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.

Table 1

Table 2

Chart 1

Chart 2a

Chart 2b

Chart 3

Chart 4a

Chart 4b

Chart 5

Chart 6

Chart 7a

Chart 7b

Table 3

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 chart 3 represent in terms of total delinquencies change?

To lessen a dollar-weighted index's natural limitations, this chart 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 chart only incorporates transactions included both in the current and previous quarter.

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

Chart 8b

Chart 9a

Chart 9b

b. List of transactions comprising indices

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• European Structured Finance Outlook 2025, Dec. 11, 2024
• Credit FAQ: How We Rate ABS And RMBS Transactions In Non-Established Markets, Dec. 3, 2024
• U.K. Legacy RMBS Arrears To Be Higher For Longer, Nov. 28, 2024
• European RMBS Index Report Q3 2024, Nov. 14, 2024
• European And U.K. Credit Card ABS Index Report Q3 2024, Nov. 13, 2024
• U.K. Second-Lien Monitor Q3 2024, Nov. 7, 2024
• Dutch Buy-To-Let RMBS Withstand Rate Hikes And Tighter Regulations, Oct. 21, 2024