European RMBS Index Report Q2 2024

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. 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. This is assessed on a case-by-case basis. For example, we exclude equity release (reverse mortgage) and nonperforming

...- Our European RMBS index tracks the collateral performance of the transactions we rate. - Quarter-on-quarter total delinquencies were stable in most indices, with notable exceptions being U.K. nonconforming pre-2014, Ireland other, UK BTL post 2014, and Dutch BTL. The increase in UK BTL post 2014 and Dutch BTL relates to a relatively small number of specific transactions rather than an across the board deterioration. - Nine out of 53 U.K. nonconforming pre-2014 transactions active in Q2 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 the prepayment rate in U.K. prime is mainly driven by the higher prepayment rate, in particular for three deals and the redemption of Elvet Mortgages 2019-1. - For several jurisdictions, arrears will likely continue to increase as borrowers refinance into the higher-rate environment...

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