It is used in financial regulation, rating agency methodologies, and bank credit policy. Rating agencies use it to determine mortgage Default Probability (DP) and Loss Given Default (LGD). The LTV is typically used at loan origination, and for ongoing credit risk monitoring, to assess the amount of equity a borrower has in their property.

It uses the same methodology as our Spanish SME Index which was first published in 2016 and has been updated quarterly since.1 It will therefore differ from existing indices, in that it will group the data based on loan-specific rather than deal-specific characteristics (by loan vintage, loan-to-value, region etc.). It will also contain standardised stratification tables and performance measures for our active deals, making benchmarking easier.

These reports put the loan portfolio in direct comparison with similar deals and market aggregates.

The Index differs from other existing structured finance indices in that it shows performance in an entirely new light, by taking full advantage of loan level data, compared to indices based on investor reports. The Index was designed to be as transparent as possible and performance is shown by deal, by industry, by region and by loan vintage.

It uses the same methodology as our Spanish SME Index which was first published in 2016 and has been updated quarterly since.1 It will therefore differ from existing indices, in that it will group the data based on loan-specific rather than deal-specific characteristics (by loan vintage, loan-to-value, region etc.). It will also contain standardised stratification tables and performance measures for our active deals, making benchmarking easier.