KBRA launches its inaugural quarterly publication of UK residential mortgage-backed security (RMBS) indices, comprising UK RMBS prime, buy-to-let (BTL), and nonconforming (NC) segments. KBRA’s UK RMBS indices complement our collection of monthly credit indices, which track credit performance in the auto, marketplace consumer, solar, residential mortgage, and equipment loan and lease sectors across Europe and the US.
Index Constituents
The population used to produce the indices this quarter comprises 52 prime transactions (GBP64.28 billion), 71 BTL transactions (GBP27.31 billion), and 69 NC transactions (GBP10.3 billion). The indices are segmented into legacy (pre-2014) and non-legacy (post-2014) cohorts to reflect structural differences in underwriting quality, borrower risk, and historical performance across UK RMBS collateral. The distinction, while applicable to prime mortgages, is particularly relevant for BTL and NC…