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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)

3.31

51.43

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)

0.33

68.52

Index Definition

Index Definition

UK RMBS - Challenger Banks

Index Criteria

hide

Issue

Latest Data

Canterbury Finance No.2 PLC

31/01/2024

Canterbury Finance No.3 PLC

31/01/2024

Canterbury Finance No.4 PLC

31/12/2023

CMF 2020-1 PLC

31/01/2024

Finsbury Square 2021-1 Green

30/11/2023

Finsbury Square 2021-2 Plc

30/11/2023

Gemgarto 2021-1 plc

30/11/2023

Oak No. 3 Plc

31/03/2020

Paragon Mortgages (No 26) plc

31/01/2024

Paragon Mortgages (No 27) plc

31/12/2023

Paragon Mortgages (No 28) plc

30/11/2023

Precise Mortgage Funding 2019-1B

30/06/2020

Precise Mortgage Funding 2020-1B

31/01/2024

Residential Mortgage Securities No 32 plc

30/11/2023

Rochester Financing No.3

29/02/2024

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

4.00

70.10

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)

3.81

42.94

Index Definition

Index Definition