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Market Indices Derived From Loan Level Data

As part of our project to collect loan level data and use it to derive useful products for the market, EuroABS has begun to derive and publish aggregate statistics created by applying our own issuance categorisation data to collected loan level data. As we expand this function, we will add new content to this page.

UK RMBS - All

Index Criteria

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Issue

Latest Data

A.L.B.A. 2015 -1 PLC

31/05/2018

Albion No 3 Plc

31/05/2018

Auburn Securities 9 plc

30/04/2018

Brass RMBS No 3 plc

31/05/2018

Brass RMBS No 4 plc

31/05/2018

Brass RMBS No 5 plc

31/05/2018

Brass RMBS No 6 plc

31/05/2018

Castell Finance 2017-1

30/04/2018

Charter Mortgage Funding 2017-1

31/05/2018

Darrowby 3 RMBS

31/05/2018

Darrowby 4 RMBS

31/05/2018

Dukinfield I RMBS Plc

31/05/2018

Dukinfield II RMBS Plc

31/05/2018

Duncan Funding 2015-1 plc

28/02/2018

Duncan Funding 2016-1 plc

30/09/2017

Durham Mortgages A

31/05/2018

Durham Mortgages B

31/05/2018

Feldspar 2016-1 Plc

30/06/2018

Finsbury Square 2016-1 Plc

30/04/2018

Finsbury Square 2016-2 Plc

31/01/2018

Finsbury Square 2017-1 Plc

31/05/2018

Finsbury Square 2017-2 Plc

31/05/2018

Finsbury Square 2018-1 Plc

31/05/2018

Friary No 2 Plc

31/03/2018

Friary No 3 Plc

31/03/2018

Friary No 4 Plc

31/03/2018

Gemgarto 2015-1 plc

30/04/2018

Gemgarto 2015-2 plc

31/01/2018

Gosforth Funding Plc 2014-1

30/06/2018

Gosforth Funding Plc 2015-1

30/06/2018

Gosforth Funding Plc 2016-1

30/06/2018

Gosforth Funding Plc 2016-2

30/06/2018

Gosforth Funding Plc 2017-1

30/06/2018

Guildford No.1 Plc

31/05/2018

Harben Finance 2017-1

30/04/2018

Hawksmoor Mortgages 2016-1 plc

15/05/2018

Hawksmoor Mortgages 2016-2 plc 

15/05/2018

Hawthorn Finance Ltd

31/05/2018

Kenrick No.2 plc

31/03/2018

Kenrick No.3 plc

30/06/2018

Lanark Master Issuer (Mortgage Note Prog) 2007

31/05/2018

Lannraig Master Issuer (Mortgage Programme) 2011

31/05/2018

London Wall Mortgage Capital (Fleet 2016-1)

01/05/2018

London Wall Mortgage Capital (Fleet 2017-1)

01/05/2018

London Wall Mortgage Capital (Fleet 2018-1)

01/05/2018

Malt Hill No.1 Plc

31/05/2018

Mercia No. 1 Plc

30/11/2017

Oak No. 1 Plc

30/04/2018

Oat Hill No.1

31/05/2018

OFFA No.1 Plc

31/05/2017

Oncilla Mortgage Funding 2016-1

31/05/2018

Paragon Mortgages (No 20) plc

30/04/2018

Paragon Mortgages (No 21) plc

31/05/2018

Paragon Mortgages (No 22) plc

31/05/2018

Paragon Mortgages (No 23) plc

29/03/2018

Paragon Mortgages (No 24) plc

29/03/2018

Permanent Master Issuer (Note Prog) 2006

31/12/2017

Precise Mortgage Funding 2014-1 PLC

31/05/2018

Precise Mortgage Funding 2014-2 PLC

31/05/2018

Precise Mortgage Funding 2015-1 PLC

31/05/2018

Precise Mortgage Funding 2015-2B

31/05/2018

Precise Mortgage Funding 2015-3R

31/05/2018

Precise Mortgage Funding 2017-1B

31/05/2018

Precise Mortgage Funding 2018-1B

31/05/2018

Precise Mortgage Funding 2018-2B

31/05/2018

Precise Mortgage Funding No 1

31/05/2018

Residential Mortgage Securities No 26 plc

30/04/2018

Residential Mortgage Securities No 28 plc

31/05/2018

Residential Mortgage Securities No 29 plc

31/05/2018

Residential Mortgage Securities No 30 plc

31/05/2018

Ripon Mortgages Plc

30/04/2018

Rochester Financing No. 2

30/06/2018

Silk Road Finance No. 4 Plc

28/02/2018

Silverstone Master Issuer (RMBS Note Prog) 1

31/05/2018

Slate 1 Plc

30/06/2018

Slate 2 Plc

30/06/2018

Stanlington No.1 PLC

30/06/2018

Stratton Mortgage Funding plc

31/03/2018

Tolkien Funding Sukuk No.1 Plc

29/06/2018

Tombac No. 2 plc

31/05/2018

Towd Point Mortgage Funding 2016 - Auburn 10

31/03/2018

Towd Point Mortgage Funding 2016 - Granite 2 Plc

30/04/2018

Towd Point Mortgage Funding 2016 - Granite1 Plc

31/03/2018

Towd Point Mortgage Funding 2016 - Vantage 1

30/06/2018

Towd Point Mortgage Funding 2017 - Auburn 11

30/04/2018

Tower Bridge Funding No.1

30/06/2018

Tower Bridge Funding No.2

30/06/2018

Trinity Square 2015-1 PLC

31/03/2018

Trinity Square 2016-1 PLC

31/03/2018

Twin Bridges 2017-1

31/03/2018

Warwick Finance Residential Mortgages No.1

28/02/2018

Warwick Finance Residential Mortgages No.2

28/02/2018

Warwick Finance Residential Mortgages No.3

31/05/2018

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.25

52.91

Index Definition

Index Definition

UK RMBS - Building Societies

Index Criteria

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

0.34

48.21

Index Definition

Index Definition

UK RMBS - Challenger Banks

Index Criteria

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

2.18

57.37

Index Definition

Index Definition

UK RMBS - Retail Banks

Index Criteria

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.23

50.41

Index Definition

Index Definition