I've heard rumors that tranches off the ABX BBB index will start trading in January. Anyone have any info on the mechanics?

Hasn't it been traded since this Jan?

The ABX indexes themselves have been traded, but I heard there will be like synthetic CDOs traded, with the ABX BBB reference bonds as the reference pool. They will have standard tranches, like there are on the CDX 0-3, 3-7, 7-15 etc.I still don't know if it's just a rumor or if it's for real. Also don't know details of settlement, pricing etc. Anyone have any info?

For ABX, AAA, AA, A, BBB and BBB- are 5 tranches. Same as CMBX. This might help.http://www.securitization.net/pdf/Nomur ... Mar06.pdfI have some other materials, but can't upload here. If you need them, pls tell me your email.

EOD priceshttp://www.markit.com/abx.jsp

The ABX tranches will be formed in Jan. [expected] based on the ABX BBB & BBB- classes. The current issue is wether or not the ABX3or ABX 07-1 [new roll in Jan] will have 50 reference asst pools [instead of the current 20] or if they will add pools from previous ABX indices ie. 40 pools to get sufficent assets to tranche. Like CDX, the documentation and credit events will be different. For instance, with CDX there is no-restructuring as an event as opposed to Mod-R for CDS ... with ABX it seems [this is my opinion] that they will have to get rid of the interest shortfall event as settlement issues with the factor being too difficult. Pricing on the tranches will most likely be similar to that of CDX, with first loss prices trading in upfront + bps running etc. Curently Trading:ABX 06-2CLASS COUPONAAA class: 11bpsAA class: 17bpsA Class: 44 bpsBBB Class: 133 bps -----> to be tranched 0-3%, 3-7%, 7-12%, 12-20%, 20-35% and 35-100% BBB- CLass: 242 bps -----> to be tranched 0-5%, 5-10%, 10-15%, 15-25%, 25-40% and 40-100%Hope this clears up some confusion. CJS

I am thinking of working on base correlation approach to get correlation for CMBX tranches. Any comments or objections on this? Thank you.

I would start out by focusing on the individual loan collateral analyst and how that affect the deals underlying the CMBX index. That would yield the most bang for your efforts.