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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)

1.69

57.69

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

70.49

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

59.64

Index Definition

Index Definition

UK RMBS - Retail Banks

Index Criteria

hide

Issue

Latest Data

Avon Finance No.1 PLC

31/05/2021

Durham Mortgages B

31/05/2021

Kentmere No. 1 plc

31/12/2020

Kentmere No. 2 plc

31/12/2020

Lanark Master Issuer (Mortgage Note Prog) 2007

31/05/2021

Lannraig Master Issuer (Mortgage Programme) 2011

31/05/2021

Permanent Master Issuer (Note Prog) 2006

31/03/2021

Silk Road Finance No. 5 Plc

30/04/2021

Silk Road Finance No. 6 Plc

30/04/2021

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)

1.21

54.69

Index Definition

Index Definition