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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

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

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

UK RMBS - Retail Banks

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Issuers
Barclays Bank
HSBC Bank Plc
Lloyds Banking Group plc
National Westminster Bank (RBS)
The Co-operative Bank p.l.c.
Virgin Money (Clydesdale Bank)

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

1.21

54.69

Index Definition