Markit, a provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit ABX.HE index, is to add a Penultimate AAA sub-index to the existing and future series of the Markit ABX.HE indices.
The new tranche, added by a majority vote of contributing dealers, will provide enhanced trading opportunities to institutional investors seeking exposure to an additional credit class.
The new ABX.HE.PENAAA sub-index will reference AAA rated bonds that are second to last in principal distribution priority in the ABX.HE indices. The ABX.HE.PENAAA bonds will reference the same pools of assets as the bonds referenced in the ABX.HE.AAA indices. Markit ABX.HE is a synthetic index of U.S. home equity asset-backed securities.
The launch of the new sub-indices for the existing Markit ABX.HE indices, 06-1, 06-2, 07-1 and 07-2, will take place in the second quarter of 2008. The first future index to include the ABX.HE.PENAAA will be the ABX.HE 08-1 index, scheduled to launch in July 2008.
The Markit ABX.HE 07-2 remains the on-the-run series until the July roll.