Corporate correlation players--as opposed to asset-backed securities portfolio managers--showed interest in the newly-launched tranched ABX index last week and that surprised some. "I am getting emails and calls from people I have never spoken to or heard of before," said one official about the pure correlation desks that have shown interest in trading.
About USD300 million traded during the first week and nearly every dealer was showing prices for the senior and equity tranches of the index. The senior tranches of both 06-02 and 07-01 tightened from where their original coupons printed and the mezzanine tranches widened, traders reported. Solid numbers, however, were not available and differed between firms but bid/ask spreads were tight, ranging between five and 10 basis points. Coupons were set at 500 bps for the equity piece for both BBB and BBB minus and 51 bps for the senior piece of the BBB and 72 bps for the senior slice of the BBB minus.
