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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

31/08/2017

Albion No 2 Plc

31/08/2017

Albion No 3 Plc

31/08/2017

Auburn Securities 9 plc

31/07/2017

Brass RMBS No 2 plc

31/08/2017

Brass RMBS No 3 plc

31/08/2017

Brass RMBS No 4 plc

31/08/2017

Brass RMBS No 5 plc

31/08/2017

Castell Finance 2017-1

31/08/2017

Celeste Mortgage Funding 2015-1

31/08/2017

Charter Mortgage Funding 2017-1

31/08/2017

Darrowby 3 RMBS

31/08/2017

Darrowby 4 RMBS

31/08/2017

Dukinfield I RMBS Plc

31/08/2017

Dukinfield II RMBS Plc

31/08/2017

Duncan Funding 2015-1 plc

31/05/2017

Duncan Funding 2016-1 plc

31/03/2017

Feldspar 2016-1 Plc

30/09/2017

Finsbury Square Plc 2016-1

31/07/2017

Finsbury Square Plc 2016-2

31/07/2017

Finsbury Square Plc 2017-1

31/08/2017

Finsbury Square Plc 2017-2

31/07/2017

Friary No 2 Plc

31/03/2017

Friary No 3 Plc

30/06/2017

Friary No 4 Plc

30/04/2017

Gemgarto 2015-1 plc

31/07/2017

Gemgarto 2015-2 plc

31/10/2016

Gosforth Funding Plc 2014-1

30/09/2017

Gosforth Funding Plc 2015-1

30/09/2017

Gosforth Funding Plc 2016-1

30/09/2017

Gosforth Funding Plc 2016-2

30/09/2017

Guildford No.1 Plc

31/08/2017

Harben Finance 2017-1

31/08/2017

Hawksmoor Mortgages 2016-1 plc

15/08/2017

Hawksmoor Mortgages 2016-2 plc 

15/08/2017

Hawthorn Finance Ltd

31/08/2017

Kenrick No.2 plc

30/06/2017

Lanark Master Issuer (Mortgage Note Prog) 2007

31/08/2017

Lannraig Master Issuer (Mortgage Programme) 2011

31/08/2017

London Wall Mortgage Capital (Fleet 2016-1)

01/08/2017

London Wall Mortgage Capital (Fleet 2017-1)

01/08/2017

Malt Hill No. 1 Plc

31/08/2017

Mercia No. 1 Plc

31/05/2017

Oak No. 1 Plc

31/07/2017

Oat Hill No.1

31/08/2017

OFFA No.1 Plc

31/05/2017

Oncilla Mortgage Funding 2016-1

30/09/2017

Paragon Mortgages (No 20) plc

31/07/2017

Paragon Mortgages (No 21) plc

31/08/2017

Paragon Mortgages (No 22) plc

31/08/2017

Paragon Mortgages (No 23) plc

30/06/2017

Paragon Mortgages (No 24) plc

30/06/2017

Precise Mortgage Funding 2014-1 PLC

31/08/2017

Precise Mortgage Funding 2014-2 PLC

31/08/2017

Precise Mortgage Funding 2015-1 PLC

31/08/2017

Precise Mortgage Funding 2015-2B

31/08/2017

Precise Mortgage Funding 2015-3R

31/08/2017

Precise Mortgage Funding 2017-1B

31/08/2017

Precise Mortgage Funding No 1

31/08/2017

Residential Mortgage Securities No 26 plc

31/07/2017

Residential Mortgage Securities No 28 plc

30/06/2017

Residential Mortgage Securities No 29 plc

31/08/2017

Ripon Mortgages Plc

31/08/2017

Rochester Financing No. 1

31/08/2017

Rochester Financing No. 2

31/08/2017

Silverstone Master Issuer (RMBS Note Prog) 1

31/08/2017

Slate 1 Plc

31/08/2017

Slate 2 Plc

31/08/2017

Stanlington No.1 PLC

30/09/2017

Tombac No. 1 plc

31/08/2017

Tombac No. 2 plc

31/08/2017

Towd Point Mortgage Funding 2016 - Auburn 10

30/06/2017

Towd Point Mortgage Funding 2016 - Granite 2 Plc

31/07/2017

Towd Point Mortgage Funding 2016 - Granite1 Plc

30/06/2017

Towd Point Mortgage Funding 2016 - Vantage 1

31/08/2017

Towd Point Mortgage Funding 2017 - Auburn 11

31/07/2017

Trinity Square 2015-1 PLC

30/06/2017

Trinity Square 2016-1 PLC

30/06/2017

Warwick Finance Residential Mortgages No.1

31/07/2017

Warwick Finance Residential Mortgages No.2

31/07/2017

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.34

56.68

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

48.74

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)

1.90

60.43

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)

2.32

58.52

Index Definition

Index Definition