US Non-Agency RMBS

The iBoxx US Non-Agency RMBS Indices are the first independent tracking tools for the non-agency RMBS market. They leverage our proven experience providing services to the securitized products market.

The index family consists of 27 sub-indexes referencing approximately 350 “senior” bonds from a portfolio of 22,000 RMBS issued between 2005 and 2007. The sub-indexes are divided into four categories: Prime, Sub-Prime, Alt-A and Option ARM. These are further broken down by vintage to allow for granular performance analysis.

Each index provides investors with historical and ongoing data to assess the returns of the US non-agency RMBS market and its sub-sectors. The index composition is rules-based, and selection criteria include deal size, pricing date and the type and quality of the mortgages referenced in each deal. The indices use the iBoxx total return methodology and pricing data, which currently prices more than 1.3m RMBS daily.

Key benefits:

• Portfolio management – Delivers coverage, precision and granularity to help measure performance and attribution as well as conduct research on the US RMBS market
• Flexibility – Customize the indices based on collateral type, vintage, structural characteristics or performance metrics, and use our web-based calculator to generate customized price and total returns for each available index
• Transparency – Rely on our rules-based methodology for constituent selection, annual rebalancing and daily price and total return calculations, as well as a fully documented price challenge process
• Representative – Base decisions on indices that select constituents from a non-agency US RMBS universe of more than 22,000 CUSIPs and over $800bn in principal balance, with available sub-indices representing over $75bn of this universe and containing only 'senior' certificates