Does anyone know of any indicies that monitor European ABS market? i.e. not individual assets but market as a whole. Thanks

There is iBoxx EUR ABS 50 which is a cash index: www.iboxx.com "The iBoxx EUR ABS 50 Index contains the 50 largest and most liquid European AAA-rated floating rate ABS/MBS securities. The index launch is the result of increased growth in the ABS/MBS market in Europe. The rapidly growing investor base faces a lack of standardized tradable indices. The iBoxx ABS 50 index serves as a high quality underlying for innovative derivative products.The index is rebalanced quarterly to keep track of new issuance. New series are launched on the first day of March, June, September and December each year. Each series expires two business days prior to the 3rd Wednesday of the month six months after the launch, with the exception of the first series, which expired on the 18th of September 2006. "Also I believe the European version of CMBX will launch shortly which will be a synthetic tradable index.

Hi. there is also Lehman European Asset Backed Securities Index.As far as I know it isn't a tradable index.The major rules that are specific to the ABS index are as follows:• Bonds have to be issued out of special purpose vehicles (SPVs).• Bonds can have fixed or floating coupons.Floating-rate bonds are included with no restriction on the quoted benchmark used.However, bonds whose coupon is linked to inflation or other indices are excluded.• All amortisation types are permitted.Hence, bonds can be hard or soft bullets, controlled amortisation, scheduledamortisation, or prepayment-sensitive.• Bonds must be denominated in euros or sterling.The Pan-European Aggregate Index includes bonds denominated in Danish Kroner,Norwegian Kroner, or Swedish Kronor. At present, no such bonds meet the otherrequirements of the European ABS Index. When there are such bonds, we willconsider expanding the index.• The deals from which the bonds are drawn must have nominal values of at least€500 million equivalent.This increases the likelihood that the transactions are large, widely-held and coveredby a number of sell-side analysts. This restriction will be effective immediately forfloating-rate bonds, and will be implemented for fixed-rate bonds later in 2004.• Triple-A rated bonds must have at least €300 million equivalent outstanding.This is consistent with the current liquidity requirement for the Euro-AggregateIndex and reflects the fact that ABS transactions are dominated by triple-A bonds.• Floating-rate bonds rated below triple-A are only included if they have more than€25 million equivalent outstanding.Tranches rated below triple-A tend to be relatively small in most ABS transactions.This liquidity limit will be effective immediately for floating-rate bonds, and will beextended to fixed-rate bonds later in 2004, as above.• The bonds have to be rated by either S&P or Moody’s. If they are rated by bothagencies, the lower of the two ratings is used.• Only bonds rated triple-B or higher are included based on the above rule.• The remaining average lives of the bonds must be at least one year.To ensure that the average life is stable relative to principal repayments, thelower of the current average life and the average life immediately after the nextcoupon payment date is uses. The legal maturity of the bonds is not a consideration.• Interest-only bonds are excluded.• Repackaged products such as CBOs are excluded.There are two reasons for this. First, many of these bonds are illiquid and difficult toprice. Second, the underlying bonds are often included in another index, andincluding them in the ABS Index will amount to double-counting. An exception isCLOs backed by SME loans, eg, from Spain and Germany.• For synthetic transactions, the super senior swap is not included.This is because the super senior swap is usually privately placed and only publiclyplaced bonds are included.The ABS indices conform to the same rebalancing rules regarding the addition andremoval of bonds as the other Lehman Brothers indices.

Thanks for your help. Do you know how I could access the Lehman European Asset Backed Securities Index you mention??Thanks

HI Bossman,as far as I know there are two ways to access the index.One is the website https://live.lehman.comAnother way is Bloomberg's page: LEHM <go>.In both cases you have to request access to Lehman.C.

Hi Bossman,if you don't know how to get access to this index, my advice is to follow the Bloomberg's way and submit a reguest following the instructions displayed on LEHM <go> page.C.