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Bloomberg Barclays Fixed Income ABS 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 this data source, RIMES hosts approximately 60 indices and 2450 bonds.

Index coverage includes:

  • Asia ex-Japan USD HG Credit indices, EUR Fixed Indices, EUR Float Indices, EURO ABS Bond Indices, EURO Fixed ABS Bonds, EURO Floating ABS Bonds, GBP Fixed Indices, Pan European indices, Sterling Fixed ABS Bond Index, Sterling Floating ABS Bond Index, etc.

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

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