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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

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.28

56.54

Index Definition

Index Definition

UK RMBS - Building Societies

Index Criteria

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Issue

Latest Data

Albion No 2 Plc

31/10/2017

Albion No 3 Plc

31/10/2017

Brass RMBS No 3 plc

31/10/2017

Brass RMBS No 4 plc

31/10/2017

Brass RMBS No 5 plc

31/10/2017

Brass RMBS No 6 plc

31/10/2017

Darrowby 3 RMBS

31/10/2017

Darrowby 4 RMBS

31/10/2017

Friary No 2 Plc

30/09/2017

Friary No 3 Plc

30/09/2017

Friary No 4 Plc

30/09/2017

Guildford No.1 Plc

31/10/2017

Hawthorn Finance Ltd

31/08/2017

Kenrick No.2 plc

30/09/2017

Leeds Building Society (Covered Bond Prog) 2008

31/12/2013

Mercia No. 1 Plc

31/05/2017

OFFA No.1 Plc

31/05/2017

Silverstone Master Issuer (RMBS Note Prog) 1

30/09/2017

Tombac No. 1 plc

31/10/2017

Tombac No. 2 plc

31/10/2017

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

0.31

48.47

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)

2.17

59.65

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)

1.37

57.07

Index Definition

Index Definition