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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)

1.85

57.68

Index Definition

Index Definition

UK RMBS - Building Societies

Index Criteria

hide

Issue

Latest Data

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

Friary No 4 Plc

31/03/2021

Friary No 5 Plc

31/03/2021

Friary No 6 Plc

30/04/2021

Hawthorn Finance Ltd

31/05/2021

Kenrick No.3 plc

31/03/2021

Silverstone Master Issuer (RMBS Note Prog) 1

31/05/2021

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