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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

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

hide

Issue

Latest Data

Canterbury Finance No.1 PLC

31/05/2021

Canterbury Finance No.2 PLC

31/05/2021

Canterbury Finance No.3 PLC

31/05/2021

Charter Mortgage Funding 2017-1

30/06/2021

Charter Mortgage Funding 2018-1

30/06/2021

CMF 2020-1 PLC

31/05/2021

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

Gemgarto 2018-1 plc

31/05/2021

Gosforth Funding Plc 2017-1

30/06/2020

Gosforth Funding Plc 2018-1

30/06/2020

Oak No. 2 Plc

30/04/2020

Oak No. 3 Plc

31/03/2020

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

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

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