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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)

1.21

56.82

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)

0.31

49.09

Index Definition

Index Definition

UK RMBS - Challenger Banks

Index Criteria

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Issue

Latest Data

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

30/06/2017

Celeste Mortgage Funding 2015-1

30/06/2017

Finsbury Square Plc 2016-1

31/10/2016

Finsbury Square Plc 2016-2

30/04/2017

Finsbury Square Plc 2017-1

30/04/2017

Gemgarto 2015-1 plc

30/04/2017

Gemgarto 2015-2 plc

31/10/2016

Gosforth Funding Plc 2014-1

30/06/2017

Gosforth Funding Plc 2015-1

30/06/2017

Gosforth Funding Plc 2016-1

30/06/2017

Gosforth Funding Plc 2016-2

30/06/2017

Hawksmoor Mortgages 2016-1 plc

15/02/2017

Hawksmoor Mortgages 2016-2 plc 

31/10/2016

Oak No. 1 Plc

30/04/2017

Paragon Mortgages (No 20) plc

28/04/2017

Paragon Mortgages (No 21) plc

31/05/2017

Paragon Mortgages (No 22) plc

31/05/2017

Paragon Mortgages (No 23) plc

31/03/2017

Paragon Mortgages (No 24) plc

31/03/2017

Precise Mortgage Funding 2014-1 PLC

31/05/2017

Precise Mortgage Funding 2014-2 PLC

31/05/2017

Precise Mortgage Funding 2015-1 PLC

31/05/2017

Precise Mortgage Funding 2015-2B

31/05/2017

Precise Mortgage Funding 2015-3R

31/05/2017

Precise Mortgage Funding 2017-1B

31/05/2017

Precise Mortgage Funding No 1

31/05/2017

Residential Mortgage Securities No 26 plc

30/04/2017

Residential Mortgage Securities No 28 plc

30/06/2017

Rochester Financing No. 1

30/06/2017

Rochester Financing No. 2

31/07/2017

Slate 2 Plc

31/07/2017

Trinity Square 2015-1 PLC

31/03/2017

Trinity Square 2016-1 PLC

31/03/2017

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.12

60.16

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)

3.01

58.24

Index Definition

Index Definition