ICE Launches New Suite of Indices for the Australian RMBS Market

Intercontinental Exchange, a leading global provider of technology and data, announced the launch of a suite of indices for the Australian residential mortgage-backed securities (RMBS) market.

These indices, which are administered by ICE Data Indices, LLC, are accessible in ICE’s Custom Index Tool, which provides a variety of ways to prototype and back test strategies for multiple use cases, including research, benchmark construction, designing new financial products such as ETFs or enabling services such as direct indexing.

This new suite of indices is designed to provide comprehensive and transparent benchmarks for tracking the performance of AUD-denominated residential mortgage-backed securities (RMBS). The new index family includes:

• ICE Australian RMBS Composite Index (ARMBS). Tracks the performance of RMBS.
• ICE AAA Australian RMBS Index (ARMBSAAA). Tracks the performance of RMBS rated AAA.
• ICE BBB and Lower Australian RMBS Index (ARMBLOW). Tracks the performance of RMBS rated BBB1 or lower.
• ICE AAA Prime Core Australian RMBS Index (ARMBSA3P). Tracks the performance of RMBS comprised solely of prime loans rated AAA.
• ICE AAA-AA Prime Australian RMBS Index (APRMBHI). Tracks the performance of RMBS comprised solely of prime loans rated AAA through AA3.

Each index is market cap weighted, accrues interest assuming next-day settlement, retains cash flows from bond payments until the end of the month, and is rebalanced on the last calendar day of the month.

“These indices provide a new set of benchmarking options for customers investing in the Australian residential MBS market,” said Varun Pawar, Chief Product Officer at ICE Data Services. “As we continue to expand our diverse set of indexing and benchmarking solutions, this launch represents a significant advancement in providing greater transparency and performance evaluation for markets globally.”

“Despite ongoing global economic uncertainty, the Australian residential MBS market has demonstrated impressive resilience and a promising outlook for growth and new issuance,” said Magnus Cattan, Head of APAC Client Development at ICE Data Services. “With the introduction of these new indices, we look forward to supporting our clients across the global fixed income ecosystem and enhancing their investment strategies.”

The Australian RMBS index family leverages ICE’s extensive experience in fixed income pricing and reference data, and the companies deep global product coverage. Our fixed income index offering includes over 6,000 standard indices tracking more than $100 trillion in debt spanning the global bond markets, with debt represented across 43 currencies.

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