One day after announcing the launch of a European ABS performance monitor
, financial services company Markit
is putting together another European-based index with residential and commercial mortgage backed securities (RMBS, CMBS) as eligible collateral.
The new index is being announced ahead of the Global ABS conference next week in London. The conference draws securitization market players primarily from Europe and North America. The iBoxx ABS index will originally deal with European issuers using Sterling, Euros or US Dollars.
"The Markit iBoxx ABS index is a cash bond index and will appeal to the buy side community," said Stephan Flagel, managing director and Head of Indices at Markit, in describing how this index differs from the tradable structured credit derivative indices available from Markit, such as ABX.HE, CMBX.HE and more recently PrimeX
"The [new] index is broad, composed of around 700 bonds and covering a range of ABS markets. We will provide this index broadly, offering a range of sub-indices, and custom indices for asset managers."
Other forms of eligible collateral are multitudinous, including auto lend/lease bonds, collateral loan obligations, and trade receivables.
Flagel adds that by the time the index launches in 3Q10, bonds in the basket may be market cap weighted, although the exact weighting methodology is still being fine-tuned. The bonds in the index will have a minimum average rating of triple-C.
Write to Jacob Gaffney
Disclosure: the author holds no relevant investments.