Deutsche launches European ABS index

Deutsche Bank has launched a European AAA floating-rate securitised bond index. The index will capture the performance of the European asset- and mortgage-backed securities market and focuses on the largest and most liquid AAA component of euro-denominated floating-rate notes.

To be eligible for inclusion in the index, bonds must meet minimum tranche size thresholds and have a minimum average life of at least 13 months. The index includes only European floating rate asset- and mortgage-backed debt. Daily levels on the index will be provided by Deutsche's ABS trading desk.

The launch comes roughly 18 months after Lehman Brothers rolled out its first European ABS index. Deutsche Bank estimates there to be roughly €600 million of European securitised bonds outstanding as of mid-2005.