Summary
This document is a technical report detailing the iBoxx European ABS Index Methodology. It outlines the structure and rules governing the index family, which is designed to measure the performance of asset-backed securities (ABS) denominated in EUR, GBP, and USD originating from Europe. The report describes the selection criteria for index constituents, including bond types, securitization types, issuer origin, credit ratings, bond sizes, and currencies of issue. It also explains the index calculation methodology, including data availability and index rebalancing processes. The indices are published on weekdays, and the report specifies the eligibility requirements for bonds to be included in the index, as well as the treatment of payment data and late or corrected payment information. Additionally, it covers the governance of the index and provides information on ESG disclosures and performance metrics.
