 0.6

ALBA 2007 - 1 PLC

 203,613,674 1.4

Avon Finance No.3 PLC

 615,298,742 4.2

Avon Finance No.4 PLC

 574,234,710 3.9

Cheshire 2020-1 PLC

 165,279,004 1.1

Cheshire 2021-1 PLC

 184,485,188 1.3

Chester A PLC

 1,057,263,429 7.2

Curzon Mortgages PLC

 847,563,390 5.8

Durham Mortgages B PLC

 1,248,681,809 8.5

EMF-UK 2008-1 PLC

 77,943,913 0.5

Eurohome UK Mortgages 2007-1 PLC

 80,508,244 0.5

Eurohome UK Mortgages 2007-2 PLC

 126,129,185 0.9

Eurosail 2006-1 PLC

 62,831,943 0.4

Eurosail 2006-2BL PLC

 82,779,018 0.6

Eurosail 2006-3NC PLC

 55,083,901 0.4

Eurosail 2006-4NP PLC

 94,695,996 0.6

Eurosail-UK 2007-1NC PLC

 104,458,097 0.7

Eurosail-UK 2007-2NP PLC

 119,994,586 0.8

Eurosail-UK 2007-3BL PLC

 120,195,875 0.8

Eurosail-UK 2007-4BL PLC

 153,642,681 1.0

Eurosail-UK 2007-5NP PLC

 127,947,310 0.9

Eurosail-UK 2007-6NC PLC

 91,993,658 0.6

Harbour No.1 PLC

457,069,024 3.1

Kentmere No. 1 PLC

278,090,956 1.9

Kentmere No. 2 PLC

83,551,524 0.6

Landmark Mortgage Securities No.1 PLC

 23,694,799 0.2

Landmark Mortgage Securities No.2 PLC

 85,876,430 0.6

Landmark Mortgage Securities No.3 PLC

 103,998,158 0.7

Mansard Mortgages 2006-1 PLC

 59,107,765 0.4

Mansard Mortgages 2007-1 PLC

 40,916,167 0.3

Mortgage Funding 2008-1 PLC

 218,588,461 1.5

Newgate Funding PLC 2006-1

 51,530,761 0.4

Newgate Funding PLC 2006-2

 67,172,966 0.5

Newgate Funding PLC 2006-3

 114,249,525 0.8

Newgate Funding PLC 2007-1

 120,418,378 0.8

Newgate Funding PLC 2007-2

 102,354,956 0.7

Newgate Funding PLC 2007-3

 210,956,760 1.4

Parkmore Point RMBS 2022-1 PLC

 254,103,255 1.7

Preferred Residential Securities 05-2 PLC

 25,762,990 0.2

Preferred Residential Securities 06-1 PLC

 37,496,965 0.3

ResLoC U.K. 2007-1 PLC

 175,908,148 1.2

RMAC No.3 PLC

 328,949,918 2.2

RMAC Securities No. 1 PLC 2006-NS1

 137,885,964 0.9

RMAC Securities No. 1 PLC 2006-NS2

 100,765,650 0.7

RMAC Securities No. 1 PLC 2006-NS3

 126,636,622 0.9

RMAC Securities No. 1 PLC 2006-NS4

 227,948,576 1.6

RMAC Securities No. 1 PLC 2007-NS1

 108,145,402 0.7

Rochester Financing No. 3 PLC

 155,542,538 1.1

Southern Pacific Financing 05-B PLC

 32,884,624 0.2

Southern Pacific Financing 06-A PLC

 34,156,563 0.2

Southern Pacific Securities 06-1 PLC

 27,211,827 0.2

Stanlington No. 2 PLC

 231,285,345 1.6

Stratton Hawksmoor 2022-1 PLC

 1,821,218,261 12.4

Stratton Mortgage Funding 2024-3 PLC

 409,603,783 2.8

Temple Quay No.1 PLC

 404,002,490 2.7

Towd Point Mortgage Funding 2023 - Vantage 3 PLC

 464,932,428 3.2

Uropa Securities PLC 2007-1B

 146,666,900 1.0

Warwick Finance Residential Mortgages Number Four PLC

 178,657,830 1.2

Warwick Finance Residential Mortgages Number Three PLC

 922,898,965 6.3
U.K. nonconforming - pre 2014 total 14,693,025,006
U.K. prime

Brants Bridge 2022-1 PLC

 138,520,273 1.2

Brants Bridge 2023-1 PLC

 264,409,220 2.4

Castell 2021-1 PLC

 187,503,684 1.7

Castell 2022-1 PLC

 199,531,300 1.8

Castell 2023-1 PLC

 326,950,365 2.9

Castell 2023-2 PLC

 293,291,615 2.6

Fosse Master Issuer PLC

 3,104,736,040 27.8

Holmes Master Issuer PLC

 6,660,890,626 59.6
U.K. prime total 11,175,833,122

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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