Key Takeaways
- Our European RMBS index tracks the collateral performance of the transactions we rate.
- Quarter-on-quarter total delinquencies were stable in most indices, with an increase in total delinquencies of more than two percentage points observed in 10 out of 296 transactions, which is the lowest number observed in the last two years. Additionally, material changes in Portugal (termination of two large overperforming transactions) and Spain (inclusion of a large overperforming transaction) significantly affected total delinquencies.
- Prepayments remain high in the U.K. nonconforming post-2014 index as borrowers approach the end of their fixed-rate period. Meanwhile, prepayments are accelerating in the Dutch BTL index, which is likely linked to recent regulatory changes in that asset class.
- Our expectation of additional rate cuts foresees that delinquency rates for most jurisdictions will stabilize and decline throughout 2025.
- Until recently, real wage growth, falling interest rates, and a return to more moderate inflation had been supporting the credit performance of most household borrowers backing European RMBS. However, this could change if tariffs and the surrounding uncertainty mar the economic backdrop.
- The indirect effects of macroeconomic deterioration are the main transmission channels by which tariffs could have a credit impact on consumer RMBS, in our view. To the extent that there is a slowdown in economic growth, rising unemployment, renewed inflationary pressures, or higher interest rates, some borrowers may struggle to service their debt, particularly those with weaker financial resilience. In RMBS, areas to watch would therefore include transactions backed by nonprime, reperforming, and legacy nonconforming or buy-to-let assets.
- In the first quarter of 2025, we rated 11 new transactions (see table 4) and took rating actions on 125 classes (82 affirmations, 34 upgrades, and nine downgrades). For a detailed list of the rating actions please refer to our publication "EMEA RMBS And ABS Monitor Q1 2025".
- 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.
Table 1
| Total delinquencies (%) | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Q1 2025 | Q4 2024 | Q3 2024 | Q2 2024 | Q1 2024 | ||||||||
| All countries - index | 3.9 | 4.0 | 3.9 | 3.9 | 4.1 | |||||||
| France and Belgium | 0.4 | 0.3 | 0.4 | 0.3 | 0.3 | |||||||
| Italy | 2.3 | 2.2 | 2.0 | 2.2 | 2.0 | |||||||
| Ireland prime | 0.5 | 0.5 | 0.9 | 0.9 | 0.9 | |||||||
| Ireland other | 25.7 | 25.7 | 26.8 | 27.2 | 24.4 | |||||||
| Netherlands | 0.2 | 0.2 | 0.3 | 0.2 | 0.2 | |||||||
| Netherlands BTL | 1.1 | 0.7 | 0.9 | 0.8 | 0.3 | |||||||
| Portugal | 6.4 | 4.8 | 4.4 | 4.3 | 4.2 | |||||||
| Spain | 4.1 | 6.4 | 7.0 | 6.7 | 6.6 | |||||||
| U.K. prime | 0.8 | 0.9 | 0.9 | 0.8 | 0.8 | |||||||
| U.K. BTL | 9.3 | 9.8 | 7.1 | 7.0 | 6.3 | |||||||
| U.K. BTL - pre 2014 | 17.7 | 18.0 | 13.0 | 12.2 | 11.1 | |||||||
| U.K. BTL - post 2014 | 2.6 | 3.0 | 2.7 | 2.6 | 2.2 | |||||||
| U.K. nonconforming | 24.6 | 24.2 | 24.1 | 22.7 | 22.3 | |||||||
| U.K. nonconforming - pre 2014 | 28.1 | 28.7 | 28.3 | 27.5 | 25.0 | |||||||
| U.K. nonconforming - post 2014 | 12.2 | 11.3 | 10.4 | 9.4 | 10.0 | |||||||
| BTL--Buy-to-let. Q--Quarter. | ||||||||||||
Table 2
| Prepayment rate | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (%) | Q1 2025 | Q4 2024 | Q3 2024 | Q2 2024 | Q1 2024 | |||||||
| Prepayment rate | ||||||||||||
| All countries - index | 7.0 | 7.2 | 7.0 | 7.3 | 6.8 | |||||||
| France and Belgium | 2.5 | 2.6 | 2.8 | 2.3 | 1.9 | |||||||
| Italy | 6.4 | 4.9 | 4.4 | 4.9 | 4.3 | |||||||
| Ireland prime | 6.6 | 6.5 | 14.9 | 14.4 | 13.5 | |||||||
| Ireland other | 8.6 | 10.2 | 6.0 | 8.7 | 7.5 | |||||||
| Netherlands | 5.7 | 6.1 | 5.0 | 4.9 | 5.4 | |||||||
| Netherlands BTL | 14.0 | 12.0 | 12.2 | 10.1 | 8.7 | |||||||
| Portugal | 7.8 | 10.9 | 10.4 | 10.3 | 10.3 | |||||||
| Spain | 6.8 | 7.1 | 6.7 | 7.7 | 7.9 | |||||||
| U.K. Prime | 17.7 | 21.5 | 21.8 | 34.6 | 31.0 | |||||||
| U.K. BTL | 13.4 | 14.0 | 13.1 | 14.3 | 12.5 | |||||||
| U.K. BTL - pre 2014 | 14.6 | 15.3 | 13.9 | 14.9 | 13.0 | |||||||
| U.K. BTL - post 2014 | 12.7 | 13.9 | 13.5 | 14.4 | 12.6 | |||||||
| U.K. nonconforming | 17.5 | 17.4 | 17.3 | 15.8 | 15.1 | |||||||
| U.K. nonconforming - pre 2014 | 13.4 | 13.4 | 13.3 | 11.8 | 12.5 | |||||||
| U.K. nonconforming - post 2014 | 32.0 | 29.1 | 30.5 | 26.9 | 26.7 | |||||||
| BTL--Buy-to-let. Q--Quarter. | ||||||||||||
Chart 1
Chart 2a
Chart 2b
Chart 3
Chart 4a
Chart 4b
Chart 5
Chart 6
Chart 7a
Chart 7b
Table 3
| New ratings activity as of Q1 2025 | |||||
|---|---|---|---|---|---|
| Closing date | Country | Asset class | Surveillance Analyst | Noteworthy points | |
| Delphinus 2025-I B.V. | 30-Jan-25 | Netherlands | RMBS Prime | Agustina Lopreiato | A €526.3 million prime, first-, and consecutive-ranking owner-occupied mortgage loans located in the Netherlands. ASR Levensverzekering N.V. (ASR) originated the loans. The originator was active in the Dutch securitization market up to 2006, and since 2023, this is the third securitization of mortgage loans issued by ASR. In addition, in 2021 it sold €300 million worth of assets to Bunq N.V., which were securitized in another Dutch RMBS transaction we rate--Solitaire 1 B.V. |
| BPCE Master Home Loans FCT | 31-Jan-25 | France | RMBS Prime | Sandra Fronteau | A multi-issuance, French RMBS program originally issued in 2014 with a 10-year revolving period (see "Ratings Assigned To French Prime RMBS Transaction BPCE Master Home Loans," published on May 28, 2014). The outstanding class A notes cannot exceed the maximum program size set at €100 billion. In May 2023, the program was restructured with an unlimited revolving period. The legal final maturity was postponed by 10 years. |
| Together Asset Backed Securitisation 2025-2ND1 PLC | 12-Feb-25 | United Kingdom | RMBS Non-Conforming | Aarondeep Hothi | £276.8 million second-lien residential mortgage loans located in England, Wales, and Scotland. The loans were originated by Together Personal Finance Ltd. and Together Commercial Finance Ltd. The pool balance comprises second-lien buy-to-let (BTL) and owner-occupied loans. The weighted-average original loan-to-value (LTV) ratio is 60.97%. This is significantly lower than the average for a typical second-lien U.K. RMBS transaction. |
| Jubilee Place 7 B.V. | 13-Feb-25 | Netherlands | RMBS Buy-To-Let | Alejandro Marcilla, CFA | €299.4 million first-lien BTL mortgage loans located in the Netherlands. The loans in the pool were originated by DNL 1 B.V. (DNL; 22.28%; trading as Tulp), Dutch Mortgage Services B.V. (DMS; 56.53%; trading as Nestr), and Community Hypotheken B.V. (Community; 21.19%; trading as Casarion). |
| Polaris 2025-1 PLC | 13-Feb-25 | United Kingdom | RMBS Non-Conforming | Michael Dillon | An RMBS transaction securitizing a portfolio of owner-occupied mortgage loans secured against properties in the U.K. The loans in the pool were originated between 2021 and 2024 by UK Mortgages Lending Ltd., a relatively new player in the U.K. market, having entered in 2015. It therefore has a limited track record in terms of performance history through a cycle. |
| Ripon Mortgages PLC . | 26-Feb-25 | United Kingdom | RMBS Buy-To-Let | Ganesh Rajwadkar | The pool for Ripon Mortgages PLC contains £3.54 billion first-lien buy-to-let (BTL) residential mortgage loans located in the U.K. that Bradford & Bingley PLC (B&B) and Mortgage Express PLC (MX) originated. The transaction is a refinancing of the Ripon Mortgages PLC transaction, which first closed in April 2017 (the original transaction) and was subsequently refinanced in February 2022. |
| Elstree 2025-1 1ST PLC | 13-Mar-25 | United Kingdom | RMBS Buy-To-Let | Pratish Dcruz | The pool for Elstree 2025-1 1ST PLC contains £317.99 million first-lien buy-to-let (BTL) and owner-occupied residential mortgage loans located in the U.K. 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) The pool comprises 65.3% BTL loans and 34.7% owner-occupied properties. The transaction includes a prefunded amount of 43%, where the issuer can purchase loans from the Elstree Funding No.2 PLC transaction until the first interest payment date (IPD). |
| Kinbane 2025-RPL 1 DAC | 24-Mar-25 | Ireland | RMBS Re-Performing | Philip Bane | The asset pool for Kinbane 2025-RPL 1 DAC contains €417.583 million first-lien residential mortgage loans located in Ireland. The loans were originated by multiple lenders--primarily Permanent TSB PLC (PTSB) and GE Capital Woodchester Home Loans Ltd. (GE Capital), which account for about 80% of the pool. The pool comprises 78.53% owner-occupied properties, 16.14% buy-to-let (BTL) loans, and 5.33% commercial loans. This transaction is a straight refinancing of Shamrock Residential 2022-2 DAC, which we rated. |
| Green Storm 2025 B.V. | 26-Mar-25 | Netherlands | RMBS Prime | Philip Bane | The pool contains €526.4 million prime, first-, and consecutive-ranking owner-occupied mortgage loans located in the Netherlands. Obvion N.V. (Obvion) originated the loans and has been an established originator and servicer in the Netherlands since 1980. It has been a wholly owned subsidiary of Coöperatieve Rabobank U.A. (Rabobank) since 2012. The transaction structure is similar to the previous Green STORM transactions. However, like Green STORM 2024 B.V. and Green STORM 2022 B.V., in this transaction only class A to C notes are issued, and we only rate the class A notes. |
| Together Asset Backed Securitisation 2025-CRE-1 PLC | 26-Mar-25 | United Kingdom | RMBS Buy-To-Let | Aarondeep Hothi | A static RMBS transaction, which securitizes a portfolio of £522.2 million mortgage loans secured on commercial, mixed-use, and residential properties in the U.K. This is the fifth transaction we have rated in the U.K. that securitizes small ticket commercial mortgage loans after Together Asset Backed Securitisation 2023-CRE-1 PLC. Together Commercial Finance Ltd. originated the loans in the pool between 2012 and 2025. |
| Hazel Residential PLC | 31-Mar-25 | United Kingdom | RMBS Non-Conforming | Andrea Netani | An RMBS transaction securitizing a portfolio of owner-occupied (95.8%) and buy-to-let (BTL) (4.2%) mortgage loans secured against properties in the U.K. The loans in the pool are mainly legacy loans (61%) originated before 2014 by Santander UK PLC. Although the loans were originated as prime, there are some nonconforming characteristics to the pool. |
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
| Group | Transaction | Sub-group (%) |
|---|---|---|
| France and Belgium | ||
| BPCE Home Loans FCT 2017_5 | 2.6 | |
| BPCE HOME LOANS FCT 2021 GREEN UoP | 0.9 | |
| BPCE Master Home Loans FCT | 79.6 | |
| CASPR S.à r.l. | 0.3 | |
| Elide FCT Compartiment 2018-01 | 0.4 | |
| ELIDEII FCT Compartiments 2021-1 | 1.5 | |
| FCT Elide II Compartiment 2022-01 | 1.6 | |
| FCT ELIDE II Compartiment 2024-01 | 1.6 | |
| FCT French Prime Cash 2023 | 0.6 | |
| FCT Opera 2023 | 10.7 | |
| Harmony French Home Loans FCT 2022-1 | 0.3 | |
| Ireland Other | ||
| Kinbane 2022-RPL 1 DAC | 10.0 | |
| Kinbane 2024-RPL 1 DAC | 5.8 | |
| Lansdowne Mortgage Securities No. 1 PLC | 1.1 | |
| Lansdowne Mortgage Securities No. 2 PLC | 2.2 | |
| Merrion Square Residential 2023-1 DAC | 9.0 | |
| Mulcair securities No. 3 DAC | 4.9 | |
| Primrose Residential 2022-1 DAC | 6.2 | |
| Proteus RMBS DAC | 12.8 | |
| Roundstone Securities No. 2 DAC | 31.4 | |
| Shamrock Residential 2022-2 DAC | 9.6 | |
| Shamrock Residential 2023-1 DAC | 6.9 | |
| Ireland Prime | ||
| Dilosk RMBS No.5 DAC | 1.1 | |
| Dilosk RMBS No.6 (STS) DAC | 2.5 | |
| Dilosk RMBS No.7 DAC | 0.9 | |
| Fastnet Securities 16 DAC | 9.0 | |
| Fastnet Securities 17 DAC | 2.1 | |
| Fastnet Securities 18 DAC | 9.4 | |
| Finance Ireland RMBS No. 4 DAC | 0.9 | |
| Finance Ireland RMBS No. 6 DAC | 1.0 | |
| Finance Ireland RMBS No.5 DAC | 1.7 | |
| Luna Securities DAC | 71.5 | |
| Italy | ||
| Capital Mortgage S.r.l. 2007-1 | 4.4 | |
| Civitas SPV S.r.l. 2017-1 | 4.9 | |
| Eurohome (Italy) Mortgages S.r.l. | 1.5 | |
| Fanes S.r.l. 2018-1 | 3.2 | |
| F-E Mortgages S.r.l. 2005 | 1.3 | |
| Lanterna Mortgage S.r.l. | 2.6 | |
| Media Finance S.r.l. | 2.8 | |
| Miltonia Mortgage Finance S.r.l. | 53.2 | |
| Pontormo RMBS S.r.l. 2017 | 4.9 | |
| Sestante Finance S.r.l. 1 | 1.0 | |
| Sestante Finance S.r.l. 2 | 1.8 | |
| Sestante Finance S.r.l. 3 | 3.2 | |
| Sestante Finance S.r.l. 4 | 3.3 | |
| Stresa Securitisation Srl | 2.3 | |
| Valsabbina RMBS SPV S.R.L. | 9.6 | |
| Netherlands | ||
| Delphinus 2023-I B.V. | 3.8 | |
| E-MAC NL 2004-I B.V. | 0.3 | |
| E-MAC NL 2004-II B.V. | 0.3 | |
| E-MAC NL 2005-I B.V. | 0.2 | |
| E-MAC NL 2005-III B.V. | 0.6 | |
| E-MAC NL 2006-II B.V. | 0.5 | |
| E-MAC Program B.V. Compartment NL 2006-III | 0.7 | |
| E-MAC Program B.V. Compartment NL 2007-I | 0.6 | |
| E-MAC Program B.V. Compartment NL 2007-III | 0.5 | |
| E-MAC Program II B.V. Compartment NL 2007-IV | 0.6 | |
| E-MAC Program II B.V. Compartment NL 2008-IV | 0.3 | |
| E-MAC Program III B.V. Compartment NL 2008-I | 0.2 | |
| E-MAC Program III B.V. Compartment NL 2008-II | 0.1 | |
| FORDless STORM 2018 B.V. | 4.4 | |
| Green STORM 2021 B.V. | 3.9 | |
| Green STORM 2022 B.V. | 3.9 | |
| Green STORM 2024 B.V. | 3.9 | |
| Orcinus 2023 B.V. | 13.8 | |
| PURPLE STORM 2016 B.V. | 2.4 | |
| SAECURE 17 B.V. | 30.9 | |
| SAECURE 19 B.V. | 7.6 | |
| SAECURE 20 B.V. | 3.3 | |
| SAECURE 21 B.V. | 4.3 | |
| SAECURE 22 B.V. | 4.5 | |
| Solitaire I B.V. I | 2.4 | |
| STRONG 2018 B.V. | 6.1 | |
| Netherlands BTL | ||
| Domi 2020-1 B.V. | 2.5 | |
| Domi 2020-2 B.V. | 2.5 | |
| Domi 2021-1 B.V. | 4.5 | |
| Domi 2022-1 B.V. | 6.0 | |
| Domi 2023-1 B.V. | 5.9 | |
| Dutch Property Finance 2020-2 B.V. | 3.9 | |
| Dutch Property Finance 2021-1 B.V. | 7.3 | |
| Dutch Property Finance 2021-2 B.V. 2021-2 | 7.1 | |
| Dutch Property Finance 2022-1 B.V. | 8.0 | |
| Dutch Property Finance 2022-2 B.V. | 4.8 | |
| Dutch Property Finance 2023-1 B.V. | 9.6 | |
| Jubilee Place 2020-1 B.V. | 1.9 | |
| Jubilee Place 2021-1 B.V. | 3.4 | |
| Jubilee Place 3 B.V. | 5.4 | |
| Jubilee Place 4 B.V. | 7.5 | |
| Jubilee Place 5 B.V. | 8.6 | |
| Jubilee Place 6 B.V. | 6.2 | |
| Vecht Residential 2023-1 B.V. | 4.8 | |
| Portugal | ||
| GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO2 | 3.7 | |
| GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO3 | 6.3 | |
| GAMMA Sociedade de Titularizacao de Creditos, S.A. ATLANTES MORT. NO4 | 6.6 | |
| Lusitano Mortgages No. 4 PLC | 6.3 | |
| Lusitano Mortgages No. 5 PLC | 12.1 | |
| Lusitano Mortgages No. 6 DAC | 11.8 | |
| Lusitano Mortgages No. 7 DAC | 35.5 | |
| Magellan Mortgages No. 3 PLC | 8.2 | |
| Magellan Mortgages No. 4 PLC | 9.5 | |
| Spain | ||
| AyT CajaGranada Hipotecario I Fondo de Titulizacion de Activos | 0.2 | |
| AyT Genova Hipotecario IX Fondo de Titulizacion Hipotecaria | 0.5 | |
| AyT Genova Hipotecario X Fondo de Titulizacion Hipotecaria | 0.5 | |
| AyT Genova Hipotecario XI Fondo de Titulizacion Hipotecaria | 0.6 | |
| AyT Kutxa Hipotecario I, Fondo de Titulizacion de Activos | 0.4 | |
| AyT Kutxa Hipotecario II, Fondo de Titulizacion de Activos | 0.8 | |
| Bancaja 10, Fondo de Titulizacion de Activos | 1.6 | |
| Bancaja 11, Fondo de Titulizacion de Activos | 1.6 | |
| Bankinter 11 Fondo de Titulizacion Hipotecaria | 0.3 | |
| Bankinter 13, Fondo de Titulizacion de Activos | 0.7 | |
| BBVA RMBS 14, Fondo de Titulizacion de Activos | 0.9 | |
| BBVA RMBS 2, Fondo de Titulizacion de Activos | 3.2 | |
| BBVA RMBS 20, Fondo de Titulizacion de Activos | 6.7 | |
| BBVA RMBS 21 Fondo de Titulizacion | 33.8 | |
| BBVA RMBS 22, FT | 4.6 | |
| BBVA RMBS 23, Fondo de Titulizacion | 19.8 | |
| CAIXA PENEDES 1 TDA, Fondo de Titulizacion de Activos | 0.3 | |
| Fondo de Titulizacion de Activos Santander Hipotecario 2 | 0.9 | |
| Fondo de Titulizacion de Activos Santander Hipotecario 3 | 1.8 | |
| Fondo de Titulizacion de Activos UCI 14 | 0.7 | |
| Fondo de Titulizacion de Activos UCI 15 | 0.9 | |
| Fondo de Titulizacion de Activos UCI 16 | 1.2 | |
| Fondo de Titulizacion de Activos UCI 17 | 1.1 | |
| Fondo de Titulizacion Hipotecaria UCI 12 | 0.4 | |
| GC Pastor Hipotecario 5, Fondo de Titulizacion de Activos | 0.4 | |
| Hipocat 10, Fondo de Titulizacion de Activos | 0.5 | |
| Hipocat 11, Fondo de Titulizacion de Activos | 0.5 | |
| Hipocat 9, Fondo de Titulizacion de Activos | 0.3 | |
| IM PASTOR 2, Fondo de Titulizacion Hipotecaria | 0.1 | |
| IM PASTOR 3, Fondo de Titulizacion Hipotecaria | 0.4 | |
| IM PASTOR 4, Fondo de Titulizacion de Activos | 0.5 | |
| MADRID RMBS I, Fondo de Titulizacion de Activos | 1.7 | |
| MADRID RMBS II, Fondo de Titulizacion de Activos | 1.5 | |
| Rural Hipotecario XIX Fondo de Titulizacion | 0.8 | |
| Rural Hipotecario XX, FT | 2.2 | |
| TDA Cajamar 2, Fondo de Titulizacion de Activos | 0.2 | |
| TDA CAM 7, Fondo de Titulizacion de Activos | 1.0 | |
| TDA CAM 8, Fondo de Titulizacion de Activos | 0.9 | |
| TDA CAM 9, Fondo de Titulizacion de Activos | 1.0 | |
| TDA Ibercaja 4 Fondo de Titulizacion de Activos | 0.6 | |
| TDA Ibercaja 5, Fondo de Titulizacion de Activos | 0.6 | |
| TDA Ibercaja 6, Fondo de Titulizacion de Activos | 1.0 | |
| TDA Ibercaja 7, Fondo de Titulizacion de Activos | 2.0 | |
| TDA Tarragona 1, Fondo de Titulizacion de Activos 1 | 0.2 | |
| U.K. BTL - Post 2014 | ||
| Atlas Funding 2022-1 PLC | 2.4 | |
| Atlas Funding 2023-1 PLC | 2.0 | |
| Atlas Funding 2024-1 PLC | 2.7 | |
| Canada Square Funding 2020-1 PLC | 0.7 | |
| Canada Square Funding 2020-2 PLC | 0.8 | |
| Canada Square Funding 2021-1 PLC | 1.0 | |
| Canada Square Funding 2021-2 PLC | 1.3 | |
| Canada Square Funding 6 PLC | 2.0 | |
| Canada Square Funding 7 PLC | 0.5 | |
| Canterbury Finance No. 3 PLC | 0.6 | |
| Chetwood Funding 2024-1 PLC | 7.5 | |
| Elstree Funding No.2 PLC | 1.4 | |
| Elstree Funding No.3 PLC | 1.8 | |
| Hops Hill No.2 PLC | 1.9 | |
| Hops Hill No.3 PLC | 2.6 | |
| Hops Hill No.4 PLC | 3.9 | |
| Lanebrook Mortgage Transaction 2021-1 PLC 2021-1 | 1.8 | |
| Lanebrook Mortgage Transaction 2022-1 PLC | 2.1 | |
| Lanebrook Mortgage Transaction 2023-1 PLC | 2.8 | |
| Lanebrook Mortgage Transaction 2024-1 PLC | 4.1 | |
| London Wall Mortgage Capital PLC Fleet 2021-02 | 1.2 | |
| London Wall Mortgage Capital PLC Fleet 2021-1 | 1.3 | |
| Molossus BTL 2024-1 PLC | 2.1 | |
| Mortimer BTL 2021-1 PLC | 1.4 | |
| Mortimer BTL 2022-1 PLC | 1.7 | |
| Mortimer BTL 2023-1 PLC | 2.1 | |
| Pierpont BTL 2021-1 PLC | 1.3 | |
| Pierpont BTL 2023-1 PLC | 1.6 | |
| Precise Mortgage Funding 2020-1B PLC | 0.9 | |
| Shawbrook Mortgage Funding 2022-1 PLC | 3.1 | |
| Stratton BTL Mortgage Funding 2022-1 PLC | 1.4 | |
| Together Asset Backed Securitisation 2022-1ST1 PLC | 2.1 | |
| Together Asset Backed Securitisation 2022-CRE1 PLC | 1.8 | |
| Together Asset Backed Securitisation 2023-1ST1 PLC | 2.1 | |
| Together Asset Backed Securitisation 2023-1ST2 PLC | 2.3 | |
| Together Asset Backed Securitisation 2023-CRE-1 PLC 2023-CRE1 | 2.4 | |
| Tower Bridge Funding 2021-2 PLC | 0.9 | |
| Tower Bridge Funding 2022-1 PLC | 1.4 | |
| Tower Bridge Funding 2023-1 PLC | 0.8 | |
| Tower Bridge Funding 2023-2 PLC | 1.8 | |
| Tower Bridge Funding 2024-1 PLC | 1.9 | |
| Tower Bridge Funding 2024-2 PLC | 2.1 | |
| Tudor Rose Mortgages 2021-1 PLC | 0.5 | |
| Twin Bridges 2021-1 PLC | 2.2 | |
| Twin Bridges 2021-2 PLC | 2.9 | |
| Twin Bridges 2022-1 PLC | 3.4 | |
| Twin Bridges 2022-2 PLC | 3.0 | |
| Twin Bridges 2022-3 PLC | 1.9 | |
| Twin Bridges 2023-1 PLC | 1.4 | |
| Twin Bridges 2023-2 PLC | 1.9 | |
| Tyne Funding No. 1 PLC | 1.3 | |
| U.K. BTL - Pre 2014 | ||
| Auburn 15 PLC | 11.5 | |
| Banna RMBS DAC | 0.3 | |
| Bridgegate Funding PLC | 15.0 | |
| Eurosail PRIME-UK 2007-A PLC | 0.3 | |
| Great Hall Mortgages No. 1 PLC 2006-01 | 0.5 | |
| Great Hall Mortgages No. 1 PLC 2007-01 | 1.4 | |
| Great Hall Mortgages No. 1 PLC 2007-2 | 1.3 | |
| Harben Finance 2017-1 PLC | 6.2 | |
| Jupiter Mortgage No.1 PLC . | 14.8 | |
| Ludgate Funding PLC 2006-FF1 | 0.4 | |
| Ludgate Funding PLC 2007-FF1 | 0.8 | |
| Ludgate Funding PLC 2008-W1 | 1.0 | |
| Mansard Mortgages 2007-2 PLC 2007-2 | 0.9 | |
| Oat Hill No.3 PLC . | 2.6 | |
| Paragon Mortgages (No. 12) PLC 12 | 2.5 | |
| Ripon Mortgages PLC | 32.5 | |
| Stratton Mortgage Funding 2024-1 PLC | 8.0 | |
| U.K. NonConf - Post 2014 | ||
| Barley Hill No. 2 PLC | 1.6 | |
| Ealbrook Mortgage Funding 2022-1 PLC | 3.9 | |
| Finsbury Square 2021-1 Green PLC | 6.8 | |
| Finsbury Square 2021-2 PLC | 3.9 | |
| Genesis Mortgage Funding 2022-1 PLC | 3.0 | |
| Grosvenor Square RMBS 2023-1 PLC | 10.2 | |
| Holbrook Mortgage Transaction 2023-1 PLC | 9.9 | |
| Polaris 2021-1 PLC | 5.5 | |
| Polaris 2022-1 PLC | 7.5 | |
| Polaris 2022-2 PLC | 5.9 | |
| Polaris 2023-1 PLC | 7.3 | |
| Polaris 2023-2 PLC | 7.9 | |
| Polaris 2024-1 PLC | 12.3 | |
| Together Asset Backed Securitisation 2021-1ST1 PLC | 3.2 | |
| Together Asset Backed Securitisation 2022-2ND1 PLC | 5.1 | |
| Together Asset Backed Securitisation 2024-2ND1 PLC | 6.1 | |
| U.K. NonConf - Pre 2014 | ||
| ALBA 2005 - 1 PLC | 0.2 | |
| ALBA 2006-2 PLC | 0.6 | |
| ALBA 2007 - 1 PLC | 1.3 | |
| Avon Finance No.3 PLC | 3.9 | |
| Avon Finance No.4 PLC | 3.7 | |
| Barrow Funding PLC | 6.9 | |
| Cheshire 2020-1 PLC | 1.1 | |
| Cheshire 2021-1 PLC | 1.2 | |
| Chester A PLC | 6.8 | |
| Curzon Mortgages PLC | 5.3 | |
| Durham Mortgages A PLC .. | 8.4 | |
| EMF-UK 2008-1 PLC | 0.5 | |
| Eurohome UK Mortgages 2007-1 PLC | 0.5 | |
| Eurohome UK Mortgages 2007-2 PLC | 0.8 | |
| Eurosail 2006-1 PLC | 0.4 | |
| Eurosail 2006-2BL PLC | 0.5 | |
| Eurosail 2006-3NC PLC | 0.3 | |
| Eurosail 2006-4NP PLC | 0.6 | |
| Eurosail-UK 2007-1NC PLC | 0.7 | |
| Eurosail-UK 2007-2NP PLC | 0.8 | |
| Eurosail-UK 2007-3BL PLC | 0.8 | |
| Eurosail-UK 2007-4BL PLC | 1.0 | |
| Eurosail-UK 2007-5NP PLC | 0.8 | |
| Eurosail-UK 2007-6NC PLC | 0.6 | |
| Landmark Mortgage Securities No.1 PLC | 0.2 | |
| Landmark Mortgage Securities No.2 PLC | 0.5 | |
| Landmark Mortgage Securities No.3 PLC | 0.7 | |
| Mansard Mortgages 2006-1 PLC | 0.4 | |
| Mansard Mortgages 2007-1 PLC | 0.3 | |
| Mortgage Funding 2008-1 PLC | 1.4 | |
| Newgate Funding PLC 2006-1 | 0.3 | |
| Newgate Funding PLC 2006-2 | 0.4 | |
| Newgate Funding PLC 2006-3 | 0.8 | |
| Newgate Funding PLC 2007-1 | 0.8 | |
| Newgate Funding PLC 2007-2 | 0.6 | |
| Newgate Funding PLC 2007-3 | 1.3 | |
| Parkmore Point RMBS 2022-1 PLC | 1.7 | |
| Preferred Residential Securities 05-2 PLC | 0.2 | |
| Preferred Residential Securities 06-1 PLC | 0.2 | |
| ResLoC U.K. 2007-1 PLC | 1.1 | |
| RMAC No.3 PLC | 2.1 | |
| RMAC Securities No. 1 PLC 2006-NS1 | 0.9 | |
| RMAC Securities No. 1 PLC 2006-NS2 | 0.6 | |
| RMAC Securities No. 1 PLC 2006-NS3 | 0.8 | |
| RMAC Securities No. 1 PLC 2006-NS4 | 1.4 | |
| RMAC Securities No. 1 PLC 2007-NS1 | 0.7 | |
| Rochester Financing No. 3 PLC | 1.0 | |
| Southern Pacific Financing 05-B PLC | 0.2 | |
| Southern Pacific Financing 06-A PLC | 0.2 | |
| Southern Pacific Securities 06-1 PLC | 0.2 | |
| Stanlington No. 2 PLC | 1.5 | |
| Stratton Hawksmoor 2022-1 PLC | 11.7 | |
| Stratton Mortgage Funding 2024-2 PLC | 2.2 | |
| Temple Quay No.1 PLC | 2.5 | |
| Towd Point Mortgage Funding 2023 - Vantage 3 PLC | 3.0 | |
| Trinity Square 2021-1 PLC . | 4.5 | |
| Uropa Securities PLC 2007-1B | 0.9 | |
| Warwick Finance Residential Mortgages Number Four PLC | 1.1 | |
| Warwick Finance Residential Mortgages Number Three PLC | 5.9 | |
| U.K. Prime | ||
| Brants Bridge 2022-1 PLC | 1.0 | |
| Brants Bridge 2023-1 PLC | 1.4 | |
| Castell 2021-1 PLC | 1.3 | |
| Castell 2022-1 PLC | 1.4 | |
| Castell 2023-1 PLC | 2.3 | |
| Castell 2023-2 PLC | 2.1 | |
| Elstree Funding No.4 PLC | 2.5 | |
| Fosse Master Issuer PLC 2006-1 | 23.1 | |
| Holmes Financing (No. 1) PLC 1 | 64.8 | |
Related Research
- Explaining Irish RMBS Diverging Performance, April 15, 2025
- ABS Frontiers: Sharia-Compliant Mortgages And RMBS Explained, April 14, 2025
- EMEA RMBS And ABS Monitor Q1 2025, April 7, 2025
- Credit FAQ: Israel's Public RMBS Market Takes Off, Feb. 25, 2025
- ABS Frontiers: Asset-Based Finance Funds Are In Vogue, Feb. 24, 2025
- 2024 Annual Global Structured Finance Default And Rating Transition Study, Feb. 21, 2025
- European RMBS Index Report Q4 2024, Feb. 20, 2025
- Dutch Buy-To-Let RMBS Withstand Rate Hikes And Tighter Regulations, Oct. 21, 2024
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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