The ESF is pleased to announce the publication of a new Securitisation Monthly Data Supplement to complement the Securitisation Data Report. Going forward, the Supplement will continue to be produced on a monthly basis. We would like to thank member firms for providing the underlying data included in both publications.
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The supplement provides the following credit spreads, prices, and indices beginning January 2007:
CMBS Credit Spreads
European 3-5 Yr AAA & BBB CMBS
US 3 & 5 Yr AAA & BBB CMBS
RMBS Credit Spreads
European 3-5 Yr AAA & BBB RMBS
UK 3-5 Yr AAA & BBB RMBS
US AAA Subprime Home Equity Spreads
ABS Credit Spreads
European 1-4 Yr AAA & BBB ABS
US 3 Yr AAA & BBB ABS
RMBS Credit Prices
European 3-5 Yr AAA & BBB RMBS
UK 3-5 Yr AAA & BBB RMBS
CMBS and ABS Credit Prices
Pan-European 3-5 Yr AAA & BBB CMBS
Pan-European 1-4 Yr AAA & BBB ABS
Indices Data
Securitised Index Option Adjusted Spreads
ABX.HE and CMBX Spreads
For questions or comments relating to the supplement, please contact Anna Zennaro, Associate, at anna.zennaro@afme.eu.