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TABX: Tranche Asset Backed Securities Index

The TABX.HE indices are tranched versions of the ABX.HE, created by further dividing the principal balances of the ABX.HE.BBB and ABX.HE.BBB- indices.

The TABX.HE indices were constructed using the underlying names of the BBB and BBB- ABX.HE Indices. Each set combines the 07-1 and 06-2 reference obligations.

TABX.HE indices are designed to provide investors with the ability to gain or hedge their exposure on the underlying names to specific tranches of varying levels of risk within the portfolio structures. The indices account for writedowns, principal shortfalls and their respective reimbursements.

Key benefits:

  • Market sentiment – Gauge market sentiment surrounding lower-rated tranches of subprime RMBS with additional options for synthetic exposure to subprime MBS
  • Targeted risk exposure – Benefit from artificial attachment and detachment points, which create different levels of risk within BBB and BBB- rated securities
  • Familiar constituent set – Each TABX.HE index is exposed to two series of the ABX.HE index (40 bonds instead of 20)
  • Distribution – Monthly payment amounts published and made publicly available on a monthly basis

Documentation

Publicly available documentation relating to our indices, including methodologies, annexes and educational guides, as well as trading and legal documents for tradable indices.
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Customers

  • Banks
  • Asset managers
  • Hedge funds
  • Insurance companies
  • Corporate treasurers

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