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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 Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

3.90

45.36

Data Generated On: 17/04/2025

Data Generated On: 17/04/2025

UK RMBS - Building Societies

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

0.30

30.86

Data Generated On: 17/04/2025

Data Generated On: 17/04/2025

UK RMBS - Challenger Banks

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

3.16

55.36

Data Generated On: 17/04/2025

Data Generated On: 17/04/2025

UK RMBS - Retail Banks

Issue	Latest Data
Avon Finance No.3 PLC	31/03/2025
Avon Finance No.4 PLC	31/03/2025
Blitzen Securities No.1 PLC	31/03/2025
Curzon Mortgage PLC	28/02/2025
Duncan Funding 2022-1 plc	31/12/2024
Duncan Funding 2024-1 plc	31/12/2024
Durham Mortgages A - Refinancing (2024)	31/01/2025
Durham Mortgages B - Refinancing 2024	28/02/2025
Harben Finance 2017-1 (2022 Refinance)	28/02/2025
Harbour No.2 plc	31/03/2025
Kentmere No.3 plc	31/03/2025
Kentmere No.4 plc	31/12/2024
Lanark Master Issuer (Mortgage Note Prog) 2007	28/02/2025
Lannraig Master Issuer (Mortgage Programme) 2011	28/02/2025
Pavillion Mortgages 2022-1	28/02/2025
Pavillion Mortgages 2024-1	28/02/2025
Permanent Master Issuer (Note Prog) 2006	31/12/2024
Warwick Finance Residential Mortgages No.3	28/02/2025
Warwick Finance Residential Mortgages No.4	28/02/2025

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

4.58

51.52

Data Generated On: 17/04/2025

Data Generated On: 17/04/2025

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