In response to the bulging proportion of floating-rate issues in the ABS market, Lehman Brothers plans to launch its first ever U.S. ABS Floating Rate Index. The index, initially covering $253 billion worth of transactions, is scheduled to go live May 1.
In a release, Lehman said the index will be limited to home equity, credit card, retail and wholesale auto loans, and student loans, and will only include deals greater than or equal to $500 million of combined fixed- and floating-rate notes. For inclusion, outstanding transactions must have at least $25 million outstanding and tranches with weighted average lives of shorter than one year will be omitted.
The …
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