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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

Avon Finance No.1 PLC

31/05/2021

Avon Finance No.2 PLC

31/05/2021

Barley Hill No.1 PLC

31/05/2021

Bowbell No 2 plc

31/03/2020

Brass RMBS No 10 plc

31/05/2021

Brass RMBS No 5 plc

31/05/2021

Brass RMBS No 6 plc

31/05/2021

Brass RMBS No 7 plc

31/05/2021

Brass RMBS No 8 plc

31/05/2021

Brass RMBS No 9 plc

31/05/2021

Canada Square Funding 2019-1

01/06/2021

Canterbury Finance No.1 PLC

31/05/2021

Canterbury Finance No.2 PLC

31/05/2021

Canterbury Finance No.3 PLC

31/05/2021

Castell Finance 2018-1

31/05/2021

Charter Mortgage Funding 2017-1

30/06/2021

Charter Mortgage Funding 2018-1

30/06/2021

Cheshire 2020-1 PLC

31/05/2021

Chester A PLC

31/05/2021

Chester B1 Issuer PLC

31/03/2021

CIEL NO. 1 PLC

31/05/2021

CMF 2020-1 PLC

31/05/2021

Dukinfield II RMBS Plc

31/05/2021

Durham Mortgages B

31/05/2021

Elvet Mortgages 2018-1

31/05/2021

Elvet Mortgages 2019-1

31/05/2021

Elvet Mortgages 2020-1

31/05/2021

Feldspar 2016-1 Plc

28/02/2021

Finsbury Square 2018-2 Plc

31/05/2021

Finsbury Square 2019-1 Plc

31/05/2021

Finsbury Square 2019-2 Plc

31/05/2021

Finsbury Square 2019-3 Plc

31/05/2021

Finsbury Square 2020-1 Plc

31/05/2021

Finsbury Square 2020-2 Plc

31/05/2021

Fosse Master Issuer RMBS Note Programme (2006)

31/07/2014

Friary No 4 Plc

31/03/2021

Friary No 5 Plc

31/03/2021

Friary No 6 Plc

30/04/2021

Gemgarto 2018-1 plc

31/05/2021

Gosforth Funding Plc 2017-1

30/06/2020

Gosforth Funding Plc 2018-1

30/06/2020

Harben Finance 2017-1

30/04/2021

Hawksmoor Mortgages 2019-1 plc

15/06/2021

Hawthorn Finance Ltd

31/05/2021

Holmes Master Issuer (Note Programme) 2006

31/05/2021

Kenrick No.3 plc

31/03/2021

Kentmere No. 1 plc

31/12/2020

Kentmere No. 2 plc

31/12/2020

Lanark Master Issuer (Mortgage Note Prog) 2007

31/05/2021

Lanebrook Mortgage Transaction 2020-1 PLC

31/05/2021

Lannraig Master Issuer (Mortgage Programme) 2011

31/05/2021

London Wall Mortgage Capital (Fleet 2016-1)

01/07/2021

London Wall Mortgage Capital (Fleet 2017-1)

01/07/2021

London Wall Mortgage Capital (Fleet 2018-1)

01/07/2021

London Wall Mortgage Capital (Fleet 2021-1)

01/07/2021

Mortimer BTL 2019-1 PLC

28/02/2021

Oak No. 2 Plc

30/04/2020

Oak No. 3 Plc

31/03/2020

Oat Hill No.2

31/05/2021

Paragon Mortgages (No 25) plc

30/04/2021

Paragon Mortgages (No 26) plc

30/04/2021

Paragon Mortgages (No 27) plc

31/03/2021

Paragon Mortgages (No 28) plc

31/05/2021

Permanent Master Issuer (Note Prog) 2006

31/03/2021

Polaris 2019-1 PLC

31/05/2021

Precise Mortgage Funding 2017-1B

30/06/2021

Precise Mortgage Funding 2018-1B

30/06/2021

Precise Mortgage Funding 2018-2B

30/06/2021

Precise Mortgage Funding 2019-1B

30/06/2020

Precise Mortgage Funding 2020-1B

31/03/2021

Residential Mortgage Securities No 29 plc

31/05/2021

Residential Mortgage Securities No 30 plc

31/05/2021

Residential Mortgage Securities No 31 plc

31/05/2021

Residential Mortgage Securities No 32 plc

31/05/2021

Ripon Mortgages Plc

30/06/2021

RMAC No.1 PLC

31/05/2021

RMAC No.2 PLC

31/05/2021

Shawbrook Mortgage Funding 2019-1 PLC

30/06/2021

Silk Road Finance No. 5 Plc

30/04/2021

Silk Road Finance No. 6 Plc

30/04/2021

Silverstone Master Issuer (RMBS Note Prog) 1

31/05/2021

Stanlington No.1 PLC

31/05/2021

Stratton Mortgage Funding 2019-1

31/03/2021

Towd Point Mortgage Funding 2018 - Auburn 12

30/04/2021

Towd Point Mortgage Funding 2019 - Auburn 13

31/03/2021

Towd Point Mortgage Funding 2019 - Granite 4 Plc

31/05/2021

Towd Point Mortgage Funding 2019 - Vantage 2

30/04/2021

Towd Point Mortgage Funding 2020 - Auburn 14

30/04/2021

Tower Bridge Funding 2020-1

31/05/2021

Tower Bridge Funding 2021-1

31/05/2021

Tower Bridge Funding No.3

31/05/2021

Tower Bridge Funding No.4

31/05/2021

Tudor Rose Mortgages 2020-1

31/05/2021

Twin Bridges 2017-1

31/05/2021

Twin Bridges 2018-1

31/05/2021

Twin Bridges 2019-1

31/05/2021

Twin Bridges 2019-2

31/05/2021

Twin Bridges 2020-1

31/05/2021

Twin Bridges 2021-1

31/05/2021

Warwick Finance Residential Mortgages No.3

30/04/2021

Warwick Finance Residential Mortgages No.4

30/04/2021

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.85

57.68

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)

0.22

70.03

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)

2.83

59.63

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)

1.21

54.69

Index Definition

Index Definition