Synthetic ABS Index Launched

CDS IndexCo LLC and Markit Group Ltd., both based in New York, have announced the launch of ABX.HE, a synthetic ABS index of U.S. home equity asset-backed securities.The index is a family of five subindices, each consisting of 20 credit default swaps related to U.S. subprime home equity securities. To qualify for inclusion in the index, an issuer must have rated bonds for each of the AAA, AA, A, BBB, and BBB-minus categories, the companies said. CDS IndexCo is a consortium of 16 investment banks licensed as market makers in the Dow Jones CDX indices, and Markit Group is a provider of independent mark-to-market pricing and valuations. The consortium consists of ABN Amro, Bank of America, Barclays Capital, Bear Stearns, BNP Paribas, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, JP Morgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia. Markit Group can be found online at http://www.markit.com.