Deutsche Bank is starting a European securitized bond index, which will be comprised of triple-A rated floating-rate securities. Daily quotes will be based on figures from the bank's European asset-backed trading desk and the benchmark will be readjusted on a monthly basis, according to a report put out by the firm.
The index will only include triple-As, which so far account for 84% of the publicly issued classes this year, and variable-rate bonds, which are 88% of classes issued this year, because these elements account for the bulk of the market. Based on other criterion, the index as of a lunch will be made up of nearly 65% in residential mortgage-backeds, with leases the next-largest sector at about 10.5%. Other asset classes, which are all in the single-digits in terms of index concentration, include credit cards, autos and commercial mortgage-backed securities.
Index Goliath Lehman Brothers said earlier this year it planned to create a floating-rate asset-backed index for the U.S. market in an acknowledgment of the growing importance of the floating-rate market in a rising-rate environment (BW, 1/17). The index was launched in the spring, however, the asset-backed component of Lehman's widely followed and broader Aggregate Bond Index are taken from its fixed-rate ABS index.