A family of credit indices referencing asset-backed securities. The first index, ABX HE was launched in January 2006 and is based on tranches of 20 recently issued US sub-prime home equity securitisations. The second index, CMBX, was launched in March 2006 and references 25 commercial mortgage securitisations. Unlike other credit indices such as iTraxx and CDX, ABX consists of sub-indices for different rating bands such as triple A and triple B, reflecting the very different risk-return profiles of different parts of the capital structure of a securitisation. All the sub-indices are based on bonds from the same 20 securitisations. Another difference from corporate credit indices is that the composition of the index changes entirely every six months, since the index is designed to reflect the current crop of deals.