ASCOT® Methodology Overview
This page provides a high-level description of the ASCOT® benchmark framework. It explains design intent, governance posture, and variant structure without disclosing proprietary implementation detail. The full ASCOT Methodology is available under licence.
1. Design intent
ASCOT measures securitised credit through structure, not optimisation. Exposure is separated into Senior and Mezzanine capital layers and combined using fixed weights that do not vary in response to performance or market views.
Capital-stack lens
Classification is by structural role, not labels or portfolio drift.
Rules-based posture
No discretionary selection, tactical allocation, or optimisation.
Public-market expression
Designed for public-market reference and comparability.
Variant consistency
Variants share rules and governance; only weights differ.
2. Capital layers
- Senior layer: represents senior RMBS exposure via a recognised benchmark reference.
- Mezzanine layer: represents subordinated securitised credit via eligible listed instruments.
Specific references and eligibility criteria are defined in the full methodology.
3. Variant structure
ASCOT variants adjust the balance between Senior and Mezzanine exposure while keeping all rules constant.
Weights are indicative of structural emphasis only and do not, on their own, define index construction.
4. Review posture and governance
Reviews occur periodically in accordance with documented governance procedures to confirm eligibility and operational integrity. The framework is designed to remain stable and predictable, with changes made only through formal change control.
5. Access to the full methodology
The full ASCOT Methodology contains proprietary definitions, eligibility rules, and construction mechanics and is available under licence.