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)

3.92

50.20

Data Generated On: 17/09/2026

UK RMBS - Building Societies

Index Criteria

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

0.39

30.06

Data Generated On: 17/09/2026

UK RMBS - Challenger Banks

Index Criteria

Index Composition

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

2.86

53.31

Data Generated On: 17/09/2026

UK RMBS - Retail Banks

Index Criteria

hide

Issue	Latest Data
Antler Mortgage Funding 1 PLC	30/04/2026
Avon Finance No.3 PLC	31/07/2026
Avon Finance No.4 PLC	31/07/2026
Cheshire 2025-1 PLC	31/05/2026
Curzon Mortgages No.2 PLC	31/08/2026
Duncan Funding 2022-1 plc	30/06/2026
Duncan Funding 2024-1 plc	30/06/2026
Durham Mortgages A PLC - Refinancing (2024)	31/07/2026
Durham Mortgages B PLC - Refinancing (2024)	31/08/2026
Finsbury Square 2025-1 PLC	31/07/2026
Frontier Mortgage Funding 2026-1 plc	31/07/2026
Harben Finance 2017-1 (2022 Refinance)	31/08/2026
Harbour No.2 plc	30/06/2026
Hazel Residential PLC	31/05/2026
Kentmere No.3 plc	30/06/2026
Kentmere No.4 plc	30/06/2026
Lanark Master Issuer (Mortgage Note Prog) 2007	31/08/2026
Lannraig Master Issuer (Mortgage Programme) 2011	30/04/2025
Pavillion Mortgages 2024-1	31/07/2026
Pavillion Mortgages 2026-1	31/07/2026
Permanent Master Issuer (Note Prog) 2006	31/03/2026
Ripon Mortgages PLC (2022 Re-finance)	28/02/2025
Ripon Mortgages PLC (2025 Re-finance)	31/08/2026
Warwick Finance Residential Mortgages No.3	31/07/2026

Percentage of pool over 3 months in arrears

Weighted Average Current LTV (Nationwide Index)

6.04

52.95

Data Generated On: 17/09/2026