European RMBS Index Report Q3 2023

We include a transaction once nine months have elapsed since the closing date. This is because we expect that a transaction's 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 will lower the index's denominator and may give an overly positive impression of performance. We assess this on a case-by-case basis. For example, we exclude equity release (reverse mortgage) nonperforming transactions backed by residential mortgages, while we include reperforming RMBS transactions. We compile the data from investor reports based on each transaction's definition of arrears. Total delinquencies are defined as arrears for one or more calendar months. We calculate the index as the

...- Our European RMBS index tracks the collateral performance to date of the transactions we rate. The summary includes frequently asked questions about our methodology for compiling the index. - This quarter's report includes a list of transactions included in the index, together with their relative weighting within their respective group (see Appendix). - Quarter-on-quarter total delinquency movements were minimal for most jurisdictions, with France/Belgium, Italy, Netherlands,including buy-to-let (BTL), Portugal, and U.K. prime showing stability or minor improvements. Quarter-on-quarter deteriorations are visible for U.K. BTL pre- and post-2014, U.K. nonconforming pre- and post-2014, Spain, and Ireland. - Year-on-year delinquency movements are now significant for U.K. pre-2014 assets with total delinquencies for BTL and nonconforming approximately doubling. Ireland has shown a similar trend. Similarly, delinquencies in U.K. post-2014 BTL transactions increased significantly, albeit from...

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