Markit announced last Friday the addition of the ABX.HE.PENAAA sub-indices to the ABX.HE suite, which is expected to start trading on May 14.

This new index will be made up of the penultimate pay triple-A class of notes backed by the same collateral as the last cash flow triple-A class that is now in the index.


Markit has also released the CUSIP lists for each of the PENAAA sub-indices.

In connection with the release, Barclays Capital put out a report today exploring the characteristics of the different tranches that make up the PENAAA sub-indices as well as  providing an assessment of market-implied pricing on the new sub-indices.

In the report, analysts examined where they believe the PENAAA may price when trading starts based on the pricing and implied loss profiles of the ABX.HE.AAA.

Additionally, analysts also looked at the pay-up they think will probably be required to purchase the PENAAA based on the firm's credit model scenario analysis. They concluded that fair value pay-ups are roughly $3-$18, $7-$25, $12-$13, and $9-$09 for Series 06-1, 06-2, 07-1, and 07-2, respectively.


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