Frankfurt-based International Index Company (IIC) has launched the iBoxx EUR ABS 50 index, which consists of the 50 largest and most liquid AAA-rated European floating rate asset-backed securities (ABS) and mortgage-backed securities (MBS). Each constituent will be equally weighted.The index will be readjusted quarterly to keep track of the largest, most liquid issues. The only eligible constituents are AAA-rated floating rate ABS, MBS and small-to-medium enterprise collateralised loan obligations issued in the previous 12 months, and bonds must have a minimum remaining weighted average life of 18 months. A dealer poll will select the 50 most liquid eligible issues from a pool of the 70 largest issues.
“The index launch is the result of increased growth in the ABS/MBS market and rising interest from investors in having independent, market-standard indexes. The new index provides investors and other market participants with a high-quality underlying as the basis for derivatives products,” said David Mark, chief executive of IIC.
IIC designed the index in partnership with ABN Amro, BNP Paribas, Deutsche Bank, Dresdner Kleinwort Wasserstein, JP Morgan and Morgan Stanley. They will all contribute to the dealer poll and provide daily prices for the index constituents via Markit’s ABS pricing service, along with the following institutions: Bank of America, Barclays Capital, Calyon, Citigroup, Credit Suisse, DZ Bank, HSBC, HVB, Ixis, Lehman Brothers, Merrill Lynch, Royal Bank of Scotland, Société Générale and UBS.
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