TABX launches into rocky ABS market

Dealers started trading tranches of the ABX indices just as fears of subprime mortgage losses sent spreads reeling and caused wildly divergent pricing on the new product

These are rocky times for the synthetic asset-backed securitisation market. The US ABX index, which references a pool of 20 home equity loan asset-backed securities, has taken a battering in recent months as investors have reacted to a rising number of delinquencies in the underlying home loans market (see feature p. 31).

Amid this turmoil dealers released the first set of ABX tranched indices, TABX, into the market on February 14. The tranches were issued in two series referencing the BBB and

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