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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

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Issue

Latest Data

Atlas Funding 2023-1 PLC

31/01/2024

Avon Finance No.3 PLC

31/01/2024

Avon Finance No.4 PLC

31/01/2024

Barley Hill No.2 PLC

31/01/2024

Blitzen Securities No.1 PLC

31/01/2024

Brants Bridge 2022-1

31/01/2024

Brants Bridge 2023-1

31/01/2024

Brass RMBS No 10 plc

31/12/2023

Brass RMBS No 11 plc

31/12/2023

Brass RMBS No 8 plc

31/12/2023

Brass RMBS No 9 plc

31/12/2023

Canada Square Funding 2020-1

29/02/2024

Canada Square Funding 2020-2

29/02/2024

Canada Square Funding 2021-1

29/02/2024

Canada Square Funding 2021-2

29/02/2024

Canada Square Funding 6

29/02/2024

Canada Square Funding 7

01/03/2024

Canterbury Finance No.2 PLC

31/01/2024

Canterbury Finance No.3 PLC

31/01/2024

Canterbury Finance No.4 PLC

31/12/2023

Cheshire 2020-1 PLC

31/01/2024

Cheshire 2021-1 PLC

29/02/2024

Chester A PLC

30/11/2023

CMF 2020-1 PLC

31/01/2024

Curzon Mortgage PLC

29/02/2024

Duncan Funding 2022-1 plc

31/12/2023

Durham Mortgages B - Refinancing 2021

31/01/2024

Ealbrook Mortgage Funding 2022-1 PLC

29/02/2024

Elvet Mortgages 2020-1

31/01/2024

Elvet Mortgages 2021-1

31/01/2024

Elvet Mortgages 2023-1

31/01/2024

Finsbury Square 2021-1 Green

30/11/2023

Finsbury Square 2021-2 Plc

30/11/2023

Formentera Issuer PLC

31/12/2023

Fosse Master Issuer RMBS Note Programme (2006)

31/07/2014

Friary No 6 Plc

31/01/2024

Friary No 7 Plc

31/12/2023

Friary No 8 Plc

31/12/2023

Gemgarto 2021-1 plc

30/11/2023

Grosvenor Square RMBS 2023-1 PLC

30/11/2023

Harben Finance 2017-1 (2022 Refinance)

29/02/2024

Harbour No.1 plc

31/12/2023

Hawthorn Finance Ltd

28/02/2023

Holbrook Mortgage Transaction 2023-1

29/02/2024

Holmes Master Issuer (Note Programme) 2006

31/01/2024

Hops Hill No.1 PLC

29/02/2024

Hops Hill No.2 PLC

29/02/2024

Hops Hill No.3 PLC

04/03/2024

Kenrick No.3 plc

30/09/2022

Kentmere No. 1 plc

31/12/2023

Kentmere No. 2 plc

31/12/2023

Lanark Master Issuer (Mortgage Note Prog) 2007

31/12/2023

Lanebrook Mortgage Transaction 2020-1 PLC

29/02/2024

Lanebrook Mortgage Transaction 2021-1 PLC

29/02/2024

Lanebrook Mortgage Transaction 2022-1 PLC

29/02/2024

Lanebrook Mortgage Transaction 2023-1 PLC

29/02/2024

Lannraig Master Issuer (Mortgage Programme) 2011

31/12/2023

London Wall Mortgage Capital (Fleet 2021-1)

01/03/2024

London Wall Mortgage Capital (Fleet 2021-2)

01/03/2024

Oak No. 3 Plc

31/03/2020

Oat Hill No.3

31/01/2024

Paragon Mortgages (No 26) plc

31/01/2024

Paragon Mortgages (No 27) plc

31/12/2023

Paragon Mortgages (No 28) plc

30/11/2023

Parkmore Point RMBS 2022-1

31/01/2024

Pavillion Mortgages 2021-1

31/01/2024

Pavillion Mortgages 2022-1

31/01/2024

Permanent Master Issuer (Note Prog) 2006

31/12/2023

Pierpont BTL 2021-1 plc

31/10/2023

Polaris 2021-1 PLC

30/06/2021

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

Ripon Mortgages PLC (2022 Re-finance)

29/02/2024

RMAC No.3 PLC

30/11/2023

Rochester Financing No.3

29/02/2024

Shawbrook Mortgage Funding 2022-1 PLC

29/02/2024

Silk Road Finance No. 5 Plc

31/12/2023

Silverstone Master Issuer (RMBS Note Prog) 1

31/01/2024

Stanlington No.2 PLC

30/11/2023

Stratton BTL Mortgage Funding 2022-1

03/10/2023

Stratton Hawksmoor 2022-1

31/01/2024

Stratton Mortgage Funding 2020-1

29/02/2024

Stratton Mortgage Funding 2021-1

30/11/2023

Stratton Mortgage Funding 2021-3

29/02/2024

Tombac No.3 plc

31/12/2023

Tower Bridge Funding 2021-1

31/01/2024

Tower Bridge Funding 2021-2

31/01/2024

Tower Bridge Funding 2022-1

30/11/2023

Tower Bridge Funding 2023-1

31/12/2023

Tower Bridge Funding 2023-2

31/01/2024

TPMF 2018 - Auburn 12

31/01/2024

TPMF 2019 - Auburn 13

31/12/2023

TPMF 2019 - Granite 4 Plc

31/01/2024

TPMF 2020 - Auburn 14

31/01/2024

TPMF 2021 - Hastings 1 plc

31/01/2024

TPMF 2023 - Vantage 3

31/01/2024

Trinity Square 2021-1 PLC

31/12/2023

Tudor Rose Mortgages 2021-1

30/11/2023

Twin Bridges 2021-1

31/01/2024

Twin Bridges 2021-2

31/01/2024

Twin Bridges 2022-1

31/01/2024

Twin Bridges 2022-2

31/01/2024

Twin Bridges 2022-3

31/01/2024

Twin Bridges 2023-1

31/01/2024

Twin Bridges 2023-2

31/01/2024

Tyne Funding No.1

31/01/2024

Warwick Finance Residential Mortgages No.3

31/12/2023

Warwick Finance Residential Mortgages No.4

31/12/2023

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

Index Composition

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