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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)

1.34

56.68

Index Definition

Index Definition

UK RMBS - Building Societies

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Issuers
Birmingham & Midshires Building Society
Chelsea Building Society (Yorkshire Building Socie
Coventry Building Society
EBS Building Society
Greater Building Society
Heritage Building Society
Irish Nationwide Building Society
Leeds Building Society
Nationwide Building Society
Newcastle Building Society
Norwich and Peterborough Building Society
Principality Building Society
Skipton Building Society
The Rock Building Society Limited
West Bromwich Building Society
Yorkshire Building Society

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