New ABX index under threat

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A shortage of new issuance in the residential mortgage-backed securities (RMBS) market could threaten the next series of the ABX.HE index, causing problems for dealers and investors that had relied on the indexes to value collateralised debt obligations of asset-backed securities (CDOs of ABSs).

Rising delinquencies in the US subprime mortgage market, combined with mass downgrades of RMBSs and CDO tranches in July, and a drying up of liquidity, has caused investors to flee the securitisation mark

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