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Bloomberg Barclays ABS Indices

Published in Fixed Income Indices

Bloomberg Barclays Capital’s existing Euro and Sterling ABS indices offer investors a total return index for multi-currency European ABS portfolios. Bloomberg Barclays also offers Pan European ABS Benchmark Bond Indices, which measure both fixed and floating ABS debt. Drawing on the six-year published history of the single currency benchmarks, the Pan European ABS Benchmark family is a broad-based measure of both the fixed rate and floating rate euro and sterling-denominated ABS markets. The expanded index family covers multiple ABS collateral types including residential mortgage backed securities (RMBS), commercial mortgage backed securities (CMBS), auto loan backed securities, and credit card backed securities.

Key Features and Coverage on RIMES

  • For the ABS indices, RIMES hosts approximately 2500 bonds and approximately 60 indices. Index coverage includes: Asia ex-Japan USD HG Credit 1-10 Yrs, EUR Fixed, EUR Float, Pan European Floating, Sterling Fixed ABS, Sterling Float ABS, etc.
  • For the Pan Euro ABS indices, RIMES hosts approximately 14000 bonds and 4 indices. Index coverage includes Euro Fixed ABS Bond Index, Pan European Floating ABS Bond Index, Pan European fixed ABS Bond Index, Pan European Floating ABS Bond Index Excl Spain Indices.

Some of the data items available include:

  • Index Items: Average Coupon, Average Duration Spread, Average Life, Average Price, Average Spread, Average Spread Duration, Average Yield, Coupon Return Over Month, Number Of Constituents, Price Return, Total Return, etc.
  • Bond Items: Collateral Type, Coupon Type, Date, Duration, Duration Spread, Gov Spread, Index Component Weight, Isin, Libor Spread, Market Value, Notional Outstanding, Price Rating , Weighted Average Life, Yield, etc.


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