Traders are starting to think about creating indices of credit-default swaps on credit cards, student loans, auto loans and other classes of asset-backed securities. Although just on the drawing board, those future indices have already been dubbed ABX.CC, ABX.SL, ABX.AU and ABX.XX. An index referencing loan CDS, LCDX, also is being contemplated (DW, 5/19).
The core International Swaps and Derivatives Association inter-dealer working group that produced documentation for CDS on residential and commercial mortgage-backed securities, leveraged loans and tranches of collateralized debt obligations is also expected to spearhead these efforts. Louise Marshall, ISDA spokeswoman speaking to DW after the conference, said she anticipates the projects will begin in the fall.
The enthusiasm for new ABS indices stems from the popularity of CDS on RMBS, which revolutionized that market, and the success of the synthetic home-equity loan index, ABX.HE, which started trading in January.
