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European RMBS Securitization – Q1 2024

Gain a powerful edge in the RMBS market

The Residential Mortgage-Backed Securities market has consistently been the predominant asset class in the European securitization market, accounting for almost 50% of the total outstanding volume. This was further evidenced by new issuances of 2023, where RMBS comprised €65.5 billion of the new issuance volume. This trend not only confirms RMBS’s historical dominance as the leading asset class but also demonstrates that origination remains robust and that there is still significant investor interest in residential mortgages.

This report empowers you to forecast future performance in the Residential Mortgage-Backed Securities (RMBS) market. Our analysis is built on a massive dataset encompassing 27 million loans across over 700 special purpose vehicles (SPVs). This report empowers you to make informed decisions through:

  • over 30 detailed visualizations of key performance metrics (Default Rates, Delinquency, and Prepayment).
  • a granular view of the largest European markets (Italy, UK, Spain, Netherlands, and France).

Key take-aways

  • Delinquency Rates: Contrary to the general decline in Europe, Italy’s high OLTV ratio loans and the UK overall require careful monitoring.
  • Prepayment Rates: Prepayment activity is down in Europe, with interesting patterns in high-income borrowers in France and Netherlands.
  • Default Rates: Defaults are decreasing, but Spain shows a concerning gap between types of defaults and low-income borrowers needs monitoring. Repurchasing strategies might need adjustments.
  • Loan Performance: Early collection (within 30 days of delinquency) is most effective. Repurchase and prepayment activity are concentrated across different stages of delinquency (beyond 30 days past due).